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FAQs in Quantitative Finance.pdf
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上传时间: 2020-04-26
详细说明：FrequentlyAsked
Questions
1. What are the different types of Mathematics
found in Quantitative Finance? 20
2. What is arbitrage? 25
3. What is put-call parity? 28
4. What is the central limit theorem and what
are its implications for finance? 31
5. How is risk defined in mathematical terms? 36
6. What is value at risk and how is it used? 40
7. What is CrashMetrics? 44
8. What is a coherent risk measure and what
are its properties? 48
9. What is Modern Portfolio Theory? 51
10. What is the Capital Asset Pricing Model? 54
11. What is Arbitrage Pricing Theory? 58
12. What is Maximum Likelihood Estimation? 61
13. What is cointegration? 67
14. What is the Kelly criterion? 70
15. Why Hedge? 73
16. What is marketing to market and how does it
affect risk management in derivatives trading? 79
17. What is the Efficient Markets Hypothesis? 83
x FREQUENTLY ASKED QUESTIONS
18. What are the most useful performance
measures? 87
19. What is a utility function and how is it used? 90
20. What is Brownian Motion and what are its
uses in finance? 94
21. What is Jensen’s Inequality and what is its
role in finance? 97
22. What is Itô’s lemma? 100
23. Why does risk-neutral valuation work? 103
24. What is Girsanov’s theorem and why is it
important in finance? 107
25. What are the ‘greeks’? 110
26. Why do quants like closed-form solutions? 116
27. What are the forward and backward
equations? 119
28. Which numerical method should I use and
when? 123
29. What is Monte Carlo Simulation? 132
30. What is the finite-difference method? 136
31. What is a jump-diffusion model and how does
it affect option values? 142
32. What is meant by ‘complete’ and ‘incomplete’
markets? 146
33. What is volatility? 151
34. What is the volatility smile? 157
35. What is GARCH? 164
36. How do I dynamically hedge? 170
37. What is dispersion trading? 176
FREQUENTLY ASKED QUESTIONS xi
38. What is bootstrapping using discount factors? 179
39. What is the LIBOR Market Model and its
principle applications in finance? 183
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