0
votes
2answers
20 views

Why aren't there any single owner companies over a billion dollars? [on hold]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
0
votes
1answer
11 views

Good book about replicating portfolios

I want to know if anybody can suggest me a good textbook which explains in detail and in an understandable way how to create replicating portfolios of financial instruments like options "cash or ...
3
votes
0answers
14 views

Clarification of Saturation-Reset Regimes

I have worked my way through this article, waiting to get into school I have been self-learning a bit. I have a good grasp on most of the article, but the component strategy of Saturation and Reset ...
0
votes
1answer
16 views

Calculate CVaR for a portfolio

I would like to calculate the Conditional Value at Risk for a portfolio. To be honest, I'm trying for a few days to find an example to calculate for an entire portfolio, not just for one security and ...
2
votes
2answers
56 views

Braess's paradox in quantitative finance: When optionality leads to lower value…?

One of the standard tenets of quantitative finance is that options should have an intrinsic value because optionality as such (in the sense of having more choices) should bring about value. This ...
1
vote
0answers
18 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 ...
1
vote
2answers
35 views

How to differentiate a brownian motion?

By definition a wiener process cannot be differentiated. But when we use Ito's lemma on F = X^2, where X is wiener process we have total change in ...
1
vote
1answer
17 views

Stock price is a martingale if the riskless interest rate is zero?

I came across a question as such: Suppose company IBC is trading at \$75 per share. What does it cost to construct a derivative security that pays exactly one dollar when IBC hits $100 for the ...
0
votes
1answer
29 views

Binomial tree vs trinomial tree in pricing options

Very new to pricing models. Is there a general guideline when to use binomial tree and when trinomial tree is preferred? As far as I know, unlike binomial tree, trinomial tree only gives a range ...
0
votes
2answers
33 views

Transforming Variables in Regression

I have a very simple problem that hopefully someone could help me with or at least point me in the right direction. I am testing to see which factors affect index returns the most and would like to ...
-3
votes
0answers
17 views
0
votes
0answers
5 views

use of recurrence quantification analysis for deterministic signal identification and classification

The recurrence quantification analysis (RQA) is a method of nonlinear data analysis which quantifies the number and duration of recurrences of a dynamical system presented by its state space ...
0
votes
0answers
17 views

building a portfolio without knowing the initial capital

Lets say I have the trades made by trader X on multiple stocks and I want to aggregate them into a portfolio to compute the portfolio return over time. For instance, I know that X bought 10 shares of ...
0
votes
0answers
15 views

IbPy download historical price data

How can i download historical price data from interactive brokers using IbPy and python?
-1
votes
0answers
18 views

API for paper trading service

I have recently created an HFT algorithm and before attaching it to a real trading service I would like to test with paper money. The API for the paper trading would need to be compatible with C++ and ...
0
votes
1answer
17 views

A problem involving random walks from Shreve

Problem 5.4i in Shreve examines a symmetric random walk. Let $\tau_2 $ be the first time that the random walk reaches 2. For $\alpha\in (0, 1) $, we are given that $$E [\alpha ^ {\tau_2}] =\sum_{k = ...
0
votes
0answers
9 views

Calculate herfindahl of pcs

I would like to calculate the herfindahl of principal components of a cap weighted portfolio. Not sure how to do that if anyone could provide some guidance that would be great. Thanks for your help
0
votes
0answers
20 views

RESTful trading API

Looking for providers or software layers of a RESTful trading api. I would like to read option chain data (amongst other things), do some calculations server side, and send orders back to the broker ...
-2
votes
1answer
23 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
0answers
35 views

Short-term spot futures pricing model [on hold]

I am looking for price model for spot and futures Maybe you can recommend something intresting? Price can include (time until expiration) and volatility in spot,price of spot What i should looking ...
0
votes
0answers
12 views

Option Time decay [on hold]

I have option prices.If I am naked in straddle then time decay is use full for hedge my position in range bound market. when is the correct time to setup my portfolio? And big thing is that just 7 ...
2
votes
2answers
135 views

Is implied volatility flawed?

Was going through how Implied Volatility is used by option traders and in delta hedging. Correct me if I am wrong, doesn't IV consider a standard deviation of the stock price over say the past 1 year? ...
2
votes
0answers
20 views

How to calibrate volatility surface for Interest Rate Cap&Floor pricing

I'm using Black model to do interest rate Cap & Floor pricing. The volatility is determined by using the bootstrapping methodology. However, afterwards, how should I do the calibration, or ...
-2
votes
0answers
22 views

I want to solve follow queston [on hold]

Suppose that $X$ is reachable using the portfolio $h$. Suppose furthermore that, at some time $t$, it is possible to buy $X$ at a price cheaper than (or to sell it at a price higher than) $V_t^h$ . ...
1
vote
1answer
27 views

Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
0
votes
0answers
7 views

How to calculate margin costs for a brokerage account?

