0
votes
0answers
8 views

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 ...
0
votes
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 ...
0
votes
1answer
17 views

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 ...
0
votes
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 ...
0
votes
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 ...
0
votes
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 ?
0
votes
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 ...
0
votes
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 ...
1
vote
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?
0
votes
0answers
12 views

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 ...
0
votes
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 ...
0
votes
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 ...
0
votes
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 ...
0
votes
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 ...
-1
votes
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 ...
5
votes
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 ...
0
votes
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 ...
-1
votes
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 ...
1
vote
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 ...
2
votes
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 ...
1
vote
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. ...
0
votes
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 ...
0
votes
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: ...
-1
votes
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 ...
1
vote
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)
1
vote
1answer
25 views

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 ...
3
votes
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 ...
0
votes
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 ...
0
votes
0answers
9 views

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 ?
1
vote
0answers
18 views

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 ...
-1
votes
0answers
51 views

Returns used in volatility calculation

Can anyone explain the definition of returns they use in this paper? Page 142: https://www.jpmorgan.com/jpmpdf/1320538072221.pdf, where it says $R^j_{k,n} = \sum_{i=1}^{13} \lambda_j^i \times \ln ...
1
vote
0answers
13 views

How to request current Interactive Broker positions using VBnet/Activex and the API?

I'm trying to use the reqPositions() method but it doesn't have an event handler associated with it that it references in the API.
0
votes
1answer
31 views

Does a Call Spread always need to be symmetric?

I have a plot of a Call Spread Option at time $t ={0}$ but the graph of the call spread is not completely symmetric. My question is: does it have to be? Here is the plot I'm referring to: I'm just ...
1
vote
0answers
32 views

Implied volatility

I have a question about calculating the implied vol. Assuming the implied vol that a option will expire in 1 day is $\sigma_1$, and the implied vol that the option will expire in 2 days is $\sigma_2$. ...
0
votes
1answer
30 views

Time-Value of money exercise problem. Any advice on how to solve?

Problem An investor will receive $365 at the end of each year for thirteen years. The first payment will be received four years from now. Given that the interest rate is 3%, the present value of this ...
0
votes
2answers
89 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 ...
0
votes
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...
3
votes
1answer
141 views

Black-Scholes Model for portfolios

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 ...
1
vote
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 ...
0
votes
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 ...
0
votes
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. ...
1
vote
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? ...
1
vote
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?
0
votes
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 ...
0
votes
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 ...
0
votes
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: ...
0
votes
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 ...
0
votes
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 ...
3
votes
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 ...
1
vote
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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