stochastic-processes

  1. Variance of $\int_{t=o}^{T}\sqrt{|B(t)|}$ $dB(t)%$
  2. When predicting Forex price using HMM what, typically, are the states and what are the observations?

  3. Spot Interest Rate at time $t$
  4. Previsibility in Binomial Representation Theorem

  5. Deriving $dR(t)$ For Reverse Exchange Rate
  6. Are processes with independent increments (which are not Lévy) used in finance?

  7. Estimation of the drift of a non-stationary process

  8. Why the expected return rate of a stock has nothing to do with its option price?
  9. Interest rate model with external variables

  10. Interpreting Units of Short Rate Parameters

  11. Interpretation of the stochastic integral as a wealth process

  12. Problem of negative local volatility:

  13. Foward-start option pricing
  14. Ito's Lemma: Multiplication Rule
  15. Risk Neutral measure, reaffecting probabilities to paths

  16. Fractional Brownian motion - probability density function of the increments

  17. Expected Value of Stochastic Process

  18. How can I randomly pick entries in a .gdx file in GAMS?
  19. How to solve this inhomogeneous pde?
  20. Proof positiveness condition CIR dynamic

  21. Are changes in the asset price a Markov process?

  22. Is there uniform stochastic process?

  23. Stochastic integrals wrt to independent Wiener processes are uncorrelated, but potentially dependent?
  24. Standard definition of multidimensional Brownian Motion with correlations

  25. Vector of differences of Brownian motion integrals is multivariate normal

  26. Calibration by monte carlo, should I fix my seed?
  27. How to Implement an optimal Stochastic Control Optimization?
  28. Do stochastic interest rate models forecast future interest rate?
  29. Cadlag Property of Jump Proccesses

  30. Is optimal position distribution for a negatively autocorrelated gaussian process derived from the cumulative distribution?
  31. Modeling Long-Term Mean Reversion in Asset Returns

  32. How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?

  33. Are the time integrated OU and time integrated CIR processes infinite divisible?
  34. Why does Black-Scholes equation hold on continuation region of American Option?

  35. Why is OU process stationary?
  36. Black-Scholes formula proof, without stochastic integration
  37. Comparison of GBM paths with exact formulation and euler Discretization

  38. Why is the ATM vol kind of an average volatility
  39. Laplace Exponent of a Jump-Diffusion Process

  40. Clarification on martingale process, explain wikipedia paragraph

  41. Process for a portfolio of stocks where each share follows a log-normal process
  42. Prove that $E[g(X_T)|\mathscr F_t] = E[g(X_T)|X_t]$
  43. Forward Kolmogorov initial distribution
  44. Solving for roots of a stochastic pay-off function
  45. How to use reflection principle to solve the analytic solution of double barrier-out-call
  46. Lee Carter Model - Mortality
  47. Does Libor martingale under T-forward measure

  48. Time integrated cumulative probability function arising in annuity problem
  49. Estimate the mean reversion level of the variance process under the real world measure

  50. Ito vs. Stratonovich: Why is it the exact midpoint that renders Ito-correction zero?
  51. Is there a stochastic equation which can model returns according to its four moments?
  52. PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab
  53. Model for target zone exchange rates

  54. Characteristic function of SDE with coefficients depending upon second coupled SDE
  55. Intuition behind the change of variable of BS into Heat Equation

  56. Transformation of coupled forward-backward stochastic differential equations in 3 dimensions with Ito formula

  57. QuantLib Gsr model

  58. Net present value when cash flows accrue continuously and are stochastic
  59. Explanation on the application of CLT in bionomial tree model

  60. How to trade the Ornstein-Uhlenbeck process?
  61. How to calibrate an SDE's by finite difference equation?

  62. Will volatility smoothing effects exist for returns driven by geometric brownian motion?

  63. The solution to arithmetic brownian motion

  64. Is there an optimal exercise time for a perpetual option?

  65. Short term funding and portofolio optimal mannagment model

  66. How to find the mean and variance of this stochastic process?

  67. Connection between stock price behavior and risk neutral valuation of European put

  68. Utility-optimal leverage with costs

  69. What is the probability that a Brownian Bridge hits an upper barrier $U$ before a lower barrier $L$?
  70. How to understand nonrandom/random process in Shreve book?
  71. Scaling Z value/or voll with square root of time
  72. Why is $Y(t)V^h(t)$ a martingale?

  73. Short rate models (stochastic)

  74. Why do we have zero drift when switching to a martingale measure?

  75. Why won't Bjork ever show that the integrability condition is satisfied?

  76. How to price Swaptions with short rate models?

  77. CIR Process from Ornstein–Uhlenbeck process

  78. Pricing defaultable asset with finite maturity

  79. Can I always use quadratic variation to calculate variance?

  80. Concatenation property of a set of semimartingales
  81. How to compute the variance of this stochastic integral?

  82. How to show that $E\left[ \int_0^t \sigma(s) e^{iuX(s)} dW(s)\right] = 0$?
  83. Matlab implementation for modelling stock price process

  84. Moment Ito's Process Proof

  85. Soft: Interpretation Fractional BM in finance
  86. How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)

  87. Black-Scholes evaluating the squared of the stock price
  88. Is Black-Scholes complete?

  89. Why does the partial derivative, $X_t$, of an ABM $X(t)$ not involve standard Brownian motion $Z(t)$, even though $Z(t)$ varies with $t$?

  90. Mean Reverting to its own variance?

  91. Expectation of two correlated processes?

  92. Black scholes model for down and out European call option using Monte Carlo

  93. How to define the $f$ function to apply Ito's lemma?

  94. Random Walk choosing constant $g$

  95. Simple simulation model of bond plus cash returns

  96. Is this process of Brownian motion?
  97. Stochastic differential equation of a Brownian Motion

  98. How to compute the conditional variance of this jump process?

  99. Mean Crossing for Ornstein-Uhlenbeck

  100. How to find time of mean reversion of an interest rate model