Quantitative Finance Weekly Newsletter - Thursday, November 24, 2016

Quantitative Finance newsletter

Top new questions this week: How to calculate the distortion function for CVaR? Can anyone give me some hints as to how to prove that $$g(x) = \begin{cases} \frac{x}{1-\alpha}, &0 \leq x \leq 1-\alpha\\ 1 , &1-\alpha \leq x \leq 1 \end{cases}$$ ... risk risk-management coherent-risk-measure cvar   asked by Reuben Schlotter 6 votes answered by Reuben Schlotter 2 votes Problem on Characteristic function in Heston model I know the Heston model .In this model, we have $$f(\Phi,x_t,v_t)=\exp(C_j(\tau,\Phi)+D_j(\tau,\Phi)+i * \Phi * x_t)$$ How can we extract the Characteristic function as follows ... finance-mathematics heston   asked by finance 6 votes answered by Behrouz Maleki 7 votes Is Value At Risk additive? I have computed the value at risk of 2 different commodities. Assuming they have not correlated, can I just sum the two standalone VaR to get my overall portfolio's VaR ? option-pricing var   asked by RyanB 3 votes answered by SRKX 6 votes Is this process of Brownian motion? Background Information: The process $W = (W_t:t\geq 0)$ is a $\mathbb{P}$-Brownian motion if and only if i) $W_t$ is continuous, and $W_0 = 0$ ii) the value of $W_t$ is distributed, under ... stochastic-processes stochastic-calculus wienerprocess   asked by Wolfy 3 votes answered by Behrouz Maleki 7 votes Annualization of coskewness and cokurtosis I am constructing a mean-variance-skewness-kurtosis portfolio based on monthly data with a holding period of one year. Meucci describes how to annualize higher order moments in general, but not how to ... modern-portfolio-theory portfolio-optimization skewness kurtosis annualized   asked by Jensc 3 votes Is forward price trendless under the real-world measure? I recently went through some commodities forward curve modeling documentations, where a diffusion model for the forward price $F(t,T)$ was modeled as a driftless diffusion process (as a function of t ... risk-neutral-measure commodities risk-premium   asked by user138668 2 votes answered by Quantuple 2 votes Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates? can anybody tell me which models Bloomberg and Reuters ares using to derive implied volatility for interest derivatives with negative forward rates? I know that Black-76 is the standard model, and ... implied-volatility derivatives bloomberg negative black76   asked by Philipp 2 votes Greatest hits from previous weeks: Is there any thing out there as a substitute for KDB? thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ... programming database   asked by Peter Peter 26 votes answered by mollmerx 14 votes Why are GARCH models used to forecast volatility if residuals are often correlated? The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ... volatility time-series forecasting best-practices   asked by kaybenleroll 17 votes answered by Richard Herron 12 votes Can you answer these? Annualize a covariance matrix? I am attempting to find the annualized covariance between assets in a portfolio but I only have daily data. So how do I annualize the covariance matrix between these assets? covariance-matrix   asked by Nikolas Garcia 1 vote Proving we have a $\mathbb{Q}$-Brownian motion Background Information: This question comes from the book Financial Calculus by Baxter and Rennie. WE start with looking at the marginal of $W_T$ under $\mathbb{Q}$. We need to find the likelihood ... brownian-motion mathematics finance-mathematics financial-engineering   asked by Wolfy 1 vote

Subscribe to more Stack Exchange newsletters Unsubscribe from this newsletter or change your email preferences by visiting your subscriptions page on stackexchange.com. Questions? Comments? Let us know on our feedback site. If you no longer want to receive mail from Stack Exchange, unsubscribe from all stackexchange.com emails. Stack Exchange, Inc. 110 William St, 28th Floor, NY NY 10038 <3