0
votes
1answer
6 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: ...
0
votes
0answers
12 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 ...
0
votes
0answers
13 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 questons Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate$P(B_t>0,B_s<0)$?
0
votes
0answers
11 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
1answer
20 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 ...
0
votes
0answers
15 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
14 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 ...
0
votes
0answers
34 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 ...
1
vote
0answers
19 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
16 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
0answers
12 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 ...
2
votes
1answer
53 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 ...
0
votes
0answers
11 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 ...
-2
votes
0answers
17 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 ...
1
vote
1answer
21 views

Fama-Macbeth regression in Eviews

I'm adding a new factor to Fama-French three-factor model. I have constructed portfolios and got 18 three-way sorted portfolios. Now, I think I have to do Macbeth procedure to test the model. I'm ...
0
votes
0answers
18 views

Variance Ratio on Currency Pair, Validation

Can somebody tell me if my variance ratio (unit root test) test is correct? I don't want to rely on my results until I can find somebody that also has a variance ratio algo that confirms them? Here is ...
3
votes
1answer
62 views

Predict the financial markets in the fashion of a video game?

DeepMind have demonstrated amazing capabilities of a reinforcement machine learning agent to competently play Atari video games. It is most astounding that that during training nothing more than the ...
0
votes
0answers
23 views

Swaption Corridor Payoff Diagram

What does the payoff diagram look like for a long payer swaption corridor? For example, suppose that I am looking at a long-payer $1 \times 10$-year swaption with 10Y swaps as the underlying. If I ...
1
vote
1answer
61 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
1answer
24 views

Is there a relation between total futures and the amount of production?

I have a multipart question about futures and production. Lets take corn as an example. We add up the total 1 year futures of corn, call this weight $A$ kg. Next, we can get a reasonable estimate of ...
1
vote
2answers
54 views

FTAP wih Heston Model

The Fundamental Theorem of Asset Pricing (FTAP) is invoked when we say the time $0$ price of a European option with payoff $g$ is $e^{-rT}E_Q(g(S_T))$, with the hypothesis that $e^{-rt}S_t$ is a $Q$-...
0
votes
1answer
21 views

Binary Options hedge Forex position

if I am short GBPJPY and it start to jump up, instead of closing it, could I use Binary Options to long it immediately after jump up? So I could hedge current Forex position if possible.
0
votes
0answers
64 views

EM for conditional Gaussian model

Let $$X_1\sim N(\mu_{X_1},\sigma_{X_2}^2)$$ $$X_2\sim N(\mu_{X_2}, \sigma_{X_2}^2)$$ where $\mu_{X_2}=c+aX_1$. Also, I have data $D$ (with missing values on $X_1,X_2$). How can I update/estimate the ...
1
vote
3answers
80 views

Downward sloping smile in normal model

We consider an stock price $S$ following a normal model: $dS_t = \sigma dW_t$ We can write this as $\frac{dS_t}{S_t}=\frac{\sigma}{S_t}dW_t$ Hence we can see that $S$ follows a "log-normal" ...
0
votes
0answers
21 views

Does the solution to this problem on floorlets have an error?

I'm self-studying and encountered the below problem and solution. I believe the payoff of the put at node $dd$ would be $(1.044)^{-1}\max(0.05 - 0.02, 0) = 0.019157088,$ and similarly the payoff at ...
0
votes
0answers
11 views

Which version of NAICS code is used in CRSP and Compustat?

Is the NAICS code used in CRSP and Compustat always the latest one? If yes, then it means, by this year, they should be using NAICS code 2012 revision. I have some external data which is only using ...
0
votes
1answer
51 views

Large trend-followers: why use futures rather than ETFs?

There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
0
votes
2answers
29 views

Where to find sample intraday data? One to two days or more

I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
0
votes
1answer
17 views

How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
1
vote
0answers
16 views

Can the concept of negative probabilities be used to price a call option?

Assume that we have a general one-period market model consisting of d+1 assets and N states. Using a replicating portfolio $\phi$, determine $\Pi(0;X)$, the price of a European call option, with ...
0
votes
1answer
24 views

Trying to understand T-Bond futures settlement. What am I missing?

Here's a puzzle I encountered when trying to understand how treasury bond futures (/ZB) are settled. Supposed I am short 1 September ZB contract at \$170, and on its last trading day the contract ...
0
votes
0answers
21 views

Can someone try this Boundary Condition for the Black-Scholes PDE out for me?

