# All Questions

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### Implied Volatility as proxy for instantaneous volatility

In many papers and book I have found a reasoning that it is well summarized in this paper as "The first proxy we use is an unadjusted Black-Scholes proxy in which the implied volatility of a ...
83 views

### How are Quandl monthly S&P500 earnings estimates derived?

Can someone explain how the monthly earnings estimates are derived for S&P500? Quandl sources multpl.com, who state: ...
11 views

### Overpricing Bermudan swaption using Shifted LMM

I am trying to model a callable range accrual note linked to the EUR CMS spread, 20Y-10Y, with cap and floor. The note is Bermudan, callable starting year 3, every 3 years till maturity at 30 year. We ...
12 views

### multivariate ito problem $M_t=\frac{X_t}{Y_t}$

Hi I am analyzing a problem given in the lecture slides published here (Slide 7-8 Example of Multivariate Ito’s Lemma). Can anybody explain how the $M_t$ was calculated out of the Ito formula. I ...
24 views

### Why Is Bond Time Value Risk Not Considered in Bond Immunization?

I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond ...
9 views

### Which close price should we use for machine learning?

I am building a machine learning model using historical prices and I am using data from yahoo finance. Currently yahoo finance data have two close prices one normal close price(close) and other ...
8 views

### Fees on derivatives

Since it's obviously not at their fair value that derivatives are priced, how do investment banks compute the fees that they add on top of the risk neutral price ?
6 views

### calculate 6 month change in TED spread

I have a basic question if someone could help me out how would I calculate the 6 month change in TED spread. I have a monthly time series of TED spreads.
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### Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
23 views

### Old CBOE SPX options data: listing and expdate issue

I can't figure out the logic behind SPX option data for 2008-2009 years. First, all traditional SPX options have exp_date on the third Saturday of each month. How can it be? Why not Friday? Second, ...
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+50

### Options Data Sources

I am using Option Metrics to study a couple of things related to options. However, Option Metrics is quite limited in terms of scope (mainly it's US equities). I was wondering two things: 1) Are ...
64 views

### Realized “efficient” frontier. Is this reasonable?

I have performed some out-of-sample analysis of mean-variance optimization with monthly rebalancing. Studying the "realized efficient frontier", I am worried that something is wrong. Since the ...
79 views

### Second Moment of Stock Process

I have a stock process which I have decided to model as $$S_T=S_t\exp((r-q-\frac{1}{2}\sigma^2)(T-t)+\sigma(W_T-Wt))-D_T$$ where $D_T$ is a cash dividend at time $T$. This dividend is known. I then ...
260 views

### Deriving the definition of stochastic integrals with respect to Ito processes from first principles

When I first encountered the definition of integrals with respect to Ito processes (Shreve's Stochastic Calculus for Finance Vol II), I didn't think twice. However, I wanted to see if the definition ...
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### Perpetual American Put Supermartingale property

Discounted price process of an american put (perpetual) has a $dt$ part in it, which is negative if the price at time $t$ is less than the optimal exercise price. This is the only thing that drags the ...
805 views

### ex ante tracking error correlation between funds

I have two portfolio's called Comb & Global. They both have the same investable universe lets says 3000 stocks & are measured against the same benchmark. So it is possible that both funds hold ...
26 views

### measuring portfolio performance using monte carlo simulation

I have a financial portfolio comprising standard asset classes such as equities, bonds, and commodities. I developped a strategy (optimized) and I include it in the financial portfolio. I want to ...
2k views

### Where can I get historical fundamental data for multiple companies in a single CSV file?

Summary I seek an explicit reference to a source that gives me a fixed URL, e.g. http://example.com/?isin=US1912161007 or ...
31 views

### serial correlation, Fama MacBeth (1973) procedure incorporating momentum

I have a question regarding the use of the Fama-MacBeth (1973) procedure on panel data. I am investigating the cross sectional determinants of expected REIT return following the procedure from: Chui, ...
21 views

### Combos on close SPX

I am wondering if anyone has any information on how combos on close trade. I've been looking at the BTIC (http://www.cmegroup.com/trading/equity-index/btic-block-trades.html) and was wondering if ...
9k views

### Central Index Key (CIK) of all traded stocks

Is there a way by which I can get a list of CIK of all registered stocks at the SEC?
177 views

### how can we know the residual return will be uncorrelated with the market return

I was reading that if we know a portfolios beta we can break the excess return on that portfolio into a market component and a residual component. ...
22 views

### Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, …)

Is there any research done on the interplay between statistical factors (as a result of principle component analysis PCA) and the market factors (especially value, size, low vol, momentum, quality)? ...
507 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 ...
24 views

### How do companies forecast revenue and earning estimates for a quarter or year in advance?

I'm sure there are models and they have low and high estimates. But how to do they decide on the percentage growth? A bit of art + science?
27 views

### calculating long short portfolios currency exposure

I have calculated the currency exposures of a long short portfolio simply by summing the weights of each stock. However I was told that I need to incorporate the dollar borrowing (short dollars), I ...
161 views

### Stochastic Calculus Rescale Exercise

I have the following system of SDE's $dA_t = \kappa_A(\bar{A}-A_t)dt + \sigma_A \sqrt{B_t}dW^A_t \\ dB_t = \kappa_B(\bar{B} - B_t)dt + \sigma_B \sqrt{B_t}dW^B_t$ If $\sigma_B > \sigma_A$ I ...
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### How to work out the forward outright price from the bid/ask quotes?

I'm facing this problem: Spot AUD/USD is quoted at 0.7634/39; six-months swaps are 112.1/111.1; at what forward outright rate can a price taker sell USD value spot/6 months? On the spot ...
757 views

### How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
83 views

### Monetary Policy and the Yield Curve PART TWO

The Fed has a number of tools/targets with which they manage monetary policy. I'm looking to refine a concise summary of them and looking for guidance/correction/validation. Think I understand these ...
285 views

### Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
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### Integration in the Hull-White SDE

I'm stuck in solving the SDE in Hull-White interest rate model. I do not have a thorough background in math (only Real Analysis during my blissful undergrad years), so I am having trouble ...
150 views

### Correct Alphabet (Google) market cap calculation?

Given the definition: ...
37 views

### Stress Testing for VaR

I am trying to perform stress testing for VaR and have taken into consideration two methods:- 1. Sensitivity analysis 2. Historical scenario analysis. According to the Derivatives Policy group we ...
17 views

### What is the importance behind an efficient frontier to be a straight line in the standard deviation-mean plane for Mean-Variance Portfolio Selection?

I'm currently working on a research project regarding Continuous-Time Mean-Variance Portfolio Selection problem. I got curious on why is it important for the efficient frontier to be a straight line ...
101 views

### What is the heat-map method of calculating VaR?

I'm familiar with the historical full revaluation, VcV, and Delta-gamma methods, but a client keeps talking about a heat-map method and I'm not sure what he's talking about. Any ideas?
110 views

### 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 ...
22 views

### Cash Flow for Operating Cost, Sheldon Ross Question

In his An Elementary Introduction to Mathematical Finance, 3rd Edition book, pg. 55, Sheldon Ross has a question - A company needs a certain type of machine for the next five years. They ...