# All Questions

0answers
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### Is This A Viable Alternative Options Pricing Method?

i'm currently a high school student who hasn't gone past Algebra II, and thus I have minimal Calculus knowledge. I know the basics of Integration and Derivation (drop the coefficient, raise to the ...
0answers
6 views

### Reference for option pricing, binomial multi-period model using martingales and conditional expectations

The title basically says it all. I am looking for a reference text on the pricing of options in a binomial multi-period model. It should be mathemathically rigorous using martingales and conditional ...
1answer
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### Black Scholes pricing

I hope some of you can help me here I am working with the Black Scholes Model, and I am given this fictive contract, that has a payoff at maturity T of: S(T)^2/K if the stock price is above the ...
0answers
12 views

### Is $(1,0,0,0,…,0)$ a legit divident stream?

A book I am reading defines a positive linear functional as a "price functional" from a set of adapted processes to the real numbers. Specifically, it defines a "consistent price functional" as one ...
1answer
19 views

### Preparation for interview: influx of power of the moon

I am preparing myself for an interview for a quantitative analyst position and one of the sample questions asked in previous examinations was: "Suppose the moon were to disintegrate, and fall to ...
0answers
23 views

### option based approach to real capital structures

Has anyone made a serious attempt to apply option theory to real assets and capital structures, taking into account all the messy details ?
0answers
17 views

### Arbitrage and completeness in multiperiod model?

Given a 2-period market with above stock price process along with a riskfree stock with a return of 5%, how do I determine whether the market is arbitrage-free and complete when I only have ...
0answers
10 views

### Estimate the risk of swaptions

I would like to model OTM Swaptions. I can use some implementation of the Bachelier model (not B76 due to negative rates) and implied volatilities from Bloomberg. For 10Y X 10Y (10 years option ...
3answers
137 views

### Square of Wiener process

In Ito's calculus one often comes $dW^2=dt$. How does this come about? What is it's relation to the Milstein method?
0answers
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### Black Litterman: Is it possible to have multiple views (from different sources) on the same asset?

From the basics of Black Litterman I understand that each view on a stock is implemented via the pick matrix P with the expected value of the views in Q. I have read several papers where each stock ...
0answers
17 views

### FIX engines comparison

Need help, looking for some comparison between c++ FIX engines, like onixs, antenna and some fpga solutions. If anyone has experienced some of the named engines also would like to hear the ...
1answer
22 views

### LIBOR Quoting Conventions

I have been trying to build a NSS parameterization of LIBOR term structure, and have confused myself over how all the dates are dealt with. On ...
1answer
29 views

### Correlation between asset A and Portfolio X (which contains A)

After a few hours trying to solve this I give up! I need help. I need to calculate the BETA of an asset with respect to a portfolio that contains this asset. I have the volatility and correlations ...
0answers
20 views

### Estimate Option Price Given X% Move N Days in the Future

I was wondering if someone could recommend a method to estimate the price of an option N days from now given an X% move in the underlying. I have fitted a volatility surface but where I am running ...
0answers
36 views

### How to define the return of this portfolio? [on hold]

I have an insurer with a some assets that he plans to invest into : Stock Zero-coupon bond with maturity 10 years We know also that the stock is driven by the geometric borwnian motion, the short ...
2answers
79 views

### Interpret simulation results ($P$ and $Q$ measures)

I am struggling in interpreting results of my simulations. I use Monte Carlo algorithm to simulate stock paths and calculate option price. The notation: $r$ is a risk free interest rate, $T$ is time ...
1answer
30 views

### Risky duration formula for what kind of bond?

In a documentation, there is the following formula for "zero interest rate risky duration" of a bond: $\frac{1-exp(-s \cdot T)}{s}$, where $s$ is spread, $T$ time until maturity. What type of bond ...
0answers
38 views

### Stochatic Ito formula [on hold]

I have $$dX_t= a dt + H dB_t$$ With$B_t$ brownien motion and H is a function t such as $$E(H^2) \leq \infty$$ And$$c< X_t < b$$ and $$t->X_t$$ is an increasing dunction I have to show ...
1answer
56 views

### Calculating IR sensitivity

I'm trying to figure out how to find IR sensitivity of a bond whose time to maturity of a bond is 2 years. Bond pays 10.875 percent coupons yearly. Duration is 1.8 years. How do you find the ...
1answer
32 views

### Calibration of 1F Hull White short-rate model to market data

I want to calibrate the Hull White 1 factor short rate model to market data. The main purpose is to simulate interest rate paths, which I will use to calculate the net pv of banking liabilities. Some ...
2answers
33 views

### Creating index from bloomberg data in matlab

I'v got 6 different equity index time series from which I want to create an index based on a particular percentage. This would be simple although due to different holidays the date don't always match. ...
1answer
18 views

### 30 Day Federal Funds Futures settlement price

A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html It says that settlement price = 100 - [average of effective federal fund rate for ...
0answers
25 views

### Pricing back swaptions corresponding to underlying swaps of Bermudan Swaption in calibrated LMM

I do not know to which swaption volatility matrix I have to calibrate the LMM in order to price back correctly the swaptions corresponding to the underlying swaps of a Bermudan Swaption. My problem: ...
2answers
17 views

### Skewed Student t distribution MLE and Simulation

I have Financial LOB data and I feel that a skewed t distribution will fit best. I have a problem trying to find the parameters using MLE numerically since Matlabs built in function does not allow for ...
1answer
45 views

### Why is H always* the letter used to describe the level of a barrier?

A quick and (hopefully) easy question. Why? *(always / often / when it's not B)
1answer
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### Are financial returns considered more volatile in recessionary times as opposed to expansionary times?

