- May 5th, 2016, 7:17 pm
- Forum: Student Forum
- Topic: How can I plot a graph in beamer step by step
- Replies:
**9** - Views:
**1334**

I think what you're after is TikZ / PGF.This manual has more stuff than you'll ever want to know on how to create plots in LaTeX code.Also, there's a repository of plots and drawings created using TikZ/PGF, it's definitely worth checking out.

- September 25th, 2014, 8:03 pm
- Forum: General Forum
- Topic: LIBOR discounting for uncollateralised trades
- Replies:
**8** - Views:
**5056**

<t>hi bazzat,I agree that in principle for each different collateral rate there should be a separate forward curve for the same LIBOR index. However, as you cannot observe quotes for uncollateralized swaps, you won't be able to calibrate an "uncollateralized LIBOR forward curve". And even if you cou...

- September 14th, 2014, 6:07 pm
- Forum: General Forum
- Topic: Time Horizont for measuring market Risk
- Replies:
**27** - Views:
**5900**

<t>QuoteOriginally posted by: DavidJNLet's turn the question back to you. Do you think Sept-Oct 2008 is likely to happen again? Or will Black Monday happen again? If not, why use those scenarios either?Fair question. I could say clichés like crises will happen again, but they won't be like past ones...

- September 14th, 2014, 9:15 am
- Forum: General Forum
- Topic: Time Horizont for measuring market Risk
- Replies:
**27** - Views:
**5900**

<t>QuoteOriginally posted by: bearishYou presumably use your beliefs to create your portfolio. Are you sure you also want to rely on them to make the risk management decisions?I'd say it is best to rely on undistorted historical data to make risk management decisions, whatever that data is. Augmenti...

- September 13th, 2014, 8:17 pm
- Forum: General Forum
- Topic: Time Horizont for measuring market Risk
- Replies:
**27** - Views:
**5900**

<t>QuoteOriginally posted by: DavidJN"Why would you be interested in the sensitivity of your portfolio to scenarios that don't happen? "Because those scenarios could happen in the future, for starts.I'm talking about stress events, not regular day-to-day fluctuations. Do you really think the opposit...

- September 12th, 2014, 6:13 pm
- Forum: General Forum
- Topic: Time Horizont for measuring market Risk
- Replies:
**27** - Views:
**5900**

<t>QuoteOriginally posted by: rmaxIt makes sense if you are looking at times of market stress. In essence you are generating a set of histoical bumps: i.e. credit spreads increasing hugely due to the credit crisis. However if you are looking at stress, then also looking at your portfolio valuation d...

- September 11th, 2014, 7:05 pm
- Forum: General Forum
- Topic: Time Horizont for measuring market Risk
- Replies:
**27** - Views:
**5900**

<t>QuoteOriginally posted by: DavidJN"how do you define antithetic scenarios ?"Say you have N observations of historical price changes.Extend the vector by multiplying each one of those changes by -1.While this is useful to reduce noise in a Monte Carlo context, I dont see why this would make sense ...

- June 23rd, 2014, 9:36 am
- Forum: General Forum
- Topic: RIP bootstrapping
- Replies:
**5** - Views:
**4875**

The Andersen-Piterbarg book has a chapter on yield curve construction.For swap market curves (Libor, OIS), you could model them using some kind of spline and use a nonlinear solver to obtain the spline's parameters. No need for a minimizer here and you'd calibrate to your inputs exactly.

- June 6th, 2014, 5:30 pm
- Forum: Technical Forum
- Topic: Funding beyond discounting
- Replies:
**11** - Views:
**7574**

<t>QuoteOriginally posted by: tw813So you mean r_c is borrowing secured by the derivative itself? If so, it is effectively the cash-collateralized derivative's repo rate and it may make sense to expect r_c < r_R. But then, I thought in practice the interest rate paid on derivative collateral is over...

- June 3rd, 2014, 9:02 am
- Forum: Technical Forum
- Topic: Funding beyond discounting
- Replies:
**11** - Views:
**7574**

<t>QuoteOriginally posted by: tw813The cash rate r_C is in general unsecured overnight borrowing. In the paper, r_F is the unsecured overnight borrowing rate, NOT r_C.QuoteI am a bit confused what you meant by borrowing secured by cash?I meant to say "borrowing" secured by your claim on your counter...

- June 2nd, 2014, 9:10 pm
- Forum: Technical Forum
- Topic: Funding beyond discounting
- Replies:
**11** - Views:
**7574**

<t>QuoteOriginally posted by: tw813Hi, let me assume that we are talking about overnight borrowing in both the cash rate and stock repo rate cases. The cash rate is essentially an overnight unsecured cash borrowing rate while the stock repo is an overnight borrowing rate taking into account stock co...

- April 3rd, 2014, 7:34 pm
- Forum: General Forum
- Topic: Why is martingale measure equivalent to a market one is called "risk -neutral"?
- Replies:
**15** - Views:
**6724**

<t>In the financial economics literature the risk-neutral measure [$]Q[$] is often referred to as the state price density, as these are just prices of contingent claims on future states of the world, rescaled to sum to 1.In an intertemporal equilibrium model, [$]Q[$] (i.e. state prices) are equal to...

- July 1st, 2013, 5:25 pm
- Forum: Technical Forum
- Topic: Correlation between stochastic processes
- Replies:
**5** - Views:
**8306**

<t>QuoteOriginally posted by: quidniOk, @frolloos, but could you explicitly explain why that?Are you asking why _changes_ are used instead of _levels_ to estimate the correlation? It is the changes that are stationary (levels are not). In other words: you have to make sure that the data comes from t...

- March 27th, 2013, 1:56 pm
- Forum: General Forum
- Topic: From N(d2) to N(d1)
- Replies:
**9** - Views:
**10016**

<t>If dS(t) = r S(t) dt + sigma S(t) dW(t)where W(t) is a Q-Brownian motion, then dS(t) = (r + sigma^2) S(t) dt + sigma S(t) dW^S(t)where W^S(t) is a Q^S-Brownian motion. Use the latter to calculate Q^S{S(T)>K) and you will get N(d1). I cannot attach any deeper intuition to this (I mean intuition th...

- March 27th, 2013, 12:05 pm
- Forum: General Forum
- Topic: From N(d2) to N(d1)
- Replies:
**9** - Views:
**10016**

<t>The price of a call option can be expressed in general as where Q is the standard risk-neutral measure and Q^S is the "stock price measure" (ie the pricing measure when the stock price is chosen as numeraire). This is model-free.The "probabilities" written above turn out to be expressed as N(d1) ...

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