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2answers
42 views

Finding a stock traded at two venues

For a project of mine I need to find a stock that is traded on two venues, e.g. NYSE and NASDAQ, but could be others. So I ...
4
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2answers
89 views

Computing $\gamma$ and $\mu$ at the efficient frontier

Consider the condition which the weights of any portfolio belonging to the efficient frontier satisfy: \begin{equation} \gamma\boldsymbol{wC} = \boldsymbol{m} - \mu\boldsymbol{u}\end{equation} ...
1
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2answers
101 views

how negative rates (mr and rf) affect CAPM

I don't understand how the negative rates factor into this and what it means in the market ...
1
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1answer
31 views

Aggregating growth rates

I'm working on a simple forecast model that uses Cumulative Annual Growth Rate (CAGR) to project future growth, and I've run into an apparent paradox. The model includes multiple lines of business ...
3
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2answers
141 views

How to user GARCH(p,q) to identify most volatile sector?

I would like to ask help concerning the utilization of GARCH(p,q) models to identify volatility. Suppose that I have daily closing prices of 6 financial sectors spanning several years, and I am ...
2
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0answers
41 views

Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...
1
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0answers
32 views

Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
1
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0answers
37 views

Shrinkage Estimator giving unrealistic portfolio variances

I have a historical covariance matrix which is invertible for daily and monthly returns. I used the Ledoit,Wolf shrinkage estimator for the covariance matrix and now I get really small portfolio ...
0
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2answers
89 views

Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
4
votes
1answer
148 views

Yahoo finance, interactive chart and historical prices are different

I am very new to the stocks. I checked the TNTE.AS stock on Yahoo Finance website. Here it provides "Interactive Chart" and "Historical Prices". But I found they are showing different values. For ...
5
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2answers
640 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
1
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0answers
78 views

GARCH estimation does not work, error in my returns?

Hey everyone and I hope that there are some smarter people out here that can help me out with my problem...: I have trouble with my implementation of a GARCH(1,1) model and I do not know how to move ...
0
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0answers
50 views

where can I get the intraday data for S&P 500

I am trying to analysis the price of S&P 500 during the flash crash in 2010. Where can I get the data?
0
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0answers
20 views

Overstating Interest Rates?

I'm fact checking my analysis, so there's only one possible answer in that I'm either right or way out in left field (wrong). A friend of mine mentioned this bitcoin lending site and I looked at it ...
1
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2answers
136 views

Linear combination of geometric Brownian motion

Let $X_t= e^{\left(\mu-\sigma^2/2 \right)t+\sigma W_t}$ be a geometric Brownian motion with drift $\mu$ and volatility $\sigma$. I am trying to find an analytical solution to $$\mathbb{E}\left[ ...
4
votes
1answer
229 views

Closed form solution of PDE of Option Price

Let $V=V(S_t,t)$ be the option price and \begin{align} V_t+\mu\,S\,V_S+\frac{1}{2}\sigma^2\,S^2\,V_{SS}=0\\ V(S_T,T)=\ln (S_T)^{2}. \end{align} My question: How can I obtain a closed form solution of ...
1
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2answers
90 views

Using IRR to calculate future value of cashflow

Discounting a cashflow using given forward rates will result in the following present value: PV = 102.875 = ${5\over (1+3\%)}$ + ${5\over (1+3\%)(1+4\%)}$ + ${105\over (1+3\%)(1+4\%)(1+5\%)}$ where ...
4
votes
2answers
285 views

Covariance between two stocks in a two-factor model

I am studying the Arbitrage Pricing Theory using Pairs Trading: Quantitative Methods and Analysis.In page 44 the author gives an example on how to calculate the covariance between two stocks. I will ...
2
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1answer
72 views

Why there are almost no book for revenue analytic?

Why there are almost no book for revenue analytic? By revenue analytic, it is meant to be predicting the revenue of a firm in the future
3
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3answers
124 views

Parameters variation in fundraising financial model

I have created quite a large financial model in Excel with lots of input parameters which (after all calculations) have an influence on the output business indicators. Among the input parameters are ...
-1
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1answer
44 views

Monthly Return Net of Fees [closed]

How can I calculate the monthly return net of fees if the fee is annual?For example, if every year there is a 20% incentive fee, is there a formula to adjust the return of each month to compensate for ...
2
votes
2answers
73 views

What interest rate should I use for testing the covered interest parity?

I am doing an empirical test of the CIP from the recent financial crisis between Canada and the United States. I am using 1,2,3,6,12 month forwards (monthly data). What interest rates should I use? I ...
1
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2answers
33 views

Compound Interest Calculation (Years + Months)

My question is with regards to the calculation of "Compound Interest". I have the formula below where I would get an answer to the total value of the investment over a period of "years". $A$ = ...
0
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2answers
246 views

Corporate finance exercise book

I'm preparing a corporate finance exam and I need a book with illustrated exercises that make you really understand the subject, since the written exam is not much mechanical, but more similar to ...
0
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1answer
36 views

European option and American option are equivalent in this case?

