The finance tag has no wiki summary.
6
votes
2answers
155 views
Why does Black-Scholes equation hold on continuation region of American Option?
Explanation for Put Option:
$ \frac{\partial V}{\partial t}+ \mathcal{L}_{BS} (V) = 0 $, where
$\mathcal{L}_{BS} (V) = \frac{1}{2} \sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + (r-\sigma) S ...
-4
votes
0answers
38 views
Short Term Profits vs. Market Model [closed]
I want to calculate short term profits of multiple stocks. I guess market model does not work. Should I calculate raw returns?if yes, why?
The second is, as I mentioned before, I want to look a ...
-4
votes
0answers
27 views
discount factor question [closed]
really confused about this question, can someone please answer
A project requires \$10 million dollars in initial investment. The projected revenue is $3 million dollars per year for the next 5 ...
-1
votes
2answers
148 views
What's the first time-integral of price called?
In general I'm wondering about the names of time-derivatives of price.
E.g. in physics the first few time-derivatives of position are:
f(x) = displacement
f'(x) = velocity
f''(x) = acceleration
...
4
votes
1answer
90 views
pricing of heat rate-linked derivative
It's a simplified model.
Suppose $U_t$ is a random variables subject to Lognormal($x_1$, $z_1^2$)distribution. $V_t$ is a random variables subject to Lognormal($x_2$, $z_2^2$)distribution. Suppose ...
2
votes
0answers
125 views
Philips-Ouliaris test for cointegration
I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions:
...
1
vote
0answers
401 views
portfolio optimization with a loop
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
5
votes
3answers
267 views
Stochastic modeling of stock price process
Apart from the model of Geometric Brownian motion is there any other "widely accepted" stochastic model to characterize the dynamics of a stock price process?
10
votes
0answers
149 views
A non parametric study of VaR with kernel density
I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r.
The process that I follow is:
Obtain a sample ...
4
votes
0answers
156 views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
0
votes
1answer
91 views
Regression extensions
I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it ...
0
votes
1answer
236 views
Why is delta-hedging of ATM options near expiry difficult to do? [closed]
Can someone explain to me why the delta-hedging of ATM options near expiry is difficult?
2
votes
1answer
85 views
In Yahoo! Finance, what determines the number of decimals for a stock/index quote?
In Yahoo! Finance, we see the following quotes among others:
...
3
votes
2answers
123 views
Can money technically flow in and out of stocks or asset classes?
For every buyer, there is a seller. Money can't 'flow' in and out of a stock, only the price changes. Is this applicable in the context of asset classes, for example, money market funds versus stocks? ...
-4
votes
1answer
83 views
How to find cost price in a problem concerning discount? [closed]
A dealer is selling an article at a discount of 5% on the marked price. (1) What is the selling price, if the marked price is 140.
(2) What is the cost price, if the marked price is 12% above the ...
-5
votes
2answers
272 views
Calculate a discount rate given a PV at some point in the future [closed]
Repost from CrossValidated...
I am trying to calculate a 24-month Customer Lifetime Value for a hypothetical magazine subscription service. CLV is typically calculated as the summation of the present ...
-4
votes
1answer
1k views
How to annualize log returns? [closed]
I have daily log return from 01.01.2011 to 10.28.2011 and I'd like to compare the total return of that 10 months period (which is of -7.093%) to annual log returns of previous years.
I know it's ...
9
votes
3answers
457 views
Maximization of CARA utility function: unique solution with an unbounded parameter?
An investor at time $t_0$ can invest his wealth $w_0$ in a risky asset $x$ for an amount $a$ and the remain part in the riskless asset $w_0-a$.
At the end of the period $t_1$, the investor will ...
7
votes
2answers
537 views
What quantitative strategies were successful through the 2008 crisis?
Obviously, strategies like "short everything" did well during this period, but getting the future right is one thing and having a robust strategy is another.
In particular, many quantitative ...
10
votes
2answers
538 views
How to detect structural breaks in variance?
I'm looking for a method to automatically detect structural breaks, I tried Chow test, It
works good but it doens't work for breaks in variance.
Do you know a test to check strucutural break in ...
4
votes
0answers
362 views
Hasbrouck's information share
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in
page 12-13 of this article.
page 7-8 of this article
I have the vector error ...
1
vote
1answer
873 views
How to get started in quant finance? [closed]
I am a programmer and I have no finance background. I am looking for advice as to how to get started in the quant finance industry. My goal would be to have solid understanding about the industry and ...
10
votes
3answers
1k views
At what point does someone using technical analysis become a Quant?
Sorry if the question sounds rough.
It's not my intention to devaluate something I've not yet understood like Quantitative Finance.
So to keep it simple:
is Quantitative Finance a science, like ...
1
vote
0answers
399 views
signal processing + finance? [closed]
I am a postgrad student doing a master in Signal Processing and I have graduated from an engineering school
I was wondering if there are any jobs in finance that are opened to people having this kind ...
0
votes
0answers
239 views
Calculate Enterprise Value from Pro Forma Financial Statements [closed]
Can I calculate the enterprise value of business from the pro forma financial statements submitted in SEC Form 10? If so, how?
2
votes
1answer
320 views
How does currency valuation depend on the cash reserve ratio for a country?
Currency valuation (with respect to other currencies) is an important parameter in finance, but how is it related to the cash reserve ratio?
1
vote
0answers
136 views
Keynesian Multiplier [closed]
I am taking a degree in macro economics, and am at a juncture where knowledge about the Keynesian Multiplier is imperative. Though I've been at the lectures, read the literature and scoured the web, I ...
11
votes
4answers
3k views
data on historical stock price of bankrupt companies
does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers?
it appears that bankrupt companies no longer appear in the ...
49
votes
15answers
6k views
Video lectures and presentations on quantitative finance
What are your favourite video lectures, presentations and talks available online?
A few rules:
Must be related to quantitative finance. No Economics 101 courses, please.
Try to avoid DIY lectures ...
2
votes
4answers
1k views
How do banks actually make money on mortgages [closed]
This is a bit of a subjective question and relates primarily to the UK market
There are a number of banks who are lending at BOE + 1.49% (ie: 1.99 %) whilst at the same time accepting deposits paying ...
2
votes
2answers
6k views
Wealth Management Vs Asset Management [closed]
What is the difference between the two?
Today in the FT I see that UBS is the second biggest 'wealth manager' after BOA whilst I was always under the impression that Blackrock was the largest asset ...
93
votes
19answers
26k views
What data sources are available online?
What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
-1
votes
3answers
452 views
What are the best master programmes for someone interested in a career in quantitative finance? [closed]
Any recommendations on the best schools and overall education choices for quantitative finance?
6
votes
5answers
1k views
What blogs or articles online should I read to get started with quantitative finance? [closed]
I want to start learning quantitative finance, what articles or blogs should I look at to start?
Also see the Related Question on Quantitative Finance Books
7
votes
8answers
1k views
What are some good technical and non-technical books for a math lover to get in to quantitative analysis? [closed]
To get the ball rolling... I will answer this question this evening
For people aware & unaware I think it would be a great way to introduce the group, resources for fundamental knowledge & ...
11
votes
1answer
691 views
What is a good topic on financial time series analysis for master thesis?
Can someone suggest a topic or some reasonably narrow area in financial time series analysis (e.g. statistical, machine learning, etc.) which can make a good topic for a master thesis? By 'good' I ...
