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Thanks for the very detailed reply. I think I get it when you put it as "conditional volatility is a volatility (and, really a model of volatility) that deliberately is informed by new information; i.e., "tomorrow's volatility estimate depends on (is conditional on) certain new information." So...

Hello again, I'm having a bit of trouble wrapping my head around the idea of conditional vs unconditional volatility. In one of David's Youtube videos (and from other sources like Jorion) conditional volatility is a volatility estimate conditional on today's volatility and can change day over...

Thanks for your reply, can you clarify what you mean by "assign weights to these returns based on volatility of returns(estimate from GARCH or other technique)" ? By new volatility, do you mean the volatility estimate from something like GARCH ?

Very interesting, thanks.

Hello, I really don't understand how Filtered Historic Simulation VaR (FHS) works after reading the PDF and googling for it. A simple explanation would be greatly appreciated.

Hello, In regime switching, are we modeling 2 separate normal conditional distributions ? One for the low volatility period and one for the high volatility period ? If that is the case, how wold you calculate a VaR using 2 distributions ? Would you include both the low and the high volatility ...

Thanks for your answer Shakti.

Hello, I'm a bit confused by the terminology used in the on balance sheet hedging example in the notes (example comes from Saunders chapter 14). On the liability side why are we "lending GBP @ 11%" aren't we recording the cost of funding and isn't lending (long bond) an asset ? Also, how is...

Hi, I'm confused by the statement in the chapter summary of McDonald chapter 6 If all commodities that require storage are said to be in a carry market (including gold and silver which are both financial commodities and consumption commodities), and in a carry market, the investor is...

Does anyone know the difference between Hull's North American edition and international edition ?

Thank you for clearing that up.

Hello, In the example on valuing swap as fixed and floating rate bonds in the notes on Hull chapter 7, the future value of the floating leg is computed as: (6 month LIBOR /2)*Notional. The notes say the floating rate is halved because "it is a semi annual payment on 5.5%" I understand that if...

Hi David, I'm reading through the notes on Hull chapter 6 AIM: "Differentiate between the clean and dirty price for a US Treasury bond; calculate the accrued interest and dirty price on a US Treasury bond." I'm confused by the statement that the invoice price of the bond = the face amount...

Hi David, Am I correct in my understanding that there is no additional basis risk in a stack and roll hedge vs a longer term hedge where you are not rolling over the hedge ?

Great. Thanks for clarifying that.

Hello on page 31 of the PDF "P1.Products+Hull--Chapters-1-7--10-&-11.pdf" it says "Remember that the basis itself converges to zero over time, as the spot price converges toward the Futures price". Isn't this the other way round ... futures prices converges to spot price ?

Great, thanks for clearing that up.

Hi, I'm not clear on what the "variance of the sample mean" is. Is it the variance of the sampling distribution ?

Hello, I'm lost with the calculations in the notes for coskewness, I understand conceptually what coskewness is though. In your opinion, should I spend time to understand ? Thanks

I like the aggregation of the different study mediums (spreadsheet, video, notes etc..) under the topic. From the screen shot, it isn't clear which ways you will be able to filter and sort the content ( like the current ability to filter out items that are not "recommended" or "essential") cheers