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@payals66 here is the question I don't even know what you are asking but I can tell you: this is a highly typical question. It's in the notes, it's in GARP's readings. No, I'm not going to go hunt for it, I'm trying to record a 3-hour focus review today. Yes, the question includes "absolute"...

@Nicole Seaman nevermind, i found it. But we need a way to deal with these sort of questions which are frankly disruptive to my work

@Nicole Seaman I'm trying to prep a focus review video, and again need to limit my daily forum time spend, do you know to which question is referred? 27.1?

HI @Anirudhda77 It's a great question. In my opinion, we must first say that neither approach is wrong. You have elegantly illustrated the difference between historical simulation VaR and the most common parametric (aka, analytical) VaR which is normal VaR. Much can be said about this, but I'd...

Hi @sailakshmisuresh I love the question because I have to think about it! (I have the advantage of familiarity with this question ...). Let's find the assumption that matches your probability: ( 0.2^2 * 0.75^2). I think such an assumption would be. Being fanciful, let's say that the manager has...

Thank you @payals66 It is definitely ridiculous. To me, it's unacceptable. But it's a really terrific business for them, most amazing business I've ever seen. That's why I rolled my eyes, because you asked if our notes are up to date, which is ironic considering the state of their readings (and...

Hi @San955 Sorry, I don't follow you re the bounds. I drew the green arrow to emphasize a vertical perspective: if you pick a stock price, that is S(0) on the X-axis, then look at the vertical line, the upper bound S(0) is higher than the lower bound. Per the math. In regard to, why American...

Hi @payals66 Yes, our notes are up to date :rolleyes: (<-- and yes that's my eyeroll) GARP's new books often contain gaps relative to the LOs. For example, you aren't to Chapter 4 yet, but you'll see https://forum.bionicturtle.com/threads/garp-chapter-4-books-do-not-cover-specific-concepts.23217...

Hi @liyi1989 Exactly correct, well done and observant on your part. Unfortunately despite our feedback to be careful about FX conventions, GARP has struggled to get this right (e.g., our feedback here goes back over three years, see here a similar prior mistake on sample/exam question to which...

HI @San955 I think maybe you are misreading Hull's Figure. See below. Yellow is the option value region. At any given stock price, S(0), we can imagine a vertical line slicing through the region. The upper bound is the higher S(0), while the lower bound is the lower max[S0 - K*exp(-rt), 0]. For...

Hi @PaParas The second derivative is super-sensitive, that's very close. Often it is rounding but notice that $1.73830 * 27,618.0 = 48,008.4 per the second derivative, d^2P/dy^2 as simply equal to the product of Convexity and the Price, C*P. So my own rounding is infinitesimal. I hope that's...

Hi @Eustice_Langham You put effort into your question, so I think (maybe even if somewhat subconsciously) I tend to requite such sincerity with a bit more effort on my end :) Yes, it is exactly backward induction. To honor the flexibility of the model, we normally discount each interval...

Hi @Eustice_Langham I agree with GARP's answer. I think your mistake it to treat the call option value as zero at node c[date 1, state 0] where the stock price is 45.242. You are correct that with a strike price of 48.00, the option would be underwater at node[1,0] but we only use intrinsic...

Hi @hsmirror They both should count in the same direction where "+" is forward in time and "-" is backward in time: if S(i) is today then yesterday is S(i-1) and if σ^2(n) is today's (aka, updated) variance estimate then σ^2(n-1) is yesterday's (aka, most recent) variance, and we can refer to an...

Hi @Eustice_Langham The option's delta = Δc/ΔS = (3-0)/(42-38) = 0.75. The fundamental delta hedge (i.e., informs the Black-Scholes even) is short one call plus long one Δ share; see my video on this here at...

Hi @PaParas Good for you for engaging with the calculations! Maybe the best way to figure out the difference is to share with you my spreadsheet. Here it is, I trust you can open this in Excel https://www.dropbox.com/s/vap6tnjbeemkldu/080720-option-dv01.xlsx?dl=0 The exercise is shown below...

Hi @hsmirror I don't have the context but EWMA is a summation of the series of (weighted) squared-returns: σ^2(EWMA) = α(1)*r^2(t-1) + α(2)*r^2(t-2) + ... + α(n)*r^2(t-n) where the weights, α(i), happen to decline exponentially. The weight applied to yesterday's (t-1) squared-return, r^2, is...

Sure @dtammerz The vertical bars represent absolute value (https://en.wikipedia.org/wiki/Absolute_value); as in, for example, the absolute value of |-2.33| = 2.33. As mentioned, the numerator given by "D" is the raw distance between the sample means; but it doesn't matter if the difference is...

@Jaskarn I moved your post to this thread (T2-9 Bayes Theorem: Simple test for disease). Please note this is part of a YouTube playlist (featuring the basics) that continues with ... T2-9b Bayes Theorem, adding a bit of complexity...

Hi @dtammerz Those are solutions to the maximum difference (hopefully the "⇒" is not throwing you off; "⇒" signifies "implies") The denominator (i.e., the square root) is the standard deviation (aka, standard error) of the difference between correlated means and is equal to sqrt[to 4 + 1 -...