I need help in understanding some results that I have obtained. I am doing some out-of-sample performance analysis for different targets of volatility in mean-variance optimization where I solely ...
0answers
30 views

### SVI negative rates

I've used the SVI model in the past for equity option which worekd quite well. I came across a post on Wilmott where someone said hes using SVI for swaption as well. I would like to test the model and ...
0answers
13 views

### Toxic FX Flow - how to avoid it [duplicate]

So, basically i want to debate and find out the real reason behind being flag by ECNs and venues as "toxic". How to avoid being flag? What kind of strategies are toxic and why? Below is an article ...
0answers
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### what is earnings correlation with eps and revenue? [on hold]

what does negative eps mean for a stock price ? what does negatve revenue mean for a stock price ? Is having both negativem doubly bad for the stock ?
0answers
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### Bond Duration with Bond portfolio returns

if I have given CRSP bond portfolio returns with different maturities (1m-12m, etc), how is it possible to compute the Future price and the duration? Beside that I do also have the ...
0answers
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2answers
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### 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 ...
1answer
26 views

### where can I get a list of all yahoo finance stocks symbols

I remember having seen that somewhere, I can't find it any more. Anyone knows how can I get all the list of stocks on Yahoo finance. Or even all american stocks, maybe Russell 1000/2000/3000...
1answer
141 views

Given Black and Scholes model, consider the portfolio $a_t$ = 1/2, $b_t$ = $1/2$$S_t exp(-rt). Show that this portfolio replicates one share of stock. Show if it is self-financing. Find ... 0answers 29 views ### Can a momentum strategy be cast as a multilinear regression model? Disclaimer: the question is similar to Can momentum strategies be quantitative in nature? and (to an extent) What is the expected return I should use for the momentum strategy in MV optimization ... 0answers 39 views ### Volatility of Portfolio Let's consider a stock whose price follows$$ \frac{dS(t)}{S(t)} = \sigma dW(t) $$along with a cash account M \equiv 1. Let's say I have \1 to invest in these assets and I may not short either ... 0answers 16 views ### Are forward rates starting at observation date spot rates? In part 3.2 of Lu and Neftci (2003) "Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps", the authors propose a new way of pricing CMS swaps, with Monte Carlo simulations. ... 1answer 31 views ### derive vega for black schole call from this formula? Is it possible to get the right formula for vega of a call option under the black scholes model from this formula? ... 1answer 34 views ### How can extract parameters in the CIR model from data? I want extract CIR parameters from monthly LIBOR data in the EULER-MARYAMA method in MATLAB languge. I find data but I cant extract parametrs form that! what is the process? what is the formula? 1answer 6 views ### What is the u vector in the expression for the weights of the min variance portfolio I was working on my finical math homework where I need to find the minimum variance portfolio. I need to use the following matrix expression. Nowhere in the class notes does the instructor say ... 0answers 7 views ### subsamples versus dummy variable approach, Fama MacBeth (1973) procedure I am running an asset pricing test (Fama MacBeth); regressing six month ahead excess stock returns on past six month return (momentum) and a number of control variables (B/M, Size etc). I have run my ... 0answers 17 views ### Stoll model (inventory model) by applying taylor series [on hold] want to derive in details how we get the last 2 formulas of Stoll model(inventory risk model)by using the taylor series expansion.i want the steps in details please.The initial model is: ... 0answers 32 views ### Comparison of Implied Vol Models My goal is to evaluate a collection of implied volatility models for accuracy supporting real time theoretical pricing of listed equity option. My current research approach is to define a set of ... 0answers 74 views ### Machine learning techniques for quantitative finance? I am a mathematician who wants to learn about quantitative finance, in particular how machine learning can be applied to it. I assume some machine learning techniques are more applicable than others ... 1answer 59 views ### How to obtain Standardized Residuals from a Time-Series? I have my estimates for an AR(3). To obtain the residuals I'm supposed to use$$Y_t-\hat\phi_0-\hat\phi_1Y_{t-1}-\hat\phi_2Y_{t-2}-\hat\phi_3Y_{t-3},$$where the Y's are from the dataset. If I do ... 1answer 67 views ### Bivariate Gaussian copula with exponential margins I got little bit lost in the formulas. Assume to have two random variables distributed exponentially$X_i \sim Exp(\lambda_i)$and$X_j \sim Exp(\lambda_j)\$. Thus, the distribution functions are ...

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