<we><edit> <!-- questions and answers -->
trading
risk-neutral-measure
yield-curve
no-arbitrage-theory
futures
mathematics
algorithmic-trading
backtesting
risk
brownian-motion
correlation
option-strategies
etf
credit-risk
heston
itos-lemma
risk-models
cds
python
modern-portfolio-theory
equities
bond
stochastic-processes
forecasting
delta-hedging
stochastic-processes
Continuous returns in BS-market
black-scholes
stochastic-processes
portfolio-management
brownian-motion
modern-portfolio-theory
What is a stochastic processes which reasonably captures commodity price dynamics?
stochastic-processes
brownian-motion
mean-reversion
commodities
ornstein-uhlenbeck
Properties of Geometric Brownian Motion Integrated w.r.t. Time
stochastic-processes
brownian-motion
discounting
annuity
expected-value
Computing Malliavin Derivative for European Call Payoff
stochastic-processes
stochastic-calculus
greeks
delta-hedging
malliavin-calculus
Self finance conditions - proof check
stochastic-processes
itos-lemma
self-study
homework
Show that the two solutions of the SDE are equivalent
stochastic-processes
stochastic-calculus
itos-lemma
Have I used correct state space formulation of Bivariate Trending OU process for Kalman Filter estimation?
stochastic-processes
stochastic-calculus
kalman
Is there an intuitive explanation for why Kelly gambling ignores odds?
stochastic-processes
portfolio-optimization
optimization
mathematics
Why do we usually use normal distribution and not Laplace distribution to generate stochastic process?
stochastic-processes
fx
modeling
brownian-motion
Relationship between two Brownian motions generated by equivalent martingale measures
stochastic-processes
stochastic-calculus
martingale
self-study
Model selection given return and variance?
stochastic-processes
portfolio-optimization
machine-learning
Estimation of the drift of a non-stationary process
stochastic-processes
parameter-estimation
What is the probability of two independent OU processes being above barriers at the same time?
stochastic-processes
barrier
Monte Carlo Simulation of Spread Strategy. Two correlated assets vs One spread simulation?
stochastic-processes
monte-carlo
futures
trading
Ornstein–Uhlenbeck process
stochastic-processes
python
wienerprocess
How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)
black-scholes
stochastic-processes
stochastic-volatility
delta-hedging
stochastic-control
Good introduction to estimating stochastic diffusion processes?
stochastic-processes
econometrics
parameter-estimation
mle
Variance of options returns
options
stochastic-processes
Modeling Long-Term Mean Reversion in Asset Returns
equities
stochastic-processes
portfolio-management
mean-reversion
asset-returns
Are processes with independent increments (which are not Lévy) used in finance?
stochastic-processes
models
modelling
Stochastic Calculus: How to test for dependency of random variables
stochastic-processes
stochastic-calculus
probability
Two Wiener process under same martingale measure Q
stochastic-processes
brownian-motion
stochastic-volatility
wienerprocess
Test if a process (with no drift) is a martingale
stochastic-processes
stochastic-calculus
martingale
What is an adapted process
stochastic-processes
stochastic-calculus
finance-mathematics
Previsibility in Binomial Representation Theorem
stochastic-processes
binomial-tree
random-walk
Showing a portfolio is a self financing portfolio
stochastic-processes
Interpreting Units of Short Rate Parameters
interest-rates
stochastic-processes
sde
Variance of $\int_{t=o}^{T}\sqrt{|B(t)|}$ $dB(t)%$
stochastic-processes
stochastic-calculus
When predicting Forex price using HMM what, typically, are the states and what are the observations?
stochastic-processes
statistics
probability
markov
hidden-markov-model
Spot Interest Rate at time $t$
stochastic-processes
stochastic-calculus
brownian-motion
probability
Deriving $dR(t)$ For Reverse Exchange Rate
stochastic-processes
stochastic-calculus
probability
Why the expected return rate of a stock has nothing to do with its option price?
options
black-scholes
stochastic-processes
stochastic-calculus
expected-return
Interest rate model with external variables
fixed-income
stochastic-processes
econometrics
rates
Interpretation of the stochastic integral as a wealth process
stochastic-processes
portfolio-management
stochastic-calculus
brownian-motion
finance-mathematics
Problem of negative local volatility:
stochastic-processes
local-volatility
lognormal
sabr
euler
Foward-start option pricing
option-pricing
stochastic-processes
mathematics
pricing
pricing-formulae
Ito's Lemma: Multiplication Rule
stochastic-processes
stochastic-calculus
itos-lemma
Risk Neutral measure, reaffecting probabilities to paths
stochastic-processes
risk-neutral-measure
Fractional Brownian motion - probability density function of the increments
time-series
stochastic-processes
fractals
Expected Value of Stochastic Process
stochastic-processes
stochastic
expected-value
How can I randomly pick entries in a .gdx file in GAMS?
stochastic-processes
optimization
cvar
scenario-analysis
How to solve this inhomogeneous pde?
stochastic-processes
portfolio-management
stochastic-calculus
parabolic-pde
Proof positiveness condition CIR dynamic
interest-rates
stochastic-processes
models
Are changes in the asset price a Markov process?
option-pricing
stochastic-processes
Is there uniform stochastic process?
stochastic-processes
Stochastic integrals wrt to independent Wiener processes are uncorrelated, but potentially dependent?
stochastic-processes
stochastic-calculus
brownian-motion
Standard definition of multidimensional Brownian Motion with correlations
stochastic-processes
brownian-motion
Vector of differences of Brownian motion integrals is multivariate normal
stochastic-processes
stochastic-calculus
brownian-motion
Calibration by monte carlo, should I fix my seed?
