0
votes
0answers
4 views

What is the relationship between arithmetic versus geometric averages and simple versus logarithmic prices?

I know that the geometric mean is used in order to make percentage returns across time comparable. Similarly, I know that log prices make percentage returns comparable for example when prices are ...
0
votes
0answers
10 views

What is the legal difference between ETFs, ETNs and ETCs

I would like to understand how exchange traded funds (ETFs) can be classified in legal terms. According to Vanguard, there are five ETF structures Open-End Funds Unit Investments Trusts Grantor ...
1
vote
1answer
12 views

Call option pricing using CCR model - derivation problem

I'm viewing the following derivation of a Call Option price using the CRR model. There is one piece of the derivation which I cannot understand. \begin{align} C_0 &= e^{-rT} \sum_{i=0}^{N} ...
0
votes
2answers
17 views

Building custom indices; getting data from web; stats analysis; Python or R?

I would like to build a couple of custom indices. I would like to be able to enter ticker(s) into an input and have ohlc, volume, qualitative ...data downloaded from yahoofinance, google finance, ...
1
vote
0answers
20 views

Why future (forward) volatility smile is important to path dependent option?

I was wondering why future volatility smile is important to path dependent option and American type option such as Bermudan swaption. It would be best if someone could provide a reference article as ...
-1
votes
0answers
19 views

Annualise 3 months standard deviation [on hold]

I have 3 months worth of weekly returns. To annualise do I still use Stdev*Sqrt(52)? Thanks
2
votes
1answer
109 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
1
vote
0answers
15 views

Semi-variance/Downside Risk, what about the rest of the covariance matrix?

I just bumped into a rather interesting article from wikipedia : http://en.wikipedia.org/wiki/Downside_risk where they define the semi-variance also called Downside risk, which bascially only ...
1
vote
0answers
24 views

Simulating Brownian motion with jumps

I am trying to improve my understanding of jump processes. As a first step, I want to simulate sample paths for the process $$dX(t) = dw(t) + dJ(t)$$ where $dw(t)$ is a Brownian motion and $dJ(t)$ ...
2
votes
1answer
18 views

Calculate efficient frontier using fPortfolio with incomplete set of returns

I want to calculate the efficient frontier for a set of 140 assets using returns from the past 10 years. However, some of these assets came into existence only more recently, so for some assets I have ...
0
votes
0answers
20 views

Leverage and point value

can I ask you what do leverage and point value mean in case of stock indices (here is the link where it is mentioned: https://www.dukascopy.com/swiss/english/cfd/range-of-markets/)?
8
votes
1answer
85 views

Best written quantitative finance papers

I have some writing experience, but I want to take my writing skills to the next level. I am particularly interested in writing quantitative finance papers A common tip you find in books on writing, ...
0
votes
0answers
11 views

Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
1
vote
1answer
24 views

Difference between the two Bloomberg codes

Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can ...
1
vote
0answers
17 views

How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?

I have mean reverting data (Difference of 2 stock prices, that I want to do pairs trading on). I want to simulate my own mean reverting data as similar as possible to the real data that I have. The ...
0
votes
0answers
40 views

Put-Call relationship for Option on Forward

How do i show that the prices of European call, C, and put options, P, on the forward F, with the same strike K and expiry date $T_1$, where $T_1 < T$ (ie, the options expire before the forward ...
0
votes
1answer
75 views

Portfolio optimzation : efficient frontier with respect to risk aversion parameter with R

I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter. The problem I have is that by increasing the risk aversion parameter I think ...
1
vote
1answer
24 views

Hedging behind the decomposition of american put options

Now I'm reading a paper:"alternative characterizations of american put options" , the authors are Carr,Jarrow,Myneni http://www.math.nyu.edu/research/carrp/papers/pdf/amerput7.pdf After theorem 1 ...
0
votes
1answer
13 views

What is the gross accounting relation of Cobb-Douglas function?

We have Cobb-Douglas function like this $Y=AK^\alpha L^{1-\alpha}$, in one of the book, it deduce like this: How can we get this formula? $$\frac{\Delta Y}Y = \frac{\Delta A}A+\alpha\frac{\Delta ...
0
votes
2answers
55 views

Value a structured note with Black-Scholes

Apologies in advance if this seems like a straight forward question but I'm really unsure how to go about it. Say I have the payoff for a structured note benchmarked against an index and I have a ...
0
votes
2answers
44 views

Garch for covariance matrix?

I have seen plenty of literature about GARCH on estimation volatility. how about covariance? There are plenty of risk models depending on the covariance matrix. I guess we can assume the correlation ...
0
votes
1answer
49 views

How to forecast bond price with time series

I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
0
votes
3answers
79 views

Implied Vol vs. Calibrated Vol

Consider the Black-Scholes model, in which the log stock return over a time period $\Delta t$ is given by $$ \log(S_{i+1}/S_i) = (\mu - \sigma^2/2)\Delta t + \sigma \sqrt{\Delta t} Z_i, \qquad Z_i ...
1
vote
0answers
35 views

How can I do a dynamic GARCH model using extended Kalman filter in R?

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
1
vote
1answer
49 views

Effect of massive volatility on BS formula

I am experimenting with very high volatility on the standard Black-Scholes formula. I set risk free to zero, time to expiry to 1, volatility to 1 (=100%), and underlying to 1. Then I simulate the ...
0
votes
1answer
27 views

How to fit a SARIMA + GARCH in R?

