# All Questions

1answer
103 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?
3answers
111 views

### Merton model riskless self-financing derivation

Suppose $dA_t = A_t[\mu dt+\sigma dW_t]$ (assets' value) under the physical measure, plus the other assumptions of the Merton model. Suppose further that debt and equity are tradeable assets that ...
2answers
126 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 ...
2answers
60 views

### Is there a way to meaningfully generate daily returns from monthly?

I have a set of 7 investments in a portfolio and I need to optimize the weightings based on some exposures to various markets/styles/economic factors. I was hoping to do some sort of simple exposure ...
1answer
208 views

### Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
1answer
41 views

### Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be ...
1answer
27 views

### Error using ghyp-distribution function

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
2answers
33 views

### Conditional probability of geometric brownian motion

I created paths using GBM to implement The stochastic mesh method. But the method requires the conditional distribution, given some S(t) the probability of S(t+1). I've searched and can't find this ...
2answers
20 views

1answer
10 views

### anyone know haw would we calculate hml ,(fama and french three factors model) [on hold]

how we calculate hml and smb from our own data (malaysian data) so i can not use the dta from keneth french library using excel and when we divide firms into 6 portfolios we use value and book ratio ...

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