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  1. FlorenceCC

    Chapt.5 Tuckman - Hedging PF with key rate exposure

    Hi @David Harper CFA FRM, I have a couple of questions related to the study notes on the chapter mentioned in title. Specifically, p97, I am trying to understand using the spreadsheet how we built the overall KR01s hedges to our initial portfolio positions. In particular some columns leave me...
  2. FlorenceCC

    Options on futures contracts

    Hi David, I was wondering if you could give an example of how an option on a futures contract would work concretely? I am having a hard time figuring out what are the actual steps on this one. Let's say we have a call for instance - is the strike price the same as the price of the underlying...
  3. FlorenceCC

    Hull Chapt 4 (IR) Continuous and discrete compounding

    Hi @David Harper CFA FRM, I have a question regarding the "switch" for lack of a better term, between continuous and discrete compounding, after reading your example in the BT notes p. 55 (derive fwd IR from a set of spot rate). A set of continuously compounded zero rates is provided, which we...
  4. FlorenceCC

    Cash settlement in futures contracts

    Hi @David Harper CFA FRM I think I am getting slightly confused regarding how a cash settlement actually works. - > initially I thought we were basically realizing our payoff: for instance, an investor goes short on a futures contract for 100 bushels of wheat for a total of $10,000. Let's say...
  5. FlorenceCC

    Diebold Chapter 5 & 6

    Hi, I have a few questions following my reading of the syllabus related to Diebold Chapt 5 and 6, as detailed below: (1) linear vs. non linear trends. I seem to remember when reading the Stock and Watson syllabus that the concept of linearity applied to the parameters (i.e. B0, B1, etc.)...
  6. FlorenceCC

    Stock & Watson Chap 7

    Hi I have a couple of questions on the syllabus for chapter 7 as detailed below: (1) when we talk about computing the test statistic for a single regression coefficient, we specify that it follows a student's t distribution with n-k-1 df (p43). Which we will compare against the corresponding...
  7. FlorenceCC

    Sampling distribution of OLS estimators

    Hi, I understand that the assumption that the sampling distribution of OLS estimators b0 and b1 is asymptotically normal is a key property. However I'm a bit stuck as to why that is. I assume the magic CLT comes into play here, but I guess there are stil grey areas for me. When we apply the...
  8. FlorenceCC

    Miller Chapt. 4 - End of chapter question12

    Hi, I am working on Chapt.4 end of chapter Q&A (which I now understand are not written by David! :)). I am slightly confused by the second portion of Q12 (p96 of study notes) -"what are the mean and standard deviation of a portfolio where the return is a 50/50 mixture distribution of A and B"...
  9. FlorenceCC

    FAQ Before Exam Understanding the questions organization

    Hi @Nicole Seaman, I have been trying to confirm/complete my understanding of the BT website / study materials as far as questions are concerned, as I want to make sure I am using it fully and effectively. I am just trying to recap everything based on the information Let's use the Quantitative...
  10. FlorenceCC

    Miller - variance of the sample mean vs. sample variance

    Hello, I was reading about the Central Limit Theorem today, in the study notes for Miller chapter 4 (p79 specifically), and I realized that I am unclear about the following: (I) we indicate that the variance of each random variable is σ^2/n. As we have shown in the preceding ochapter, this is...
  11. FlorenceCC

    FRM Part 1 - Boston MA

    Hello everyone, I am studying for the FRM Part 1. I'll be in the Boston/Cambridge area from the month of February and I am basically looking for a study partner to keep motivated and answer each other questions. I'm a very hard worker, good academical quant/maths background though slightly...
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