0
votes
0answers
2 views

Fit Simple VAR model in Matlab

I've been trying to fit the following model in Matlab: $\beta_{t}=a+Mt+A\beta_{t-1}+\epsilon_{t}$ Where a is a constant, M is a vector of trend parameters and A a cross-factor interaction matrix. I'...
0
votes
0answers
2 views

Nasdaq 100 Index Liberty Media Tracking Stocks

Having trouble getting the exact changes to Nasdaq 100 Index for Liberty Media split. What were the Liberty Media related stocks in Nasdaq 100 before April 18th 2016 and then after April 18th 2016 ? ...
0
votes
1answer
22 views

forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.
0
votes
1answer
264 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.
0
votes
1answer
52 views

Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
2
votes
1answer
18 views

Forex Market Timezones

I need to store OHLC data from the Forex Market. I live in the UK which is presently in British Summer Time +1. The Forex Market EST, which is normally -5 from GMT. I'm not sure how Eastern ...
0
votes
1answer
29 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. ...
0
votes
0answers
6 views

caluclate the 0.50 Beta of an Index

I am trying to come up with a benchmark 0.50 Beta S&P 500 Index. I have 1 year time series data of 500 constituents of the S&P 500 Index. Using the standard stock beta calculation method, ...
0
votes
1answer
35 views

Close form solution for Geometric Brownian Motion

I have a very fundamental problem, please help me out. I am little confused with the derivation for the close form solution for the Geometric Brownian Motion, from the very fundamental stock model: $$\...
14
votes
8answers
9k views

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

What are the advantages/disadvantages of using the arithmetic Sharpe Ratio vs the geometric Sharpe Ratio? Is one more correct? Or is one better in certain circumstances?
0
votes
1answer
22 views

IR parity theorem

I wonder how post crisis multiple curve approach influences the ir parity theorem: $${\displaystyle (1+i_{\$})={\frac {E_{t}S_{t+k}}{S_{t}}}(1+i_{c})}$$ Let's say that $i_\$$ is USD Libor 3m rate ...
5
votes
1answer
199 views

Calibration Merton Jump-Diffusion

Consider the following SDE $dV_t = rV_tdt +\sigma V_t dW_t + dJ_t$ where $J_t$ is a Compound poisson process with log-Normal jump size $Y_i$. How am I supposed to calibrate this model to CDS spreads?...
1
vote
1answer
31 views

Why closest weekly options have enormous Implied Vol.

I know weekly expiration cycle's Implied Vol. explodes prior to earnings, that is due to Theta and Expected move. But why does it happen on stocks that don't have earnings? ( let's say earnings will ...
0
votes
1answer
25 views

SABR model: from calibration to mapping the smile/skew in a graph

Let's say that I have a calibrated SABR model in FX market (eg for Eurodollar options). So I have estimated values of beta, rho, alpha, and vol of vol. How do I map the calibration in a (strike, vol)-...
6
votes
1answer
152 views

How to perform risk budgeting for non-linear portfolios?

I am using this question to compute optimal weights following a risk budgeting approach. The problem is I am using non-linear portfolios (options,equity,fixed income,fx). What I am looking for is ...
0
votes
1answer
51 views

Does the partition of time in a simple process depend on the omega in probability space?

In Steven Shreve's book "Stochastic Calculus for Finance 2", page 126, a simple process $\Delta(t)$ is a stochastic process such that there is a partition of time $0 < t_1 < ... < t_n \leq T$,...
0
votes
2answers
23 views

How to compute treasury yields as reported in the online financial newspapers?

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same ...
0
votes
1answer
34 views

Theoretical price of bond : utility

Why should one calculate the theoretical price of bond if there is already a market quote ?
0
votes
0answers
11 views

How do I know if my inputs converge for explicit FDM?

I have the following toy inputs for European call option: ...
0
votes
1answer
53 views

Time Value of Option

I am working on time value of option, and especially with dividend, and I have the following questions. First if the consider the Black Scholes models with no dividends and free interest rate $r = 0$ ...
0
votes
0answers
14 views

Acceptable difference of Bermudan Swaption prices computed under 1 Factor Hull-White and Libor Market Model

What is an acceptable difference between the Bermudan swaption prices computed with the 1 factor Hull-White model and the Libor Market model? Details: The set of underlying calibration ...
1
vote
2answers
100 views

How to build a cross currency swap pricer?

