# All Questions

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I have 40 shares in an index and I want to weight them based on their market value, define the known value as $x_i$ In the traditional way, the weight of each share is calculated as: $w_i = x_i / ... 2answers 29 views ### Relationship between Beta and Standard Deviation I was doing some financial analysis on two firms in the coffee industry. After calculating Beta and Standard Deviation for both firms, I seem to have stumbled on some weird phenomenon. It appears ... 0answers 13 views ### Variance of “hedged” term structure portfolio increasing? I'm attempting to use PCA to hedge a small fixed income portfolio. I start with one particular bond and chose the nearest other bond to hedge the 1st principle component. This decreases the portfolio ... 1answer 29 views ### Data on banks’ leverage Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ... 1answer 15 views ### Hedging bond with CDS of different maturity Say I buy a 10-year bond with a notional of 100k. To hedge my credit risk entirely I could buy a 10-year CDS, also on a notional of 100k. Now, if there are only 5-year CDS trading and no 10-year CDS, ... 1answer 44 views ### Expected Shortfall and Spectral Risk Measure Not sure I am understanding spectral risk measures correctly. Why is there an equal weighting scheme placed on the tail losses in expected shortfall. Will that no bias the expected value of the loss ... 0answers 13 views ### garchOxFit in R-oxo file does not match Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ... 0answers 55 views ### What are the main flaws behind Ross Recovery Theorem? Stephen Ross’ new paper claims that it is possible to separate risk aversions and historical probabilities if the Stochastic Discount Factor is transition independent using Perron-Frobenius Theorem. ... 1answer 49 views ### Data on margin volumes? I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ... 1answer 52 views ### Negative Eonia rates I'm curious how the current negative Eonia (Euro OverNight Index Average) rates would impact derivatives pricing. Does it mean that if I post cash collateral to you, I also need to pay you interest? ... 0answers 18 views ### Volatilty Calculation [on hold] I have 3 years historical prices for the commodity . I want to calculate the annualized volatility of the commodity . Can i scale my daily volatility to annualized volatility by multiple with square ... 0answers 30 views ### Black Scholes Model which Volatilty to use [on hold] Black Scholes Model requires volatility as input . It needs to be annualized/or Daily Volatility for calculation . Input will be appreciated 1answer 36 views ### how to use known premium of options to determine premium of options with another strike? Assuming constant volatility across all strikes, how to use known premium of options to determine premium of options with another strike? e.g. suppose we know premium of \$40 call and put, \$50 call ... 1answer 46 views ### Do people actaully use VaR in professional settings? VaR seems like such an obviously flawed metric, I am surprised that it seems to be used so much in the private sector. First, the way it is named and the way it is presented often imply it is the ... 1answer 41 views ### What are good internship positions I should look for as an undergrad student? [on hold] I am a 3rd year computer engineering student who is interested in quant finance. I was exposed to quantitative courses such as calculus 3, ODEs, optimization, probability and stats, mathematical ... 2answers 96 views ### If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute? [on hold] Let's assume I found the holy grail of low-latency trading (which I didn't). For educational purposes, what would be the first strategy I would direct my trading code? 1answer 61 views ### Briefly stated, why does the function N(x) appear in the European call option pricing model? I'm aware of the the mathematical formula for the price of a European call option on a stock however I'd like to think about it in an intuitive way. 1answer 109 views ### Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies? [on hold] I am not looking for your winning strategies. Just the basic stuff from where to start. Can anyone share their opinions about what should I read to hit the ground running? 0answers 13 views ### run time error 424 in IB TWS Excel DDE API; failed to add combo orders I'm using an Excel DDE to connect to Interactive Brokers TWS via their API 9.72 sample, excel 2013. When I tried to create a combo order, the rum error code 424 said "object required". It seems that ... 1answer 33 views ### Historical Data on$/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
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### Volatility skew and how to capture it?

We see in the market that a implied volatility surface is not flat. Based on this observation different models were developed to capture the structure, e.g. CEV / SABR. A measure often used for the ...
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### Moneyness and option prices

I'm attaching stock prices from CRSP to a dataset of option prices in order to compute the option moneyness. I'm wondering whether I should adjust the underlying prices taking into account splits and ...
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### Can we trade option spreads with more than 4 option legs?

I am wondering why most online brokers restrict multi-legged options spread trades to have a maximum of four legs? Also, is there a broker that allows you to trade say 6 or 8 legged option spreads.
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### How to price a bond without paper during interview?

I heard that this kind of questions appear a lot in the interviews. Here is one I saw from Galssdoor: Price a bond with coupon rate 3%, yield 9% and maturity 10 years. What is the typical way to do ...
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### Institutional compliance : is reference data available via the browser?

That is, assuming one has the correct accounts and credentials, is it possible to access reference data (counterparty, trading, and other categories of related meta-data) over the web? The reason I ...
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### Is there anyone still using Markowitz modern portfolio theory?

I was reading about the MPT (Use standard deviation as risk measure) on "Mathematics for Finance by Marek Capinski". I was just wondering is there anyone actually applying this theory to their ...
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### Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
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### Problem when calculating the daily return on a forex trade, what is the best way to do such a calculation?

I intend to calculate the daily return on my investment in forex. Assume a trader invests \$\$$40 at a leverage of 100:1, so in total he is trading \$$4000 worth of currency, and assume the position ...
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It is claimed that the credit default swap (CDS) spread should approximate the risky par bond yield or coupon rate spread from the riskless bond on the same entity. This comes about when we assume ...