I have a bit of a favor to ask and if anyone could help me out with this I'd really appreciate it. At the moment I'm trying to use the triangle wave formula as the payoff for the Black-Scholes PDE i.e....
0
votes
2answers
27 views

Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
0
votes
1answer
29 views

Pattern recognition through moments [on hold]

Can the extent of mean reversion and trend in a given price dataset be explained by a combination higher moments (skewness/kurtosis) of returns? If yes, how do we combine these moments to come up with ...
0
votes
0answers
26 views

How to estimate an Engle's asymmetric DCC model in R?

I have a $N x d$ matrix of standardized residuals, and I want to estimate the parameters $\alpha$, $\beta$ and $\gamma$ of the asymmetric version (Cappiello, Engle, Sheppard, 2006) of the usual ...
0
votes
1answer
26 views

Variability of IVs of OTM options

I'm attempting to fit a curve through moneyness/IV datapoints of intra-day options. As you can see, the data gets sparser and more variable for highly OTM options. I'd like to argue why the outliers ...
0
votes
1answer
31 views

PCA for stand alone equity VaR

I am trying to compute equity VaR, forex VaR and total VaR on an international portfolio (10 stocks x 4 countries). Since I am not interested in the risk disaggregation among diffrent countries I was ...
1
vote
1answer
45 views

How do I calculate yield from a bond futures contract?

I would like to know how I can calculate the yield of a bond futures contract(say the 5 yr treasury "FVM05" is trading at 108.2)? I am not sure how to go about calculating the yield of the futures ...
0
votes
1answer
28 views

How buying/selling pairs and entering/exiting trade works in pairs trading?

Lets say I have two stocks x and y and their corresponding stock price p(x) and p(y). consider HR as hedge ratio. Then we can calculate the spread using this equation. $spread=p(x)-HR*p(y)$ from ...
1
vote
0answers
42 views

QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use "FittedBondDiscountCurve" with "NelsonSiegelFitting", but I faced with such problem: ...
3
votes
1answer
76 views

What is the probability that a Brownian Bridge hits an upper barrier $U$ before a lower barrier $L$?

The probability that an arithmetic Brownian motion process $dt = \mu dt + \sigma dW$ hits an upper Barrier $U$ before it hits a lower barrier $L$ is given by $$ \mathbb{P}(\tau_U\leq \tau_L) = \frac{\...
1
vote
1answer
47 views

How to simulate asset returns using student t?

I am currently trying to simulate an asset return using the student-t distribution, but I can't find how I should do this. I began with the Geometric Brownian motion and just changed in order that ...
-1
votes
1answer
77 views

What mathematical knowledge is required for the CFA program? [on hold]

My mathematical knowledge is lacking. I have a grasp of basic algebra and statistics. But I have not studied any calculus or linear algebra. In the CFA textbooks, I'm finding the formulas difficult ...
-3
votes
0answers
25 views

Risk management of all the types of risks [closed]

Explain how the various types of risks are managed clearly in financial institutions
1
vote
0answers
53 views

$\mathbb{P}$ and $\mathbb{Q}$ probability measure/distribution interpretations

I'm trying to understand probability distributions implied from market prices and was reading through this reference explaining the interpretation of $N(d_1)$ and $N(d_2)$ in the log-normal vol Black-...
0
votes
0answers
40 views

How inplement monte carlo simulation in bdt model ? (interest rate)

I want to implement monte carlo method in Black–Derman–Toy model to preview short interest rates. $$d\ln r_t=(\theta_t+\frac{\sigma'_t}{\sigma_t}\ln r_t)dt+\sigma_tdW_t$$ Someone can explain what ...
0
votes
0answers
11 views

Inclusion of 0.50 in Finonacci retracement

Is there any rationale for 0.500 being included in the Fibonacci retracement sequence beyond it being a nice round number and the midpoint of 0.381 and 0.618? Clearly, it is not a member of $\frac{...
1
vote
2answers
31 views

How exactly are correlated defaults used/analyzed?

I've read a lot about correlate defaults but I can't seem to understand how they're used practically in a portfolio theory setting. Suppose I have two (?) companies, X and Y, and historic default ...
0
votes
0answers
18 views

What does (a,b,c curve coefficients) mean for an Implied Volatility Parameterized Surface data? [closed]

I have a dataset which provides a, b, c curve coefficients for an Implied Volatility Parameterized Surface data for a ticker. What do they mean?
1
vote
1answer
41 views

Pricing of a Forward-start option in a Black-Scholes framework

I have read the pricing procedure of a Forward-start option in a Black-Scholes world in Musiela-Rutkowski, but I don't find their proof clear (pp. 195-6). Let me summarize their argument: Consider ...

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