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Hi David, I know panel data is a kind of pooled data. But what is the difference between the 2? Thanks.

Hi David, Could you let me know where I can find the screencast for Grinold & Kahn Chapter 14 – Portfolio Construction? Thanks.

Hi David, In the formula of yield-based DV01, the price has been offset from numerator and denominator so there is no price. I wonder why there is still price effect on yield-based DV01? Thanks.

Hi David, So for call, why N(d2) is not considered when shorting the cash? Thanks.

Hi David, "The forward rate agreement can be decomposed into two zero coupon building blocks. If the position is long a 6 x 12 FRA, the building blocks are: Long 6 month bill plus (+) Short 12-month bill" I wonder where is the preset fixed rate in this scenario? I understand FRA =...

Hi David, Could you elaborate "Relative VAR" (how VaR can be used as a performance benchmark). Is it same as Tracking Error VAR? Thanks.

Thank you David. This is very insightful!

Hi David, if theta is almost always negative, why does note say “If theta is large and positive then gamma tends to be large and negative”? thanks.

Hi David, Could you take a look this question when you get chance? Thanks.

Thank you David so much for this detailed explanation and your great patience!

Hi David, so the defintion of effectiveness of hedging should not be 1 - (variance(basis) / variance(spot price). It should be 1 - (variance(s - h*f) / variance(s), instead, since basis = s-f <> s-hf, right? Thanks.

Hi David, "short the index futures and buy a call option (strike @ delivery price) to hedge the loss on the futures contract. " did you mean to hedge the loss on the portfolio? (synthetic put to protect portfolio) So why does one want to create a synthetic put? it needs a call and a index...

Hi David, I understand variance(basis) = var(S-F) = var(s) + var(F) - 2 * rho * sd(s) * sd(F). But you used var(s) + h^2*var(f) - 2*h*rho*SD(s)*SD(f). do I miss anything? thanks.

Hi David, "If theta is large and positive then gamma tends to be large and negative". I think theta is normally negative, right? BTW how to understand/interpret/memorize this formula? Thanks.

Hi David, sorry it seems i have some difficulty to follow you: effectiveness of hedging = 1 - variance(basis) / variance (spot) = 1 - [(var(S) + var(F) - 2 * correlation * SD(S) * SD(F))]/var(S) = -var(F)/var(S) + 2*correlation*SD(F)/SD(S) since h* = correlation*SD(S) /SD(F)...

Hi David, Could you explain how stratified sampling can accelerate the MC simulation? thanks.

Hi David, I think there are 2 ways to express the effectiveness of hedging 1. effectiveness of hedging = 1 - (variance(basis) / variance(spot price) 2. in the minimum variance hedging, effectiveness of hedging=square(R)=square(corrlation coefficient) Are they consistent? Thanks.

Hi David, Why does futures have more basis risk than forward? Thanks.

Hi David, QFP = (Cash Futures Price - Accrued Interest) /( Conversion Factor) How is AI is calculated? Is it just the the accured from now to the next cpn date? what about the coupons after next coupon date and before the futures maturity date? Thanks.

Hi David, "The potential size of a bank‘s FX exposure given by: Dollar loss/gain in currency i = Net exposure in foreign currency I measured in US dollars * Shock (volatility) to the $/foreign currency I exchange rate" I wonder if the net exposure in FC should be measured in FC than USD...