0
votes
0answers
34 views

Solutions to exercises in Nelson's “An Introduction to Copulas”

I am paving my way through Nelson's "An Introduction to Copulas". The book has exercises (quite good actually), but no solutions. Does anybody have a solution manual for (some of those) exercises? ...
0
votes
1answer
49 views

How to find the expectation value?

Suppose that an insurer has an exponential utility function $u(x)=−2e^{-2x}$. What is the minimum premium $P^{-}$ to be asked for a risk X? After solving this we reached the following, So,only ...
1
vote
2answers
54 views

Expected value of SinhX

A random variable X is distributed according to a normal distribution with mean u and variance d.How to evaluate the expected value of SinhX?Thanks
0
votes
0answers
32 views

Stop-Loss reinsurance, Determine the premium?

I have a question regarding the stop-loss reinsurance and the detail of this question is given as follow,
1
vote
1answer
43 views

What is the minimum Premium to be asked for a risk X?

Suppose that an insurer has an exponential utility function $u(x) =-2e^{-2x}.$ What is the minimum premium $P^{-}$ to be asked for a risk X? I got some hint for this, but I could not understand ...
0
votes
1answer
32 views

How to calculate two asset portfolio (problem finding the Population correlation coefficient)

I have two assets: A has an expected value of $12$ % and a standard deviation of $8$%. B has an expected value of $15$ % and a standard deviation of $12$ %. Suppose that we invest $75$ % in A and ...
1
vote
1answer
28 views

finding the optimal decision value for two dependent random events.

I have been struggling with this problem regarding options (bermuda) for some time now. You can exercise this option on two seperate occasions namely at $T_1$ or $T_2$ with a strike price $E$. The ...
1
vote
0answers
25 views

How to sum correlation, or, calculate correlation of disjointed variables

I'm trying to calculate the correlation of 2 array of variables, but the array is disjointed in the middle - but I'm trying to obtain one correlation coefficient See the excel file I uploaded: ...
0
votes
1answer
77 views

financial maths - payoff options

Consider the payoff of a call option $C=\max\{0,S(1)-K\}$, where $S(1)=S(0)(1+\mu+\sigma_X)$, X has standard normal distribution. Take $S(0)=80$, $\mu=0.3$, $\sigma=0.4$, $K=100$ (strike price). ...
0
votes
1answer
29 views

statistics and financial ratios

Currently i am trying to derive the volatility of a financial ratio. I have calculated the volatility (standard deviation) of both the denominator and numerator however I am running into trouble ...
0
votes
1answer
264 views

Comparing annualised volatility from monthly and annual data

I fear there is a very simple answer to this question and its killing me that I can't see it. I am interested in calculating historical volatility: I have monthly index values starting in Jan 2005 ...
0
votes
0answers
63 views

Financial mathematic with Feynman-Kac

I have a really big task in financial mathematics and a small part of it (to set up the problem), I need to write a PIDE (the Feynman-kac) where we estimate options with jumps. It is derived from the ...
0
votes
1answer
86 views

When does variance fail to meet its purpose in mathematical statistics? [closed]

It have shown in a lot of both math and statistics book, however, When the books define the variance, it doesn't give much attention to math based theoretical background, i wonder if some formula that ...
1
vote
1answer
253 views

Normal Distribution Quantiles and Value at Risk

I'm preparing an exam, Quantitative Methods for Financial Markets. My book is not really clear for what concerns the calculation of normal distribution quantiles that have to be used in VaR's formula. ...
1
vote
0answers
44 views

Programming in R: How do I switch the X and Y axes?

I have a distribution plot of the daily drawdowns of the Dow Jones Industrial Average index; however, it has the drawdowns on the y-axis and the frequency on the x-axis... I'd like to switch that so ...
1
vote
0answers
82 views

Good reference on sample autocorrelation?

I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
1
vote
0answers
27 views

Standard practice for identifying outlying spend amounts

Hope this is mathematical enough to qualify as a question - I'm no mathematician! I have a set of individuals travel & entertainment credit card spend, and I'd like to highlight any outliers that ...
6
votes
1answer
6k views

Average percent increase not equal to total percent increase?

I tried searching around for this but it was difficult to boil down the search terms. Plus nothing seemed to be showing up anyway. What's an easy way to show that the average percentage increase of n ...
2
votes
1answer
524 views

Statistics with overlapping periods

I've been having a lot of discussions about finance recently in which people will point to some results using overlapping time periods and claim a high degree of statistical significance. For ...
3
votes
1answer
616 views

What is the definition of a “predictable process”?

I am reading a book on financial mathematics, and frequently encounter the phrase "predictable process", which I haven't seen definition of, and cannot find the definition online. At first I thought ...