题目3733 · 随机过程
Pricing an Option on Weather Versus Forecasting the Weather Itself
If a firm trades a weather derivative, why might the measure used to price the contract differ from the one used by meteorologists to forecast temperature?
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中文题目题目3715 · 随机过程
Why Girsanov Is Useful for Pricing Even When Physical Drift Is Interesting
Why is Girsanov still useful in pricing problems even when a researcher cares about the physical drift of the process?
打开 →题目3718 · 随机过程
Backtesting a Signal Versus Pricing Its Optional Overlay
A PM is backtesting a signal-driven strategy and also wants to value a stop-loss overlay that behaves like an option. Which measure should dominate each part of the workflow?
打开 →题目3707 · 随机过程
Convenience-Yield Drift Under the Pricing Measure
A traded underlier satisfies dS_t/S_t = 0.12dt + 0.3dW_t under P, while another factor satisfies dY_t = -0.1dt + 0.15dW_t with the same Brownian driver. If Q is chosen so the discounted stock has drift 0 at rate r = 0.04, what is the drift of Y under Q?
打开 →题目3717 · 随机过程
Historical Carry Is High but the Pricing Drift Is Low
A junior notices that a commodity future has shown high historical carry under the data, yet the desk prices an option on that future under a measure with much lower effective drift. How should you explain the gap?
打开 →题目2091 · 数理金融
Incomplete-Market Pricing Intuition 21
Why does a unique no-arbitrage price disappear as soon as the trinomial market has more states than traded securities?
打开 →题目2092 · 数理金融
Incomplete-Market Pricing Intuition 22
Why does the superhedge naturally sit at the top of an incomplete-market price interval?
打开 →题目2093 · 数理金融
Incomplete-Market Pricing Intuition 23
Why can a minimum-variance hedge still fail to pin down a unique no-arbitrage price?
打开 →题目2094 · 数理金融
Incomplete-Market Pricing Intuition 24
Why can one extra state-contingent quote complete the market in a trinomial model even if the stock and bond alone cannot?
打开 →题目2095 · 数理金融
Incomplete-Market Pricing Intuition 25
Why do indifference prices depend on risk aversion while no-arbitrage intervals do not?
打开 →题目2875 · 概率
Monte Carlo Pricing Error with Bounded Payoffs
A Monte Carlo pricer averages $500$ i.i.d. discounted payoff samples, each in $[0,1]$. Use Hoeffding's inequality to bound the probability that the estimated price differs from the true price by at least $0.05$.
打开 →题目3740 · 随机过程
Why a Pricing Kernel Sits Between P and Q
If someone asks how P and Q are connected rather than merely different, what is the right conceptual answer?
打开 →题目4507 · 数理金融
Why a Redundant Asset Does Not Collapse a Pricing Interval
In an incomplete market, why does listing one more asset fail to eliminate price intervals if that asset's payoff lies in the old span?
打开 →题目4510 · 数理金融
Why Uniqueness of the Pricing Measure and Completeness Tell the Same Geometry Story
At interview level, why should you think of 'unique martingale measure' and 'complete market' as two views of the same linear-algebra fact?
打开 →题目5281 · 金融与交易
Correlation Shock And Volatility Repricing 1
An equal-weight portfolio holds two assets with volatilities 0.04 and 0.09. The current correlation estimate is -0.2, but stress testing revises it to +0.3. With weights unchanged, what is the new portfolio volatility, and by how many volatility points does it rise versus the ori
打开 →题目5871 · 数理金融
Vega P&L From A Vol Repricing
Your position has total vega of 20 dollars per one full volatility point (i.e. per 1.00 change in sigma). Overnight the implied vol used to mark the book rises from 22% to 27% with spot unchanged. Ignoring all other Greeks, what is the mark-to-market vega P&L in dollars, to two d
打开 →题目5186 · 金融与交易
Why Basis Is Not The Same As Mispricing
Why can a forward trade above spot without necessarily being overpriced?
打开 →题目3798 · 随机过程
Why Time Runs Backward in Pricing PDEs
Why does the PDE associated with a terminal payoff usually run backward from T to t instead of forward from now to maturity?
打开 →题目5181 · 金融与交易
Arbitrage Direction 1
Spot is 100, maturity is 1 years, and the funding rate is 0.03. The quoted forward price is 104. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →题目5182 · 金融与交易
Arbitrage Direction 2
Spot is 90, maturity is 0.5 years, and the funding rate is 0.04. The quoted forward price is 91. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →题目4476 · 数理金融
Convex-Hull No-Arbitrage Test 1
A one-period stock has S0=100, future states 118, 94, and 76, and risk-free rate 0. Use the discounted-price convex-hull test to decide whether an arbitrage-free pricing measure can exist.
打开 →题目4478 · 数理金融
Convex-Hull No-Arbitrage Test 3
A one-period stock has S0=80, future states 86, 82, and 70, and risk-free rate 0.02. Use the discounted-price convex-hull test to decide whether an arbitrage-free pricing measure can exist.
打开 →题目4482 · 数理金融
Existence Versus Uniqueness
Why does the First Fundamental Theorem care about existence of an arbitrage-free pricing measure rather than uniqueness?
打开 →题目4485 · 数理金融
First Diagnostic
In a simple discrete model, what is the first thing you should check before talking about arbitrage-free pricing measures?
打开 →题目2157 · 数理金融
Forward-Measure Product Intuition 12
Why is floorlet pricing basically the same symmetry story under the same forward measure?
打开 →题目2151 · 数理金融
Forward-Measure Product Intuition 6
Under the T-forward measure, what object built from a later bond price becomes the natural martingale and why does that help pricing?
打开 →题目2144 · 数理金融
LMM Desk Intuition 24
Why is the terminal measure convenient for simulation even though product pricing may later be expressed under another measure?
打开 →题目4594 · 数理金融
Martingale Carry Inference 4
Under risk-neutral pricing, spot is 120, risk-free rate is 4%, dividend yield is 1.5%, and maturity is 2 years. What is E[S_T]?
打开 →题目4611 · 数理金融
Martingale First Step 16
Before invoking any theorem-level pricing statement in the martingale route, what should you identify first?
打开 →题目4602 · 数理金融
Martingale Scenario 12
Why is discounted pricing central in the martingale derivation rather than a cosmetic last step?
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