0
votes
0answers
4 views

Starting short-end OIS zero curve building

I understand the concept of bootstrapping and building the curve when we have the values for first few maturities. However, I can't quite get how the initial values for zero curve rates are derived ...
0
votes
0answers
14 views

Discussion about negative interest rate

Now I'm updating typical equity premium of CAPM and Fama French 3 factors. As you know, some of interest rates are already in negative. To calculate market factors, not so hard to apply them as risk ...
0
votes
0answers
3 views

IRR of IRR or weighted average of IRR

I have a list of investments with their expected IRR(Internal Rate of Return). I'm confused about which is the right metric to depict for my population: IRR of IRR or weighted average of IRR. It's ...
0
votes
1answer
21 views

Logarithmic price defined as the midpoint of the log bid and ask : Simple Clarification

Guys I would like a simple clarification. The paper by McMillan and Speight (2012) at the data section, defines the logarithmic price as the midpoint of the logarithmic bid and ask. Is that translates ...
0
votes
0answers
21 views

How many companies in an industry sector?

How can I find how many companies are active in an industry sector? Preferably - I would like to know how many companies, that are larger than x (in income, number of employees, or any other ...
0
votes
0answers
13 views

Adjusting VaR calculating for Correlation effects?

I have a question regarding VaR calculation for a portfolio using a historical approach and the corresponding correlation assumptions. When using a historical approach, we essentially offset ...
1
vote
1answer
23 views

About the definition of a complete market

In Steven Shreve's book "Stochastic Calculus for Finance 2", Definition 5.4.8 says a market is complete if every derivative security can be hedged. What exactly does every derivative security mean? ...
1
vote
0answers
36 views

Exercise: interpretation of terms in black-scholes

I have following exercise: This is what I did: \begin{align} C(K)&= e^{-r\tau} \mathbb{E}^\mathbb{Q}[((S_T - K)^+] \\ &= e^{-r\tau}\mathbb{E}^\mathbb{Q}[((S_T - K)\mathbb{1}_{S_T>K}] \\...
0
votes
0answers
18 views

Where can I find API access to historical options data? Paid or free?

I'm looking for a company or website that provides API access to historical options data. I would prefer a provider that has a python module to access the API. Any leads would be appreciated.
1
vote
2answers
140 views

Asset allocation problem using Hidden Markov Model

I am recently getting more interested in Hidden Markov Models (HMM) and its application on financial assets to understand their behavior. But what captured my attention the most is the use of asset ...
0
votes
0answers
25 views

Understanding meaningfulness of the BS model for portfolio of 2 assets

this is my 1st post here. I would like to discover the beauty of science hidden behind qualitative finance. I have half of the summer fully open for experiments, I am learning Java for this ( chosen ...
0
votes
1answer
27 views

Annualized Log Returns

I backtested an investment strategy over ten years (521 weeks to be specific) and calculated the weekly return using log returns. The sum of all weekly returns added up to 145%. How do I annualize ...
-1
votes
0answers
23 views

What are the steps for creating an efficient intra day algo trading system? [on hold]

I am trying to create an algo trading system (in C++) using technical analysis strategies to trade in the duration of 1 minute. Initially it will only use it for paper trading. I want to know what are ...
1
vote
1answer
48 views

LMM & multiple curves

I was reading through a paper that attempted to present a theoretical explanation for the divergence in value of different LIBOR tenors (and thus for the use of different curves for different tenors). ...
6
votes
1answer
79 views

FX Forward pricing with correlation between FX and Zero-Cupon

I would like to extend my question about about FX Forward rates in stochastic interest rate setup: FX forward with stochastic interest rates pricing We consider a FX process $X_t = X_0 \exp( \int_0^t(...
7
votes
1answer
207 views

Black Scholes paradox exercise

Any idea where lies the problem? Thank you for suggestions.
0
votes
0answers
7 views

binary option gap option cash or nothing option [on hold]

i have a lot of problem in understanding binary option specially the gap option how the pay-off can be negative ?and the prime can be also negative how we choose the strik price and the montant cash ...
0
votes
0answers
27 views

Pricing options using particle swarm optimization (PSO)

I am currently trying to recreate some of the work done to price various types of options using particle swarm optimization. In particular, I am trying to price European options using a similar method ...
0
votes
0answers
27 views

Annualized log return for Equity [on hold]

I came across an old question answered here My question is theoretical. I'm not a mathematician/quant professional so please excuse my lack of knowledge. I've read a few papers on forecasting equity ...
7
votes
1answer
44 views

What is implied volatility?

I always understood implied volatility as a volatility I need to plug into BS in order to get the market price. My question is if I am using different model, does it mean that implied volatility is ...
0
votes
1answer
27 views

Price Barrier Options on Baskets using Quantlib

Is it possible to price barrier options on a basket of stocks using Quantlib, e.g. a Worst-of Down-and-in-Put on a basket of 3 stocks? I already checked the ...
0
votes
0answers
9 views

Matlab Neural Network data organization

I'm trying to train a NARX network using time series data. I've got 80 sets of data I'd like to train the network with. For clarification, one set of data comprises of 6 financial indicators of X ...
1
vote
1answer
23 views

Determining discount factors for non-standard maturities

Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
-1
votes
0answers
18 views

Options order “logs” - how is it named? And is it somewhere online? [duplicate]

I try to find somewhere "logs" of options orders. I mean - when which order was posted for which option and what size. AFAIK, it is named "ticker tape" for stocks; or level-2.. But is there such ...
3
votes
1answer
54 views

