## Top new questions this week:

### Where to find good notations to teach investment portfolio maths?

I don't know whether this question is in order here. I do a bit of teaching and I am preparing my own notes but I thought that his should not be necessary. In which book/pdf on the web can we find a ...

risk portfolio reference-request expected-return risk-education

### Is the money market account (MMA) numeraire and the forward measure equivalent?

Suppose we have a risk-neutral measure $\tilde{\mathbb{P}}$. The money market account is given as $M(t) = e^{\int^t_0 R(s) ds}$, while the price of the zero-coupon bond at time $t$ that matures at $T$ ...

numerairechange

### Do efficient market hypothesis and random walk theory convey the same concept?

According to investopedia efficent market hypothesis is The efficient market hypothesis (EMH) is an investment theory that states it is impossible to "beat the market" because stock market ...

random-walk market-efficiency

### How to trade the Ornstein-Uhlenbeck process?

My question comes from this paper, which is a short version of Avellaneda's paper The picture bellow provides a summary of the equations. Do I understand correctly that in order to trade OU process ...

### Interpolation of forward zeros-coupons bonds simulations for missing maturities (ESG data)

I have a set of economic scenarios simulated with Barrie and Hibbert ESG. The stochastic model for interest rates used is Libor Market Model Shifted. I am facing a problem with zeros-coupons prices. ...

interest-rates risk-neutral-measure forward-rate interpolation

Let ${(I_t)}_{t\geq 0}$ be a stochastic integral defined by $$I_t=\int_{0}^{t}\theta_sdW_t,$$ where $W$ is a standard Brownian motion defined on $(\Omega,\mathcal{F},{(\mathcal{F}_t)}_{t\geq ... stochastic-processes stochastic-calculus brownian-motion wienerprocess  asked by M. A. Kacef 3 votes ### The relation between exchange rate SDE and respective interest rates The exchange rate between a domestic currency money market and a foreign currency money market can be expressed as $$dQ(t) = (r_d - r_f)Q(t)dt + \sigma Q(t)d\tilde{W}(t)$$ where$r_d$is the ... stochastic-processes fx numerairechange  asked by Astaboom 3 votes  answered by dm63 2 votes ## Greatest hits from previous weeks: ### Switching from C++ to R - limitations/applications I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ... r development  asked by Karol Piczak 42 votes  answered by Johann Hibschman 21 votes ### What open source trading platform are available I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches. trading high-frequency  asked by Datageek 14 votes  answered by Andrew Campbell 10 votes ## Can you answer these? ### Problems with a Black-Scholes modified equation I haven't really studied much financial mathematics until about 2 months ago so I'm quite new to this stuff, so I'm sorry if this is a trivial question. At the moment I'm trying to work out what the ... options option-pricing black-scholes stochastic-processes modeling  asked by ThePlowKing 2 votes ### How to choose a GARCH model which delivers iid standardized residuals? For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t\$) are approximately ...

volatility time-series garch stationarity