Quant Interview Questions · 14. novembre 2023
In the context of stochastic calculus, considering the term 'dX' known as a Wiener process, what does the relationship 'dX^2 equals dt' when 'dt' tends toward 0 signify? A) A summation of squared values B) The convergence of a sequence C) The limit of a function D) The behavior of a Wiener process Unveil the hidden connection with your choice! __________ The correct answer is: D) The behavior of a Wiener process Explanation: In the context of stochastic calculus and the Wiener process, dX^2 =...
Stochastic Models and Processes · 12. novembre 2023
The Hull-White model is a credit derivative pricing tool that uses a stochastic hazard rate to reflect default risk and economic conditions. It calculates survival probabilities and expected losses to price Credit Default Swaps (CDS), employing a risk-neutral approach and calibration with market data for realistic valuation.
06. novembre 2023
Benoit Mandelbrot revolutionized finance with his fractal geometry insights, revealing that market prices are rough and self-similar across time scales, not smooth as traditional models suggest. His work, inspired by Hurst's Nile studies, shows markets exhibit 'wild randomness' with frequent large swings. Mandelbrot's methods, using the Hurst exponent, offer a new model for capturing the actual volatility and trends in financial markets. #Mandelbrot #Fractals #Finance #MarketVolatility