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by exotiq
October 18th, 2003, 12:52 am
Forum: Technical Forum
Topic: Equity duration
Replies: 20
Views: 200687

Equity duration

<t>The big question is what is meant by duration and what you plan to use itfor:1. If you mean "present-value weighted average time of receiving a cashflow", than duration of equity may not be that long due to the very deeprisk-adjusted discounting of the unstated, unknown longer term cash flows.2. ...
by exotiq
October 15th, 2003, 9:34 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the most popular probability distributions, and what are their uses in finance?
Replies: 25
Views: 201811

What are the most popular probability distributions, and what are their uses in finance?

Of course, the normal is just the continuous limit of the binomial. The binomial makes sense locally as we think of stock prices as moving up or down at each tick, but can also be generalized to non-constant volatility implied distributions, for example, in Rubinstein (1994).