Implied Vol in Different Payoffs

Let's say I have a black box stock price model I run Monte Carlo on to estimate European call prices. For a given strike $K$ and expiration $T$, I then back out the Black-Scholes implied volatility $\...
0
votes
0answers
25 views

volatility of a mid curve option

Question: When checking the volatility surface for, let's say, a swaption, where the the option expires in 1Y and the underlying starts in 1Y and ends in 5Y, one would check the volatility surface ...
1
vote
1answer
53 views

Stratonovich Integral and Ito's lemma

Let $(\Omega, \mathcal{F},\mathbb{P},\{\mathcal{F}\}_t)$ be a filtered- probability space and $W_t$ be standard Wiener process. I want to show stratonovich integral of $W_t$, i.e $\int_{0}^{t} W_s ○ ...
0
votes
1answer
18 views

Where do I get historic performance data of the MSCI World Growth/Value index

I'm looking for a free data source of historical performance data of the MSCI world Value- and Growth index. The data should be calculated with reinvested dividends.
3
votes
1answer
34 views

Risk Free Rate vs LIBOR

Theoretically, in pricing derivatives, most textbooks refer to the risk-free rate. What is obtainable in practice? The risk-free rate or the LIBOR rate?
0
votes
1answer
14 views

Where to source security ID data (ISIN, CUSIP)?

I am lookign for a list of ISINs or CUSIP for all equity securities traded on the NASDAQ and NYSE. while not quantitative, this question is directly related to the data collection process of many ...
1
vote
1answer
32 views

Intraday stock prices API

I am looking for an API to request intraday data for the London stock exchange. I have seen products like eSignal but this seems to include a lot more than the simple data as XML or JSON and is fairly ...
0
votes
0answers
16 views

Systematic credit-risk factor estimation / retail portfolio

I have a question in the field of credit risk models. I work in a small bank, and we are planning to establish the IRB Approach (Credit Metrics). For this reason, I need to estimate systematic risk ...
1
vote
0answers
26 views

ARIMA prediction for currencies

I was browsing TradingEconomics.com and I came across their forecast models which immediately captivated my interest. They describe them as "projected using an autoregressive integrated moving average ...
0
votes
1answer
10 views

Fit Simple VAR model in Matlab

I've been trying to fit the following model in Matlab: $\beta_{t}=a+Mt+A\beta_{t-1}+\epsilon_{t}$ Where a is a constant, M is a vector of trend parameters and A a cross-factor interaction matrix. I'...
0
votes
0answers
6 views

Nasdaq 100 Index Liberty Media Tracking Stocks

Having trouble getting the exact changes to Nasdaq 100 Index for Liberty Media split. What were the Liberty Media related stocks in Nasdaq 100 before April 18th 2016 and then after April 18th 2016 ? ...
0
votes
0answers
14 views

Calculate the 0.50 Beta of an Index

I am trying to come up with a benchmark 0.50 Beta S&P 500 Index. I have 1 year time series data of 500 constituents of the S&P 500 Index. Using the standard stock beta calculation method, ...
1
vote
1answer
95 views

Close form solution for Geometric Brownian Motion

I have a very fundamental problem, please help me out. I am little confused with the derivation for the close form solution for the Geometric Brownian Motion, from the very fundamental stock model: $$\...
0
votes
1answer
34 views

IR parity theorem

I wonder how post crisis multiple curve approach influences the ir parity theorem: $${\displaystyle (1+i_{\$})={\frac {E_{t}S_{t+k}}{S_{t}}}(1+i_{c})}$$ Let's say that $i_\$$ is USD Libor 3m rate ...
2
votes
2answers
37 views

forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.
0
votes
0answers
22 views

Acceptable difference of Bermudan Swaption prices computed under 1 Factor Hull-White and Libor Market Model

What is an acceptable difference between the Bermudan swaption prices computed with the 1 factor Hull-White model and the Libor Market model? Details: The set of underlying calibration ...
0
votes
1answer
79 views

Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
0
votes
2answers
28 views

How to compute treasury yields as reported in the online financial newspapers?

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same ...
0
votes
1answer
28 views

SABR model: from calibration to mapping the smile/skew in a graph

Let's say that I have a calibrated SABR model in FX market (eg for Eurodollar options). So I have estimated values of beta, rho, alpha, and vol of vol. How do I map the calibration in a (strike, vol)-...
0
votes
1answer
74 views

Time Value of Option

I am working on time value of option, and especially with dividend, and I have the following questions. First if the consider the Black Scholes models with no dividends and free interest rate $r = 0$ ...
0
votes
1answer
61 views

Does the partition of time in a simple process depend on the omega in probability space?

In Steven Shreve's book "Stochastic Calculus for Finance 2", page 126, a simple process $\Delta(t)$ is a stochastic process such that there is a partition of time $0 < t_1 < ... < t_n \leq T$,...
0
votes
0answers
34 views

Is the prediction of a cointegrated series of the same scale of the series itself?

Hi Quant Stack Exchange, Suppose $X_t$ and $Y_t$ are cointegrated and I form the cointegrated series $X_t+\alpha Y_t$ where $\alpha$ is derived from regressing $X_t$ against $Y_t$. $X_t$ and $Y_t$ ...
0
votes
1answer
22 views

Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: ...
0
votes
0answers
18 views

Explain Present Value and Future Value for cash flow streams [on hold]

Please help me understand the concept of Future Value and Present Value for stream of cash flow in an intuitive way. I have tried a lot of resources on the internet, but I find their explanation a bit ...
1
vote
1answer
130 views

Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?

As stated, this is an interview question. Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?
0
votes
0answers
25 views

Mutual Fund Holdings

Several free and non-free data providers provide mutual fund holdings (e.g. Google and Yahoo give the top holdings). The primary sources, I think, are the filings submitted to SEC's EDGAR. Both the ...

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