# Tagged Questions

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### Models crumbling down due to negative (nominal) interest rates

Given that the negative interest rates on a lot of sovereign bonds with maturity under 10 years are trading in the negative (nominal) interest rate territory (recently also the short term EURIBOR has ...
126k 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?
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### 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?
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### Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
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### accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
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### The Relation Between the Ricci flow and the Black-Scholes-Merton Equation

Grisha Perelman once wrote that The Ricci-flow equation, a type of heat equation, is a distant relative of the Black-Scholes equation that bond traders around the world use to price stock and ...
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### Which version of NAICS code is used in CRSP and Compustat?

Is the NAICS code used in CRSP and Compustat always the latest one? If yes, then it means, by this year, they should be using NAICS code 2012 revision. I have some external data which is only using ...
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### CAPM - Do I use start or end of period prices?

If I use monthly price data in the standard CAPM, should I take the price at the beginning or the end of the month? What is the convention? Or does it not matter? Is there any literature that deals ...
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### Financial statement and stock market data [duplicate]

How is it possible to have access to Datastream, Bloomberg, Wrds database? Is there another free database with long historical data? In fact, I need long time series data belonging to NYSE and NASADAQ ...
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### A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
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### short selling with collateral accounting

I don't know how the accounting works for short selling with collateral: For example if a stock is \$10 a share and turn out to be$15 a share a week later. At time 0, you borrow and sell 10 shares ...
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### Calculation of IRR [closed]

How do we calculate IRR if I have an investment that allows me to buy into 10% of a company @1m and the first year is a negative cash flow of 200,000 but the subsequent years till year 10 is a ...
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### How to calculate the initial payment of a graduated payment mortgage (GPM). Real estate Mortgage analysis

My professor used this: 12%, monthly-pmt, 30-yr GPM with 4 annual step- ups of 7.5% each, then constant after year 4: ...
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### what do metrics and indicatives mean in the finance context? Like trading of MBS products

it's often heard in my daily work as a programmer in an investment bank, supporting mortgage backed securities desks (passthrough, agency cmo, cmbs, etc). My take is that the terms describe the ...
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### What is the difference between a three month return and a quarterly return?

I am looking at VGENX, and this product has first-quarter and three-month returns of 7.8% and 20.3%, respectively, according to zacks.com. I take it as the three month return is calculated taking into ...
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### A question about spot rate forward rate and swap rate [closed]

A term structure is given as follows. The market convention is compound interest, that is, the present value of one unit at time T is...
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### How do I calculate the present value of a credit default swap?

I am paid 20 million every time a bond drops to a new low over a 120 month period. I need to know how to find the present value of such an arrangement if there is a continuously compound interest of 5 ...
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### what data sources are useful for obtaining financial statement data of listed companies NYSE and NASDAQ?

Exactly, I need balance sheet, income statement, cash flow statement, stock market, bankruptcy situation, fraud situation and corporate governance data of companies in USA. Thanks beforehand,
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### What causes discontinuities with stock prices

With reference to the figure above, why is it that the price at which the stock closed at on monday not equal to the open price on tuesday? Is this discontinuity due to an adjustment in the price to ...
2k 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 ...
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### Put-on-call option confusion

So the question asks: Given a 3-steps Binomial Tree model with $S(0) = 50$, $U = 20%,D = 􀀀20%$, and $R = 5%$. A European call option has the strike price $X = 40$ and maturity time $T = 3$. Also, a ...
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### L1 norm regularization of Markowitz portfolio in matlab

Markowitz portfolio with L1 norm regularization added L1 norm regularization based on the original model. The constraint equation is as follows: The following code is the original Markowitz Mean-...
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### Calculating returns when number of securities in a timeseries varies over time?

I have a timeseries of security returns in which the number of securities in the timeseries varies over time. More specifically, I have a universe of events where securities(their returns) are added ...
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### Strategies on steepen yield curve

Believe that the yield curve is going to steepen very soon. It may be fall in short-term rates, a rise in long-term rates, or some combination of these. What strategy should we pursue in the bond ...
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