see any econometrics text.

I tried to search online but not success.
I even cannot find equation in this matrix form which makes me wonder if its really the case =COV(Ri, Rm)/Cov(Rm) for multi-factor. (before I can see any proof of it)

Hi, For a one-factor CAPM, calculation of beta coefficient is easy and = COV(Ri, Rm1)/sigma(Rm1)^2, where Ri = return of security i; Rm1 = market return in market M1) However suppose we have multi-factor CAPM, i.e. to estimate return of a security based on multiple market return(s) in markets M1, M2...

Was Credit sensitivity calculation method the same for fixed rate bond & floating rate bond? For fixed rate bond, its easy to imagine to calculate credit sensitivity by shifting the yield-to-maturity upwards by e.g. 1bp and reprice to calculate CS01. But for floating rate bond, how to do this? ...

I think FX exposure from risk perspective means impact of (PV + Cash) to change in Forex movement. As PV (far-leg) and PastCash (near-leg) are offsetting each other for each currency in the CurrencySwap, I expect FX exposure is nearly zero . I come across this question in interview sometime ago but ...

Was Credit sensitivity calculation method the same for fixed rate bond & floating rate bond? For fixed rate bond, its easy to imagine to calculate credit sensitivity by shifting the yield-to-maturity upwards by e.g. 1bp and reprice to calculate CS01. But for floating rate bond, how to do this? (...

May I know if there is FX exposure for a currency-swap with initial exchange of nominal?

I was assuming not much FX exposure for this. But not sure if its correct or not. 

May I know if there is FX exposure for a currency-swap with initial exchange of nominal?

I was assuming not much FX exposure for this. But not sure if its correct or not. 

<t>But I saw his proof for the Lemma seems skipped some step which I don't understood...He said: [$]u(x)[$][$]= u(a) + xu'(x) - au'(a) + \int_{x}^{a}Ku''(K)dK[$]By Considering the cases x < a and x > a[$]= u(a) + u'(a)(x-a) + \int_{inf I}^{a}u''(K)(K-x)_{+}dK + \int_{a}^{sup I}u''(K)(x-K)_{+}dK[$]I ...

Sorry my bad my calculus background is no good, would you mind to tell me why below is incorrect by negative sign? I have never tried integration by part with indicator function. Thanks, [$]\int_{S_*}^{\infty} f(K)\Delta(S_T-K)dK[$][$]= \int_{S_*}^{\infty} f(K)d(1_{S_T \geq K})[$]

But it was just simply integration by parts. Why its (+,-,-,+)?

<t>Hi I have some question in below payoff function derived from Taylor expansion to be used for pricing Variance Swap:[$]f(S_T) = f(S_*) + f'(S_*)(S_T-S_*) + \int_{0}^{S_*} f''(K)(K-S_T)^{+}dK + \int_{S_*}^{\infty} f''(K)(S_T-K)^{+}dK[$]In the proof:[$]f(S_T) [$][$]= \int_{0}^{S_*} f(K)\Delta(S_T-K...

<t>Hi, I want to ask why drift rate of stock does not appeared in Black Scholes (BS) equation intuitively...?A stock S1 with higher drift rate (u1) should deserve a higher call price value than another stock S2 with lower drift rate (u2). BS equation however does not incorporate this drift rate diff...

<t>Hi, is there any layman term/interpretation for explaining why we need to change the risk neutral measure (or drift rate) from foreign to domestic if the stock is a foreign one in the quanto concerned?I read the proof and roughly know mathematically that the drift rate of domestic & foreign m...

<t>Hi, I have a stupid strategy not sure if can work in real world:Long equity stock right before ex-date. (with high dividend yield)Short corresponding equity future right before ex-date (the nearest expiry)The purpose is to gain risk free return on dividend. Any one have idea on whether its possib...

<t>Hi, I would like to get some insights on how to simulate default time from bivariate distributions. I was new to copula formula and recently has exposed to bivariate distributions like Marshall Olkin bivariate distributions. It seems like its joint distribution was:[$]Q(\tau^A>x_1, \tau^B>x_2) = ...