This is Question No.11 from 2007 May MFE Exam. For a two-period binomial model for stock prices, you are given: (1) Each period is 6 months. (2) The current price for a nondividend ...
3
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0answers
54 views

What are your list of concept or model in standard textbooks that are always reliable to used in working?

What are your list of concept or model in standard textbooks that are always reliable to used in working? As opposed back to this: What concepts are the most dangerous ones in quantitative finance ...
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2answers
113 views

Why does the short rate in the Hull White model follow a normal distribution?

Consider Hull White model $dr(t)=[\theta(t)-\alpha(t)r(t)]dt+\sigma(t)dW(t)$ when we solve the SDE above we have $r(t)=e^{-\alpha t}r(0)+\frac{\theta}{\alpha}(1-e^{-\alpha t})+\sigma e^{-\alpha ...
1
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0answers
610 views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
3
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1answer
143 views

Stochastic Differentials - Ito's formula for a self-financing portfolio

Suppose I have a portfolio of stocks $(S)$ and savings account ($\beta_t$) then, the value is $$V = a_t S_t + b_t \beta_t$$ and for this portfolio to be self replicating, we need by Ito's lemma $$dV ...
1
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0answers
31 views

Annuities problem

First problem is like this: loan amount: 20,000,000.00 First six months: There is no payment but there are interest (grace period) Next six months: payment of 600,000.00 Since 13 month: payment of ...
11
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1answer
515 views

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 ...
1
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0answers
74 views

Confused on interpretation of betas/alphas in regression in finance

I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question. Let's say SP500 returned a total 23% return over this time period and MSFT returned ...
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1answer
69 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
0
votes
1answer
43 views

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...
4
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5answers
450 views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
0
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1answer
52 views

Raising money in IPOs

When a company goes into an IPO wouldn't they try to make as much money as they can? Then how come the Greenshoe option says that some would try to not issue additional shares just so their share ...
0
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0answers
119 views

Seeking Advice for Exam FM regarding Derivatives Markets

I am taking Exam FM in a week and I was wondering if I could get any advice from people who have recently passed this exam. How much of the derivatives markets question did show up? I am using the ...
1
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0answers
153 views

CFA (Level 1) schedule after school and working a 9-5 job [closed]

I am graduating with a BS in math and obviously love math but everything changed when a buddy of mine invited me to an investment society in our school and I love every single experience. The part I ...
5
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2answers
4k views

Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
1
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2answers
507 views

What are the properties of Max and Min functions?

I am having trouble understanding the transition from the third line to the fourth line. I see how it works through cases, but is there a general property that allows this?
3
votes
1answer
74 views

What is the difference between a book value and a market value?

0 down vote favorite I would like to understand the following problem. A 2yr zero-coupon bond has an annual yield rate of 11% per year. A 4yr zero-coupon bond has an annual yield rate of 19% ...
1
vote
1answer
179 views

Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
1
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1answer
35 views

Question regarding sinking fund

I am currently studying about financial mathematics for my Exam FM to become an actuary. There is one thing that really bothers me so I would like to have some answers. Whenever I solve a problem ...
1
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0answers
51 views

How to calculate the growth rate of a growing annuity? [closed]

I have a question that seems basic but has given me fits. If I have the following known variables, how do I solve for the growth rate? Known variables: initial payment outstanding balance number of ...
3
votes
1answer
131 views

Volatility updating rule using r

I'm trying to program a volatility updating rule using iteration. I start with the well know Heston-Nandi model where the returns dynamics are : with is iid standard normal randome variable, where ...
1
vote
1answer
112 views

Question about the stochastic differential equation in the Merton model

in the following stochastic differential equation merton model we have $$\frac{ds}{s}=(\alpha-\lambda k)dt+\sigma dW+dq$$ where $\alpha$ is the instantaneous expected return on the stock; ...
2
votes
1answer
72 views

$\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$

How can I show that payment of $\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$ ? Where A is a deterministic ...
1
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1answer
107 views

How to use WACC for investment?

How to use a value of WACC? I have calculated WACC of company to be 7%. What if company had smaller or bigger WACC? Which one would attract investment?
2
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1answer
73 views

PEGY Ratio: Does it make sense?

PEGY ratio is calculated as PE ratio/(Earnings Growth Rate + Dividend Yield). Putting aside the discussion of whether forward or trailing P/E ratio should be used, isn't adding dividend yield over ...
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0answers
27 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...