Hi all,Does anyone know any paper etc on whether it is possible to use volatility estimate in making trading decision?

Any answer pls?

Thank you

<t>Hi all,I cant understand what is the par value of a Bond and how to calculate it. Consider a year Treasury Bond with Principle $100. It gives interest at 6% p.a. semiannually. I saw in net that Par value of a Bond is the amount to be paid at the end of maturity. Here amount payable at the maturit...

I wud like to make a small improvement. fitted epsilon values have to be Independent NOT only uncorrelated.Regards,

<t>Hi all, I am trying to understand Kullback-Leibler or Jensen-Shannon divergence between two distributions. I searched on net for that, but most the cases, inclusing Wikipedia, give only definition of that. However I am not getting the intuition or idea behind that. My question is why that express...

<t>There is no relation between normality and matrix decomposition. The job of choleski decomposition is to find "square root" of a PD matrix. As the square root of a positive number not unique, "square root" of a matrix similarly not unique. You can use SVD etc to get the same, all are correct. But...

Is there any better explanation?

<t>Hi all,I have just come through a job posting where JD is as below :1. Economic Capital: Run the HBUS (monthly) and HNAH (quarterly) Credit Economic Capital production process using MKMV PM. Allocate risk-based economic capital to cover credit risk.2. Economic Capital – Treasury: Assist in estima...

This means : if I want to calculate the fare price for all market participant then I should go with Risk-Neutral measure. however in case if do the same for my client who has a particular view on future movement of underlying then I should use Physical measure.Is my understanding correct ?

<t>Ok then u mean that model-2 is correct. Now come to the estimation of VaR. suppose i have invested in only 1 stock. Then I can estimate the VaR as follows:Return : P[t+1]-P[t] = P[t]* (P[t+1]/P[t] - 1) = (almost equal, provided there is not so much change in P[t+1] from P[t]) = P[t]* ln(P[t+1]/P[...

Hi Buddies, still i donot understand. can anyone give me better idea in understanding that?

ut, estimation of expected value of next day's return is completely different . Then how can I convince my client on my estimation?

<t>Hi all, good morning In my knowledge there is basically two types of model for daily closing price of an asset.Model-1Assumption : log of daily closing price follows random walk. therefore,ln(P[t+1]) given P[t] ~ N(ln(P[t]), sigma^2) Note : Instead of modeling ln(P), I can model P itself using th...

Thanks GC