options
stochastic-processes
market-data
monte-carlo
calibration
How to Implement an optimal Stochastic Control Optimization?
stochastic-processes
optimization
stochastic-control
Do stochastic interest rate models forecast future interest rate?
interest-rates
stochastic-processes
Cadlag Property of Jump Proccesses
stochastic-processes
finance-mathematics
jump-diffusion
Is optimal position distribution for a negatively autocorrelated gaussian process derived from the cumulative distribution?
stochastic-processes
reference-request
theory
How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
option-pricing
stochastic-calculus
stochastic-processes
mathematics
risk-neutral-measure
Are the time integrated OU and time integrated CIR processes infinite divisible?
stochastic-processes
Why does Black-Scholes equation hold on continuation region of American Option?
stochastic-processes
stochastic-calculus
differential-equations
Why is OU process stationary?
stochastic-processes
mean-reversion
stationarity
Black-Scholes formula proof, without stochastic integration
options
black-scholes
stochastic-processes
call
Comparison of GBM paths with exact formulation and euler Discretization
stochastic-processes
stochastic-calculus
brownian-motion
simulations
euler
Why is the ATM vol kind of an average volatility
option-pricing
volatility
stochastic-processes
implied-volatility
Laplace Exponent of a Jump-Diffusion Process
stochastic-processes
stochastic-calculus
probability
Clarification on martingale process, explain wikipedia paragraph
stochastic-processes
probability
martingale
terminology
Process for a portfolio of stocks where each share follows a log-normal process
stochastic-processes
modern-portfolio-theory
lognormal
Prove that $E[g(X_T)|\mathscr F_t] = E[g(X_T)|X_t]$
stochastic-processes
stochastic-calculus
differential-equations
sde
markov
Forward Kolmogorov initial distribution
stochastic-processes
stochastic-calculus
probability
itos-lemma
Solving for roots of a stochastic pay-off function
stochastic-processes
brownian-motion
derivatives
probability
wienerprocess
How to use reflection principle to solve the analytic solution of double barrier-out-call
stochastic-processes
derivatives
barrier
Lee Carter Model - Mortality
stochastic-processes
insurance
Does Libor martingale under T-forward measure
fixed-income
stochastic-processes
bond
Estimate the mean reversion level of the variance process under the real world measure
stochastic-processes
stochastic-volatility
heston
Ito vs. Stratonovich: Why is it the exact midpoint that renders Ito-correction zero?
stochastic-processes
stochastic-calculus
intuition
Is there a stochastic equation which can model returns according to its four moments?
stochastic-processes
returns
skewness
random-variables
kurtosis
PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab
stochastic-processes
credit
matlab
Model for target zone exchange rates
stochastic-processes
monte-carlo
exchange
floating-rate
rates
Characteristic function of SDE with coefficients depending upon second coupled SDE
option-pricing
stochastic-processes
stochastic-calculus
sde
characteristic-function
Intuition behind the change of variable of BS into Heat Equation
black-scholes
stochastic-processes
Transformation of coupled forward-backward stochastic differential equations in 3 dimensions with Ito formula
stochastic-processes
stochastic-calculus
itos-lemma
sde
QuantLib Gsr model
stochastic-processes
python
quantlib
short-rate
Net present value when cash flows accrue continuously and are stochastic
options
stochastic-processes
valuation
discounting
dcf
Explanation on the application of CLT in bionomial tree model
stochastic-processes
brownian-motion
probability
binomial-tree
How to trade the Ornstein-Uhlenbeck process?
stochastic-processes
pairs-trading
mean-reversion
How to calibrate an SDE's by finite difference equation?
stochastic-processes
stochastic-calculus
numerical-methods
Will volatility smoothing effects exist for returns driven by geometric brownian motion?
volatility
stochastic-processes
brownian-motion
The solution to arithmetic brownian motion
stochastic-processes
differential-equations
How to find the mean and variance of this stochastic process?
stochastic-processes
stochastic-calculus
Connection between stock price behavior and risk neutral valuation of European put
stochastic-processes
brownian-motion
risk-neutral-measure
Utility-optimal leverage with costs
stochastic-processes
stochastic-calculus
utility-theory
kelly-criterion
What is the probability that a Brownian Bridge hits an upper barrier $U$ before a lower barrier $L$?
stochastic-processes
stochastic-calculus
brownian-motion
barrier
stopping-time
How to understand nonrandom/random process in Shreve book?
stochastic-processes
stochastic-calculus
finance-mathematics
financial-engineering
Scaling Z value/or voll with square root of time
stochastic-processes
Why is $Y(t)V^h(t)$ a martingale?
stochastic-processes
stochastic-calculus
finance
arbitrage
Short rate models (stochastic)
interest-rates
stochastic-processes
stochastic-volatility
reference-request
Why do we have zero drift when switching to a martingale measure?
stochastic-processes
stochastic-calculus
probability
Why won't Bjork ever show that the integrability condition is satisfied?
stochastic-processes
stochastic-calculus
arbitrage
mathematics
stochastic
How to price Swaptions with short rate models?
options
fixed-income
stochastic-processes
risk-neutral-measure
short-rate
CIR Process from Ornstein–Uhlenbeck process
stochastic-processes
stochastic-calculus
heston
Pricing defaultable asset with finite maturity
stochastic-processes
futures
brownian-motion
default
Can I always use quadratic variation to calculate variance?
stochastic-processes
stochastic-calculus
brownian-motion
Concatenation property of a set of semimartingales
stochastic-processes
finance-mathematics
no-arbitrage-theory
How to compute the variance of this stochastic integral?
stochastic-processes
stochastic-calculus
lognormal