Search results

  1. I

    P1 T4 Allen Pg7 Notes

    Hi David, Have got a few basic questions. Conditional distribution(time varying). Suppose we cosider a time series of returns over a 10yr period. Say the distribution is changing as assumed and to keep it simple lets say the dbn is changing every 6 month period. In that case when we...
  2. I

    Miller Ch4 Q5 Pg 76 Study Notes

    Hi David, Didn't really understand the approach to this problem. A random variable X has a density function that is a normal mixture with two independent components: the first normal component has an expectation (mean) of 4.0 with variance of 16.0; the second normal component has an...
  3. I

    Miller Chapter 5 Pg79 of Study Notes

    Hi David, I am a bit confused as to how the Critical value of 1.972 is arrived at for the below example. B'coz my understanding is that if the sample size is more than 30 we can use normal distribution table if the t-table is given only upto 30 dfs. In that case 95% 2-sided is area 0.475 on...
  4. I

    Mixing continuous and annual compounding in interest rate swap valuation

    Hi David, I am very new to the Forum and have got a few naive questions. Re the swap valuation in the Learning spreadsheet T3.12.7_Swaps(worksheet SWAP(IRS)). My confusion lies with the way the FRA method of valuation works. When the CFs for the floating is calculated the semi-annual forward...
Top