Search found 3 matches

by TheCorpFinanceQuant
July 24th, 2019, 7:32 pm
Forum: Student Forum
Topic: Black-Scholes from Random Walk Derivation - Issue
Replies: 8
Views: 343

Black-Scholes from Random Walk Derivation - Issue

Hi All, I am trying to understand the derivation bnehind the BS from a lognormal random walk, however, in the notes i have it just seems to suddenly replace (dX)^2 with dt. Following another textbook, I see the same derivation, but no explanation? I know it is probably me being incompoetent, but why...
by TheCorpFinanceQuant
July 10th, 2019, 6:04 am
Forum: General Forum
Topic: Quant Commodities Interview questions
Replies: 2
Views: 268

Quant Commodities Interview questions

HI All,

I have a quant analyst interview with Macquarie for commodities, but what kind of questions should I expect? Honestly, I do not know much about the asset class, but I don't think there's as much of a quantitative nature to it? I could be incredibly wrong...
by TheCorpFinanceQuant
May 27th, 2019, 7:23 pm
Forum: General Forum
Topic: Random Walk - Market Invariants
Replies: 1
Views: 265

Random Walk - Market Invariants

Reading through Atillio Meucci's questions for his Risk and Asset Allocation book. One of the questions  Q3.1.1 -  Generate a Merton jump-di ff usion process  X t  at discrete times with arbitrary parameters. What are the invariants in this process? Any ideas on what these invariants would be?