# All Questions

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### 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 ...
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### 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 ...
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### 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 ...
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 ...
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### 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 ...
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 ...
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? ...
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### 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}] \\...
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### 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.
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 ...
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### 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 ...
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 ...
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 ...
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). ...
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### 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 ...
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### 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.
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### 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 ...
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'...
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 ...
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)-...
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 $r = 0$ ...
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 $0 < t_1 < ... < t_n \leq T$,...
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### 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 $Y_t$ ...
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: ...
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 ...
### 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 $P(B_t>0,B_s<0)$?