All Questions

39 views

Validating a Credit Scoring Model without Data

Fellow Quants, Suppose you have a credit scoring model that is developed without the aid of statistics, because (unfortunately) there is no historical default/loss data in your portfolio. The ...
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Is anybody using 13F-HR data for making strategies?

I see that a lot of quants work on high frequency strategies. Mostly used data are prices, volumes. I wonder, is anybody using data on funds positions, which they have to disclosure quarnerly under ...
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Pricing Forward Start Option with PDE

I am looking for references (books and papers) or suggestions on how to price forward starting calls using a PDE approach typically in the Heston model (In the BS world, the computation is trivial), ...
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Clayton-Gumbel (BB1) and Joe-Clayton (BB7) time-varying copulas

I'm trying to estimate parameters for Mixed Dynamic Copulas (Clayton-Gumbel and Joe-Clayton) Is there any code in MATLAB? Thanks for any help.
628 views

Backtesting - can you buy/sell at open and closing prices?

In backtesting (nasdaq stocks), I make the assumption that I have the ability buy/sell each day at the opening and closing prices. Is this realistic?
37 views

Meaning of conservative in risk management?

I believe this question is best asked here, as it pertains to risk, rather than English SE. What is the meaning of conservative in the context of risk management? In general, conservative would mean ...
38 views

Can the money market break in a crisis situation?

I am researching the question, what happens during a crisis situation to the money market. Can it break? In 2007-08 there is evidence that liquity hoarding from banks became a rather common problem. ...
99 views

How do right-to-break clauses affect CVA calculations

Does the presence of a optional/mandatory right-to-break clause affect CVA calculations, and if so, how? Given two (otherwise identical) 10y swaps with the same counterparty, one of which has a right ...
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QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
32 views

Which one is best Performance evaluation measures?

I want to compare the performance of various volatility models like GARCH, eGARCH, and gjrGARCH from actual volatility(computed using high frequency data). I found 3 common performance evaluation ...
81 views

Risk-adjusted performance measurement: Log returns vs. simple returns and geometric vs. arithmetic mean return

I have just simulated 49 weeks of correlated returns on 5 different stocks, assuming returns being lognormally distributed. Next, I am supposed to assume that the simulated 49 weeks of returns ...
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Example of optimal delta hedging in G. Barles, H.M. Soner option pricing paper

There is a paper Option pricing with transaction costs and a nonlinear black-scholes equation by Guy Barles and Halil Mete Soner. And there is a section about optimal (delta) hedging, which I do not ...
54 views

portfolio optimization averaging weights, what are benefits?

I'm playing around with different portfolio optimization techniques. Amongst others I was also looking at the resampling method, especially the one described in Meucci. I have two general questions ...
206 views

Does GARCH derived variance explain the auto-correlation in a time series?

Given a time series of $u_i$ returns where i=1 to t. $\sigma_i$ is calculated from GARCH(1,1) as $\sigma_i^2=w+\alpha u_{i-1}^2 +\beta \sigma_{i-1}^2$ . What is the mathematical basis to say that ...
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I'm currently working on the requirements phase of a software project, and need get an overview of the industry regarding the tools available for Algo Trading. My first idea was to look for Gartner's ...
71 views

Clarify a derivation in Pat Hagan's Convexity Conundrums

I am looking for help in understanding the algebraic derivation to go in between some of the lines in Pat Hagan's famous Convexity Conundrums paper e.g. how he goes from 3.4a to 3.5a.
11k views

Innovative ways of visualizing financial data

Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization. Traditional ways of visualizing patterns, complexities and ...
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Alternative ways to understand time-varying comovement between two time-series?

I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time. I first thought about using a Kalman/particle filter over a ...
23 views

Real TIme/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
105 views

Completeness and Hedging Question

A question in some private notes I'm struggling to work through (exam. prep.). (iii) is where I hit a wall with my understanding & I'm lost thereafter. Any help/clarification gratefully received. ...