I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model. I'm using rugarch: model=ugarchspec( variance.model = ...
0
votes
1answer
60 views

Can I do a GARCH model to forecast a time series?

I read this paper https://research.aston.ac.uk/portal/files/240393/AURA_2_unmarked_Energy_demand_and_price_forecasting_using_wavelet_transform_and_adaptive_forecasting_models.pdf the two authors ...
-2
votes
0answers
36 views

Stock market prediction [on hold]

Good Afternoon group members. My research area is financial data mining. My research topic is Stock market prediction using artificial neural network. I have implemented Back propagation algorithm. I ...
7
votes
1answer
80 views
+50

Please give a step-by-step explanation on how to build a factor model

Factor models such as Fama-French or the other's that are partially summarized here work on the cross-section of asset returns. How are the factors built, how are sensitivities/coefficients ...
0
votes
1answer
13 views

Lease Accounting / FX Embedded Derivatives

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate ...
0
votes
1answer
36 views

What are good online resources for credit portfolio managers?

I am aware that this question is not the typical stackoverflow question, BUT I couldn`t find any site/forum/wiki, where credit portfolio managers hang out to share their experience and their methods. ...
0
votes
0answers
20 views

What are the different Credit Portfolio Management models and what are their advantages?

CreditMetrics, RiskMetrics(Algorithims), etc. are all different risk methodologies used by many banks. However, what are their advantages/disadvantages? I would appreciate your replies!
-1
votes
0answers
17 views

Error: could not find function “covEWMA” [closed]

During the code I've got a problem Error: could not find function "covEWMA" What is the problem?
0
votes
1answer
31 views

How do I get a list of yahoo tickers for NYSE

I use Yahoo finance to get financial data. How do I get a list of all the ticker symbols in NYSE, NYSEMKT and NASDAQ stock exchanges. (Or even just one of the exchanges)
1
vote
0answers
21 views

About OpenMAMA, OpenMAMDA and OpenMDM

In the Linux Foundation are hosted the OpenMAMA and OpenMAMDA (found in that link too) projects and I'm wondering if has someone worked with those projects and if he/she could give me a more detailed ...
1
vote
1answer
54 views

What is the difference between a benchmark yield curve, funding curve and a basis spread curve?

I am trying to understand why these curves are important, and what they are used for in the industry today (if not at all).
1
vote
1answer
63 views

Effect of vol smile on risk neutral probability of ITM

I was asked in an interview about how the vol smile affect the price of a binary option, which is essentially the Prob(ITM) under risk neutral measure. My thought is that the implied vol at spot ...
0
votes
0answers
30 views

Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
-1
votes
0answers
17 views

No data in get symbols [closed]

I found DCCGARCH Model code over the internet, I'd like to try to apply this code for my indexes, but I can't get them by using getsymbols, because there is no data in yahoo Finance, but I've got ...
0
votes
1answer
44 views

binomial option pricing model - problem with risk-neutral probability

I have a little problem: in the binomial option pricing model, the price of a european derivative security $V_{n}$ satisfies: $V_{n}=[1/(1+r)]*[\tilde{p}*optionUp +\tilde{q}*optionDown]$ where: ...
0
votes
0answers
17 views

CAPM Model Required Return Calculations

In a CAPM model how would one calculate p given sigma, beta, and required return? How would one calculate beta given sigma and p. and how would one calculate required return only given sigma and p?
1
vote
0answers
17 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
5
votes
1answer
74 views

Is this application of Ito's lemma correct?

Suppose that $S$ follows a geometric brownian motion $$dS=S(\mu dt+\sigma dB).$$ It is well understood that $$S_{T}=S_{0}exp((\mu-\dfrac{\sigma^{2}}{2})T+\sigma B_{T}).$$ Method 1 (I have no ...
2
votes
1answer
54 views

How to account for correlation between strategies when they are added linearly?

There are n strategies which are going to be combined linearly. Using a pre-exisiting model I get a set of n weights which will be used to combine the strategies. But the model does not take ...
0
votes
0answers
50 views

Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...
0
votes
0answers
38 views

How do I show that there is no tangency portfolio?

Question: Suppose that the risk-free return is equal to the expected return of the global minimum variance portfolio. Show that there is no tangency portfolio. A hint for the question states: Show ...
0
votes
1answer
33 views

Financial Mathematics essay topic

I have a mathematics background and I am currently doing a Masters in Financial Mathematics. I am required to write an essay in a financial mathematics area but I have little knowledge about it since ...
0
votes
0answers
26 views

Use of Stochastic Calculus in QF [closed]

What are some of the areas of stochastic calculus are used in QF, and what are some of the applications? If this question is maybe too broad, please provide references instead. Please provide ...
5
votes
3answers
197 views

What is the fair price of this option?

Without having to use Black-Scholes, how do I price this option using a basic no-arbitrage argument? Question Assume zero interest rate and a stock with current price at \$$1$ that pays no dividend. ...
0
votes
0answers
11 views

Most-efficient/effective Incentive Scheme Design to Minimize Loan Default Probability

Here is an open-ended, hypothetical question regarding the optimization of a loan incentive scheme. Any and all suggestions/plans are welcome. Please ask any clarifying questions if you wish: A loan ...

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