1
vote
1answer
13 views

What is the difference between OIS Swap vs Basis Swap?

What is the use of OIS Swap Curve vs. Basis Swap Curve?
1
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0answers
7 views

GARCH variance vs standard deviation for volatility

in my series of questions related to GARCH and volatility I finally think I've got a decent grasp on it. You guys have been great help clearing up my questions for me. My next question is just a ...
1
vote
0answers
12 views

How can I determine the value of equity linked security like this

Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ...
1
vote
0answers
9 views

Compare two time series with different frequencies

Lets say I have two time series $X_t$ and $Y_{t,q}$. As an examples, lets say $X_t$ is a series that measures year over year changes in the level of output of a good (say number of widgets). So $X_t = ...
1
vote
1answer
16 views

Explain Four Basic Axioms of Maximising Expected Utility

I begin learn PRM , Someone help me understand Four Basic Axioms of Maximising Expected Utility most intuitive way .Thank you very much
0
votes
1answer
11 views

Transforming log return volatility into standard return volatility

If I have a forecasted volatility of the log returns of say, 0.03, this is obviously transformed relative to the log I took of the returns. It strikes me that I should raise ...
0
votes
0answers
12 views

Writing an Options Strategy Backtester

I've been doing some digging, and this question has been asked many times in various forms over the years - Backtesting Options Strategies in R Are there any good tools for backtesting options ...
0
votes
1answer
24 views

Show if Arrow price vector $\pi$ exists, then the law of one price hold

Now, the proof I have read goes like this: Take assets 1 and 2, entirely identical. By assumption there is a pricing vector, i.e. $\sum_s\pi_sd^1_s=q^1$ and $\sum_s\pi_sd^2_s=q^2$ where $d^i_j$ is ...
0
votes
1answer
31 views

How is possible to relate volatility with risk?

I read that equallying voliatility with risk is one of the hardest critics on Quantitative Finance and that this is -indeed- the fundamental base of Quant. This question is analogous considering that ...
0
votes
0answers
27 views

Market microstructure by Mark B. Garman (J. Financial Economicss 3, 257-275, 1976)

Link: http://www.sciencedirect.com/science/article/pii/0304405X76900064 In Garman's inventory model, buying order and selling order are poisson process with order size = 1. Buying price and selling ...
1
vote
1answer
20 views

Why closest weekly options have enormous Implied Vol.

I know weekly expiration cycle's Implied Vol. explodes prior to earnings, that is due to Theta and Expected move. But why does it happen on stocks that don't have earnings? ( let's say earnings will ...
0
votes
1answer
17 views

How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option price do Softwares use to come up with Implied Vol for Overal Stock, let'...
1
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0answers
22 views
1
vote
1answer
26 views

DAX - company's weights

How often are company's weights being changed on DAX? Where can I find historical data of DAX weights?
1
vote
0answers
15 views

x13 Arima analysis with negative values

I'm running x13 Arima analysis on a US GDP series to get the "trend" component. ...
1
vote
0answers
5 views

S0602 - whether to report Quantity (C0130) or Par Amount (C0140) for Money Market Funds?

We have several positions in a money market fund (CIC IE43) to report in the S.06.02 QRT, and we receive source data for both Quantity & Par Amount. These are actually identical. Which one ...
3
votes
1answer
54 views

Expected option return in MATLAB

The expected return of an option is given by its expected payoff under $P$ over its market price under $Q$. For the Black-Scholes model, expected call option return is given as (see here): $$ E(R)=\...
1
vote
0answers
30 views

Reference Request: Trader Replication

I am looking for any reference where the following problem was addressed: given the list of trades of a trader teach an AI to replicate that trader's strategy. There are several well-known results ...
0
votes
0answers
15 views

Help with amortisation table in Excel VBA [on hold]

I am a beginner with VBA. I am trying to create an amortisation table where the interest rate used depends on two inputs which will be provided by the user. For example if X=2; and Y=3, then interest ...
3
votes
1answer
56 views

Option price derivation with these dynamics

If my underlying follows a dynamics of the form \begin{align*} dF(t,T)/F(t,T)=\sigma_1(t,T)dW_1(t)+\sigma_2(t,T)dW_2(t), \end{align*} where $\sigma_1(t,T)=h_1e^{-\lambda(T-t)}+h_0$, and $\sigma_2(t,T)...
6
votes
1answer
48 views

Why does jump process has to be Cadlag and not the other way around

In all books and references that I have been exposed to, the jump processes have been defined to be Cadlag(right continuous with left limits). But no one has explained why this is the preferable case, ...
4
votes
1answer
68 views

Correlation of a lognormal asset and a normal asset

So if i want to calcualte the correlation between a pair of assets, my intuition is that i should calculate whatever correlation i plan on using; When we look at correlation, it's normally the ...
1
vote
0answers
25 views

Changing timezones with historic forex data (Interactive Brokers API IBPy)

I would like to be able to change the timezone for my requests to the IB API, how can I do this? I am writing in Python, and thus use the IBPy wrapper found here. Supposedly, the third argument of ...
4
votes
1answer
71 views

GARCH volatility modeling, squared returns, and convergence

After reading some more of Volatility Trading, I decided to try to make a simple volatility model using daily log returns of an ETF I follow. It turns out "simple" is sort of relative. Unfortunately, ...
-1
votes
0answers
26 views

Rblpapi complication [on hold]

So I have tried to install the package Rblpapi. It seems it is being installed correctly: ...
1
vote
1answer
67 views

Python everywhere but where do they execute orders?