I wanted to calculate total margin costs for an account that started with 5,000 cash and held for 6-months? I managed to get some sample rates online . My assumption is that I would borrow another ...
0
votes
1answer
30 views

How to price this zero-coupon bond using a replicating portfolio? [on hold]

I have been asked to price a new zero-coupon bond, which matures in 5 years with a final payout of £40m, initially raising funds of at least £30m (£30m for the clients + commission for me). I also ...
0
votes
1answer
22 views

KeyError in Python code used to determine a trade signal for Pair Trading

I'm basically running some code as follows. Basically I'm just retrieving pairs of stocks (laid out as Row 1-Stock 1,2, Row 2-Stock 1,2 and so on, where Stock 1 and 2 are different in each row) from a ...
2
votes
1answer
69 views

Why is IV different between put and call of same strike

In his book 'Dynamic Hedging' Nassim Taleb says that the volatility of an OTM put should be exactly equal to that of a corresponding in the money call of same strike. But in option chains, the ...
0
votes
0answers
18 views

Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
2
votes
0answers
42 views

Calibration of Heston version of CIR

I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ ...
1
vote
1answer
23 views

Value-at-Risk of the sum of three independent lognormal random variables with different confidence level

there are three Business units in a firm, each has operational VaR value which are independent from eachother. the quantile for each opVaR is different from the others. can I simply add the VaRs to ...
1
vote
1answer
26 views

Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
-1
votes
0answers
60 views

Finance Agency Problem [on hold]

Principal is interested in buying lake. The revenues of operating the lake as a camping site are determined by the weather (a random parameter $w$ distributed uniformly on $[0, 1]$) and by the ...
0
votes
0answers
23 views

Value-at-Risk - Currency Swap

Can someone explain to me how to calculate the VaR (delta-normal-method) for a Currency Swap? Thanks in advance. Regards Alexander
0
votes
0answers
29 views

Urgent help needed : Spot price - future price relationship [on hold]

Historic market (Cash) prices and future contract prices are available for last 4 years. I have found correlation between Jan'11 market price with Jan'11,Feb'11 and March'11 future contract prices ...
1
vote
1answer
35 views

Using Gordon's Growth Model to find value of corporation

This is a question posed to us by my professor in my finance class. I was under the impression that the Gordon Growth Model was used to find the intrinsic value of a stock, but I am unsure how to plug ...
3
votes
2answers
102 views

What is the use of options pricing formulas

This may seem like a dumb question, but if the EMH is generally true, wouldn't options already be correctly priced? Why do we need all these intricate formulas, unless we think the prices are wrong or ...
-1
votes
0answers
16 views

Correct Mupad for this equation? [on hold]

I am trying to port the attached equation into Matlab Mupad. I have attempted the following Mupad language code: ...
0
votes
1answer
25 views

Discounted Stock Price

I have the following Question : Prove that under the risk-neutral probability p the stock and the banjaccount have the same average rate of growth. In other words, if $ S_0 , S_N $ are the initial ...
0
votes
0answers
26 views

Distribution of running maximums of a log normal process

I've been searching for quite some time and would appreciate any guidance! What I'm looking for is the distribution of running maximums for a log-normal process. If anyone is familiar with any ...
0
votes
0answers
23 views

Gold commodity - Quandle [closed]

I want to use Quandle to get historical data about gold prices. You can find the data here: https://www.quandl.com/data/WSJ?keyword=gold&page=1 But there are so many different kinds of gold ...
0
votes
1answer
13 views

Complete Multiperiod Binomial model

I have the following deifnition of a Complete multiperiod binomial model: A multi period binomial model can be called complete if every derivative security can be replicated by trading in the ...
0
votes
0answers
17 views

Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
1
vote
2answers
64 views

Using Black-Scholes to price a geometric average price call

Sorry if this is the wrong exchange for this question. It seems to be the most relevant, anyway. I'm trying to learn and understand the Black-Scholes framework, with a focus on the stochastic ...
3
votes
0answers
32 views

Dynamic Hedging for a Bond

Sorry if this question is duplicate. Analyzing the scenario to hedge bond credit risk with CDS. but if Bond price changes CDS notional will not change. is there any way i can hedge this ?
0
votes
0answers
19 views

Difference between Risk avoidance and Risk transfer

I was hoping some could explain the two terms namely, risk avoidance and risk transfer. Also, can a risk be avoided by transferring it?
2
votes
0answers
41 views
+50

Empirical distribution function of overlapping time series data

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...
-2
votes
0answers
16 views

How do you organize this Roman occasions? [closed]

Carthage was destroyed by the Romans. The capital moved to Byzantium was started. f. Carthage was destroyed by the Romans. c. Roma put in place a decentralized government. The capital moved to ...
-1
votes
0answers
24 views

How should I achieve cross-hedging?

I am Airliner.I want to protect my business from price volatility of jet fuel cost.Jet fuel is not traded in futures market but Crude oil is traded in futures market. I have daily spot prices of jet ...

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