1
vote
0answers
10 views

How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
0
votes
1answer
17 views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
1
vote
1answer
18 views

How to estimate CVA by valuing a CDS of the counterparty?

I'm trying to estimate CVA of one of my derivatives by valuing a credit default swap (CDS) of my counterparty. However, I don't know how to set up the CDS deal (notional amount, maturity, etc.). ...
1
vote
0answers
19 views

Hot do I calculate an effective forward rate? [on hold]

I have to find nominal and effective forward interest rate for 3M-9M term, knowing that current interest rates are: 3M - 2.05% 6M - 2.04% 9M - 2.03% 12M - 2.02% For a nominal interest rate I just ...
5
votes
2answers
60 views

Does it make sense to use upward and downward volatility in option pricing?

Historically stocks have a higher likelihood to increase in price than to fall in price. As such would it make sense to split a stocks volatility measurement into upward and downward components? For ...
1
vote
0answers
10 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
0
votes
0answers
23 views

Any Simple Way to Prove Black Scholes Type Identies?

A certain complicated option pricing formula results in products of Black Scholes $N$ components like this: $-p_1N(d_1)N(d_6)+p_sN(d_2)N(d_5)>?0$ where $p_s>p_1$ Trying to find a simple way ...
1
vote
0answers
9 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
1
vote
0answers
12 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...
0
votes
0answers
14 views

Cost of carry for posting bonds as collateral

Cost of carry for posting bonds as collateral How do you calculate cost of carry for posting bonds as collateral?
1
vote
0answers
38 views

Bachelier model: number of stocks in replicating strategy

Given: Consider a two-asset, continuous time model (B,S) where \begin{equation} dB_t = B_t r dt, \quad dS_t = \mu dt + \sigma dW_t. \end{equation} The question is: How to show that the number of ...
1
vote
1answer
39 views

Black Scholes model: condition of payout function

Given: Consider a two-asset, continuous time model (B,S) where $$dB_t = B_t r dt, \quad dS_t = S_t ( \mu dt + \sigma dW_t)$$ Clearly, the martingale deflator is: $$Y_t = e^{(-r - ...
1
vote
2answers
48 views

Dupire model and Local Volatility model

In the context of Option pricing model. Is there a difference between the Dupire Model and the Local volatility model ? Thanks Achal
0
votes
0answers
19 views

Interpretation of Cointegration results, pValues and t-Stat

This is a follow up to: Cointegration results interpretation validation? I ran another Engel Granger Test on a pair, The results I get: ...
0
votes
1answer
38 views

What's state price vector?

What is state price vector?. Please explain me in detail is difficult to understand for me.
4
votes
1answer
67 views

How to estimate the greeks with a Monte Carlo simulation?

I am simulating the path of three indices to price a 1 year basket option. All the indices are domestic, so there is no currency component. At each time step I am using the local volatility ...
5
votes
4answers
111 views

What are the canonical books for statistics applied to finance?

I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics. Now I am working quite a lot with data, and trying ...
0
votes
0answers
39 views

What is the cheapest way to trade equities using a FIX connection? [on hold]

I would like to connect to an electronic exchange to run some simple statistical arbitrage strategies to trade equities. Of course this must be done from end-to-end electronically, in other words, I ...
0
votes
0answers
21 views

What interest rate dynamics would you suggest to simulate a single swap?

I need to calculate the Potential Future Exposure (PFE) for a single swap (not a portfolio). As far as I know, a stochastic model is needed to simulate the interest rate curves (from here). Could ...
0
votes
1answer
30 views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other ...
0
votes
1answer
41 views

Cointegration results interpretation validation?

Here is how I am interpreting results of a Johansen Cointegration Test and Engel-Granger Test for A and B. The results:(Using matlab) ...
0
votes
1answer
33 views

Implication of the Greeks under jump diffusion model

Consider jump diffusion model proposed by Merton and Kou. As far as i know, most paper only dealt the valuation of option under the jump diffusion model. As i expected, because of the ...
0
votes
1answer
26 views

Index for Hedge fund, Private Equity, Venture Capital

We have index for stock market, like S&P500, Nikkei 225, etc. I wonder if we have any index for hedge funds, private equity or venture capital?
3
votes
1answer
75 views

Portfolio VaR with Copula?

Let the portfolio be given by: $$X=X_1+X_2$$ $(X_1,X_2)$ are dependent through a Copula function $C(u_1,u_2)$, such that the joint distribution is given by: $$F(x_1,x_2)=C(F(x_1),F(x_2))$$ What is ...
0
votes
1answer
30 views

Why vertical skew is same for puts and calls

What is the reason that the vertical volatility skew graph(decreasing IV as the strikes increase) is the same for the puts and calls? The loose explanation is because of put call parity, but I am not ...
1
vote
2answers
101 views

Why doesn't Black-Scholes assume the absence of statistical arbitrage?

Both Black-Scholes and binomial model assume that there's no risk-free arbitrage in the market. But that sounds like a very weak condition. If a trading scheme makes you gain 100 dollars with 99% ...
0
votes
2answers
66 views

what volatility do we calculate using GARCH model

what volatility do we calculate using GARCH model, Historical vol or Implied vol or Future Vol or Actual vol.
0
votes
1answer
45 views

Is the value also log-normally distributed?

