What's new

Search results

  1. S

    Vasicek model recombining tree

    also im not sure if its a typo? in the picture the formula says (k*theta-r) but at the top of chapter it says k*(theta-r). Which one is correct?
  2. S

    Vasicek model recombining tree

    Hi, Can anyone demonstrate an example of how the rates in the Vasicek model tree is calculated? I am looking at Tuckman's chapter 9 study notes on page 57 (see attached). For example, how is the rate at (1,1) of 5.5060% calculated? Thank you
  3. S

    Computation of the standard error of a coherent risk measure

    In Dowd's example under evaluating estimators of risk measures in chapter 3, in the first bullet point, I don't understand how did he came up with "the probability of a loss exceeding 1.695 is 4.5%", and also "probability of a profit or loss less than 1.595 is 94.46%"? Can someone care to...
Top