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Hi @David Harper CFA FRM, I have a couple of questions related to the study notes on the chapter mentioned in title. Specifically, p97, I am trying to understand using the spreadsheet how we built the overall KR01s hedges to our initial portfolio positions. In particular some columns leave me...

Hi David, I was wondering if you could give an example of how an option on a futures contract would work concretely? I am having a hard time figuring out what are the actual steps on this one. Let's say we have a call for instance - is the strike price the same as the price of the underlying...

Hi @David Harper CFA FRM, I have a question regarding the "switch" for lack of a better term, between continuous and discrete compounding, after reading your example in the BT notes p. 55 (derive fwd IR from a set of spot rate). A set of continuously compounded zero rates is provided, which we...

Hi @David Harper CFA FRM I think I am getting slightly confused regarding how a cash settlement actually works. - > initially I thought we were basically realizing our payoff: for instance, an investor goes short on a futures contract for 100 bushels of wheat for a total of $10,000. Let's say...

Hi, I have a few questions following my reading of the syllabus related to Diebold Chapt 5 and 6, as detailed below: (1) linear vs. non linear trends. I seem to remember when reading the Stock and Watson syllabus that the concept of linearity applied to the parameters (i.e. B0, B1, etc.)...

Hi I have a couple of questions on the syllabus for chapter 7 as detailed below: (1) when we talk about computing the test statistic for a single regression coefficient, we specify that it follows a student's t distribution with n-k-1 df (p43). Which we will compare against the corresponding...

Hi, I understand that the assumption that the sampling distribution of OLS estimators b0 and b1 is asymptotically normal is a key property. However I'm a bit stuck as to why that is. I assume the magic CLT comes into play here, but I guess there are stil grey areas for me. When we apply the...

Hi, I am working on Chapt.4 end of chapter Q&A (which I now understand are not written by David! :)). I am slightly confused by the second portion of Q12 (p96 of study notes) -"what are the mean and standard deviation of a portfolio where the return is a 50/50 mixture distribution of A and B"...

Hi @Nicole Seaman, I have been trying to confirm/complete my understanding of the BT website / study materials as far as questions are concerned, as I want to make sure I am using it fully and effectively. I am just trying to recap everything based on the information Let's use the Quantitative...

Hello, I was reading about the Central Limit Theorem today, in the study notes for Miller chapter 4 (p79 specifically), and I realized that I am unclear about the following: (I) we indicate that the variance of each random variable is σ^2/n. As we have shown in the preceding ochapter, this is...