We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ...
4
votes
1answer
649 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
1
vote
1answer
48 views

Non-contractual accounts behavioural study

I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ...
0
votes
2answers
161 views

How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
6
votes
1answer
250 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
5
votes
1answer
182 views

DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA

The command in STATA to calculate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} ...
2
votes
2answers
91 views

Move along, nothing to see here…just a super cheap stock price for an instant?

Can someone explain what this large negative spike in this stock chart is in after-hours trading? It almost looks like a data glitch to me, since the value before and after the spike are almost ...
1
vote
1answer
86 views

Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?

As stated, this is an interview question. Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate $P(B_t>0,B_s<0)$?
2
votes
1answer
117 views

quantlib python : missing methods?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and tries to "convert" it to Python. It seems to me that some C++ possibilities aren't available in python. I'...
0
votes
0answers
21 views

Mutual Fund Holdings

Several free and non-free data providers provide mutual fund holdings (e.g. Google and Yahoo give the top holdings). The primary sources, I think, are the filings submitted to SEC's EDGAR. Both the ...
0
votes
0answers
31 views

Is the prediction of a cointegrated series of the same scale of the series itself?

Hi Quant Stack Exchange, Suppose $X_t$ and $Y_t$ are cointegrated and I form the cointegrated series $X_t+\alpha Y_t$ where $\alpha$ is derived from regressing $X_t$ against $Y_t$. $X_t$ and $Y_t$ ...
0
votes
2answers
84 views

Pricing foreign currency bonds - which approach is more theoretically “sound”?

You own a fixed rate corporate bond in foreign currency (let's say JPY). Your domestic currency is USD. Which of the these two approaches do you consider theoretically better? Discount JPY cash ...
0
votes
1answer
18 views

Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: ...
1
vote
3answers
747 views

Which risk free rate is assumed by market when pricing american options?

I'm just started with finance, so maybe my question is dumb or answered elsewhere. Please guide me to relevant materials. According to put-call parity more time to expiration means more difference ...
1
vote
0answers
50 views

Why does a barbell portfolio have higher convexity than a bullet porfolio

I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio. I can easily understand how the parallel line represents duration but I cannot see what ...
0
votes
0answers
17 views

Explain Present Value and Future Value for cash flow streams [on hold]

Please help me understand the concept of Future Value and Present Value for stream of cash flow in an intuitive way. I have tried a lot of resources on the internet, but I find their explanation a bit ...
5
votes
2answers
1k views

How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
3
votes
1answer
47 views

Mix of Arithmetic and Geometric Brownian Motion

Talking with some traders the other day, I found out that they were using a pricing model based on a mix between a geometric brownian motion and an arithmetic brownian motion to price certain ...
1
vote
1answer
79 views

Pricing a Vanilla swap between coupons; What rates to use?

Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
0
votes
0answers
21 views

Swaptions to calculate swap exposure for CVA

I am looking at using the swaption method to calculate the EPE and ENE on a swap over its life, to use in CVA/DVA calculations. I have a number of questions, how well does this method work in ...
1
vote
1answer
67 views

Log-normal Volatility Approximation

In a comment to this question, it is mentioned that, under the log-normal distribution, \begin{align*} vol(k) \approx vol(atm) \times \sqrt{\frac{atm}{k}}. \end{align*} Here, $k$ is the strike, $atm$ ...
1
vote
0answers
23 views

Calibration: comparing models

Exponential Lévy models fall in two main categories: jump diffusion models and infinite activity Lévy models. For my paper, I study jump diffusion models and in particular Merton's model (i.e normall ...
0
votes
1answer
21 views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
1
vote
3answers
193 views

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 ...
6
votes
2answers
126 views

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 ...
1
vote
2answers
69 views

Sharpe Ratio and your annualization

My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\...
0
votes
0answers
14 views

VAR FPCA analysis paper replication

I've been trying to replicate the following publication: toronto.edu/sjaimung/papers/VAR-FPCA.pdf but i havent been able to get the same results estimating the $\beta_{k}$ parameters. First, I got ...
0
votes
2answers
111 views

How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

Basically if someone want to setup a hedge fund how much cost to buy trading software such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?
-2
votes
0answers
18 views

How to know if a company actually deposit money into your credit card [on hold]

I took a cruise trip. They are supposed to give some cash back. I called them, they said the money was deposited into my credit card. I didn't see it in my credit card bill. So what can I do if they ...

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