Sorry if this is a stupid question. My book assumes many times that $log(1+R)$ is normally distributed, so R is log-normal. But does this also mean that the value process is log-normal? Since ...
1
vote
1answer
46 views

Historical Implied Volatility Calculation

I'm trying to calculate implied volatility for the FTSE 100 for the last few years. I have all the end of day data from LIFFE for the last few years. I have combined the data by weighting the ...
0
votes
2answers
39 views

Shreve book II Question 4.6 Error?

I'm working through Shreve II, and on question 4.6, you are asked to compute $d(S_t^p)$ where $S_t$ = $S_0e^{\sigma W_t + (\alpha - \frac{1}{2}\sigma^2)t}$ I get the answer $pS_t^p[\sigma dW_t + ...
0
votes
0answers
18 views

Is the Volatility of the Fx Inverse process same as Fx

Let St = Fx and St(Inverse) = 1/Fx. Do both of these have same volatility and if so how would you prove it?
0
votes
0answers
3 views

Foreclosure Implications on CMO Cash Flows

I have a simple homework project where I am to create some models to value a CMO. Please make any simplifying assumptions necessary to provide an answer. Prepayment is simple to account for. This ...
1
vote
1answer
39 views

use synthetics for a pairs trading strategy

Let us say I want to pursue a pair trading strategy between stock A(long) and stock B(short). Can I replace this stocks with their synthetic option equivalents and have the same risk reward profile ...
-1
votes
0answers
49 views

Why Statistical arbitrage is no logner useful [closed]

Are there any white papers, articles that briefly explain why statistical arbitrage is no longer useful? Should I just buy the book by Andrew Pole?
0
votes
2answers
88 views

Is the volatility for these two SDEs the same

$$ (1) \ \ d\left(\frac{1}{S_t}\right) =\frac{1}{S_t}\left(\sigma^2-r\right)dt +\frac{1}{S_t}\sigma dW_t $$ and $$ (2) \ \ dS_t = S_t rdt + \sigma S_t dW_t $$ How can you prove that?
0
votes
1answer
63 views

What math concepts are used in designing volatility models

What topics in statistics and mathematics do I need to understand thoroughly before I can start to dabble with stochastic volatility models and volatility arbitrage?
0
votes
0answers
20 views

Is it possible for two securities to have the same first 8 characters of a cusip, but differ in the check sum?

CUSIP is a 9 character long identifier. The last digit is a check sum checking the first 8 previous characters. This seems to me that it is not possible for two securities to have the same 8 ...
0
votes
2answers
63 views

Why gamma for ATM option decreases as volatility increases

Why is the gamma for an at the money option less when volatility increases. Intuitively ,I thought that increasing volatility means more uncertainty,hence the option price will be more sensitive to ...
0
votes
3answers
78 views

Downloading most recent stock prices

I would like to download (from Google) the most recent prices for a series of stocks. I have created a portfolio at Google and I can click on "Download to Spreadsheet". That works. But I would ...
1
vote
1answer
90 views

What are the dynamics of the reverse of this FX process?

Assuming the dynamics of the exchange rate between two currencies at time $t$ is given by: $$ dX_t=\Delta r X_t dt+ σ X_t dW_t$$ Is the FX Reverse process $\frac{1}{X_t}$ a brownian motion? How can ...
2
votes
1answer
34 views

Overlapping Value-at-Risk Backtest Data an Issue?

My understanding of VaR model back testing is thus: ~~ t: Calculate daily VaR using look back data over n past days t+1: Compare daily return against VaR, record breach if one occurred, repeat ...
-2
votes
1answer
23 views

Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
0
votes
1answer
29 views

Libor Market Model: numeraire change

I am currently studying the Libor forward market model, and although I get the mechanics behind the main arguments, I still do not have an intuitive idea of what's exactly the objective behind ...
0
votes
1answer
26 views

PCA on term structure of interest rates

Interest rate time series seems to be non-stationary whenever test is performed But covariance or correlation matrix is derived from term structure time series which are non stationary and later PCA ...
1
vote
1answer
45 views

When $C(K_2) = C(K_1)$ for call options with the same expiration date

The exercise is to show $C(K_1) \geq C(K_2)$ where C(K) denotes the value of a call option on a stock price S with strike price K. We assume the expiry is the same for both. I have proved this by ...
1
vote
2answers
39 views

Where to get master list of mutual funds?

I cant seem to find a straight answer anywhere on Google for this. I would like to create a master list of all known mutual funds and their ticker symbol. Is it possible to get this data from ...
-3
votes
0answers
36 views

Need guidence on quant trading [closed]

I am just learning quant trading and i want to trade based around probabilities. What do i need to learn to achieve this goal? Do I need to learn C, SAS, Excel? Also what is the best data feed to ...
0
votes
1answer
29 views

ZSpread in multiple curve framework

how do I calculate ZSpread for a govt. bond in a multiple curve framework? I have not come across the exact details anywhere so I want to verify if I'm right. Below is my understanding, please correct ...
0
votes
0answers
15 views

Impact of Greeks on PnL for FX Option [closed]

How to calculate Delta PnL, Gamma PnL, Vega PnL for an FX option?
1
vote
1answer
36 views

How to price an European call on zero-coupon from the yield curve?

It is known that the price of an European call of maturity $T^*$ on zero-coupon of maturity $T$ is given by $$p(0,T)= B(0,T^*)\mathbb E ^{\mathbb Q_{T^*}}\left[ (B(T^*,T)-K)^+\right]$$ where ...

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