About every introduction I've read about automatic trading writes about how well python is suited for the task. But looking around, I've been able to find just one brooker, Oanda, which has a python ...
1
vote
0answers
30 views

Constructing Swap Curve from LIBOR

Say I'm considering a long maturity fixed rate swap, for instance 20 years paid semi annually. Now I want to find the fixed rate for this hypothetical swap. I understand that this fixed rate is going ...
1
vote
0answers
25 views

Where to find historical time series data for number of new investor accounts

I am examining the impact of investor sentiment on the probability of stock market crises. I am constructing a composite measure of investor sentiment according to the methodology used in this paper ...
2
votes
1answer
59 views

How to measure the real interest rate using the consumer price index

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. One of the ...
1
vote
0answers
32 views

Discount curve from spot rates for bond pricing

I have a bond with the following cash flow and maturity: ...
1
vote
1answer
74 views

Understanding Yang-Zhang Volatility Estimator

I am using TTR in R and I am trying to understand the Yang Zhang volatility estimator. The following equations seem to imply a single value: $$ \sigma = \sqrt{{\sigma_o^2}+k\sigma_c^2+(1-k)\sigma_{rs}...
1
vote
2answers
38 views

Unemployment data and bond futures

All other things being equal, why would rising unemployment data lead to (a trend) of increasing bond futures? Is the line of thinking that bond futures prices have the same relationship with ...
1
vote
1answer
45 views

Papers on temporary price impact

Can anyone recommend papers that model how long temporary price impact last when you buy / sell a trade? This would fall under the TCA realm (Trade Cost Analysis). Thank you.
3
votes
0answers
51 views

Calculating the CVA of a Forward Contract

I am having trouble calculating the CVA of a forward contract. The question is presented below Question: There exists a long forwards position underlying on gold with 2 years remaining. The ...
1
vote
2answers
51 views

How to apply the CAPM to 6 stocks from different markets?

I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
3
votes
1answer
123 views

Monte Carlo and PDE results are different for a Call Option!

Okay so this might be a fairly trivial question but I'm having an issue with valuing a call option using both a Monte Carlo method and a PDE method. When I started I first used the parameters: Spot =...
3
votes
1answer
71 views

How does financial institutions value European options in practice?

I am a little bit confused, or uninformed more truthfully, regarding how option pricing (Europeans only in this case) are handled in real life. Up to now I have acquired some theoretical knowledge of ...
4
votes
0answers
42 views

Block bootstrap to synthesize asset prices

I have a few basic questions on block bootstrapping on a financial time series ('TS'). Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
4
votes
2answers
77 views

Is it possible to defend a Computer Science master thesis by writing a project about quantitative finance?

What are features and examples of computational finance (financial computing) problems (for thesis project in Master in Computer Science)? Is it possible to defend Computer Science master thesis by ...
1
vote
1answer
59 views

How was money made from bond yield convergence?

I'm currently reading a book which provides examples of how hedge funds employed a global macro trading strategy in the past to generate significant returns. Once such example is the convergence of ...
3
votes
1answer
70 views

How to compute 30/60/90-day Implied Volatility?

I want to calculate the 30/60/90/180 day 100% moneyness implied volatility for a stock. I think I know how to do it but would like to share my thought processes with the group to verify I'm on the ...
1
vote
2answers
56 views

Sharpe Ratio and your annualization

My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\...
0
votes
0answers
29 views

Pricing portfolios [closed]

When a project title says Methods for pricing large portfolios does that mean the usual Markowitz like optimisation problem of finding the weights, then possibly the expected return - the price?...
3
votes
1answer
27 views

Consensus Forecast Data for NFP

Does anybody know where I can get historical consensus forecast data for Non-forma Payroll (NFP)? Or any forecast data for NFP. Thanks,
0
votes
0answers
44 views

Signal for grad school [closed]

this might be the wrong forum, but I'll give it a shot. I have one available spot for an elective this upcoming fall semester, and I am considering: 1) another math course, equivalent to Calculus II ...
1
vote
1answer
43 views

How do I calculate the probability of a short option position expiring worthless?

I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?...
1
vote
0answers
35 views

How to calculate the theta of a bond?

For calculating P&L from interest rate risk, we often use PV01 to estimate the day over day P&L by multiplying PV01 with a change in curve. Is there any approach to calculate theta P&L in ...

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