# All Questions

0answers
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### Evaluation of portfolio other than Sharpe Ratio

Is sharp eratio always the best way to evaluate a portfolio? I'm not really sure what this potential interview question wants me to answer. I have read that Sharpe ratio essentially explains how ...
0answers
8 views

### Calculating Weighted Average Cost of Capital (WACC)

Trying to answer a question from an textbook but struggling a bit to use the formula. I am trying to calculate the WACC on this particular set of data: So I have that: Re = 20.69 Rd = 1842 ...
0answers
15 views

### What is the maximum of a brownian motion with drift over the interval [t_1,t_2]

I am having a problem deriving the equation: $P(max_{(t_1 \leq t \leq t_2)} S(t) > B | S(t_1),S(t_2))= e^{-\frac{2}{T}ln\bigg{(}\frac{B}{S(t_1)}\bigg{)} ln\bigg{(}\frac{B}{S(t_2)}\bigg{)}}$ ...
1answer
19 views

### Duration of a floating rate bond

It is known that the price $p_t$ of a floating rate bond can be calculated discounting $(L+k)$ the sum of the next coupon payment $k$ and the face value $L$ at the relevant risk-free rate. Hence, ...
0answers
10 views

### Different ways to discretize forward rate in HJM

I've come across couple of different ways to discretize the forward rate equation in HJM. If somebody could please help me understand why is it possible to have multiple ways here and how to pick up ...
0answers
13 views

### Assumptions of the One-Fund Theorem

What are the assumptions of the One-Fund Theorem? (You can look it up here for example: https://www.math.washington.edu/~burke/crs/408/fin-proj/mark1.pdf ) Is the assumption that the market offers ...
0answers
8 views

### Where can I find ETF fund flow data?

I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
0answers
17 views

### Is Complete Vega Elimination Possible?

I avoid short selling in my strategies. Losing more than invested is not attractive. But at times the implied volatility is too high, I am worried about buying at all and I am trying to filter the ...
3answers
46 views

### Delta of binary option

What is the Delta of an at-the-money binary option with a payo out $0$ at $<100$ dollars, and payout $1$ at $>100$ dollars, as it approaches expiry? This is from a sample interview exam. I ...
0answers
13 views

### Calibration of Dothan Model to Yields

For both the Vasicek and CIR model the yields $R(t,T)$ and short rates $r_t$ have an affine relationship: $$R(t,T) = \frac{B(t,T)r_t - A(t,T)}{T-t},$$ where $A(t,T)$ and $B(t,T)$ are determined by ...
0answers
38 views

### Investment Grade Bond vs Junk Bond, whose duration is larger?

Just wondering how to calculate duration when take credit risk into consideration. I think if duration is calculated as weighted average of cashflow time, and weights are calculated using present ...
0answers
42 views

### Non-parametric estimator - CVAR / Expected shortfall

Is the estimation of the CVAR using known non-parametric methods (histogram , kernels) is different than the estimation of any other R.V.? If the answer is yes, then I am interested to know whether ...
0answers
23 views

### Coupled Black-Scholes equations

Could someone provide me some information about the modelling of several options at the same time by using Black-Scholes (probably coupled) equations? Specifically I am wondering if in finance one has ...
0answers
21 views

### VAR(1) - GARCH(1,1) model estimation in R

Can someone please help in explaining the steps involved to estimate the parameters of VAR(1)-GARCH(1,1) model of Mcaleer 2003 in r. It is a multivariate GARCH model where the mean equation is ...
0answers
15 views

### Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
3answers
53 views

### Intuition behind Fama-French factors

In the Fama-French 3-factor model the portfolio returns are explained by the market the SMB factor (Small [market capitalization] Minus Big) and the HML factor (High [book-to-market ratio] Minus ...
0answers
13 views

### Stress Testing of the portfolio containing Equities, Bonds and Options

I have a portfolio containing equities, bonds and options for which I have calculated VAR through variance covariance matrix. No I want to calculate the stressed VAR for which I have adopted the ...
0answers
11 views

### How do Hedge Fund and Mutual Fund mark-to-mark structured notes?

Structured notes are not actively traded. Actually some of them are not traded at all as they are intended to be held-to-maturity. 1.When Hedge Fund and Mutual Fund buy structured notes, how do they ...
1answer
49 views

### European Markovian option

Background information: Consider a European contingent claim with payoff $V(S_T)$, where $V: \mathbb{R}_+\rightarrow \mathbb{R}$ is a function which assigns a value to the payoff based on the price of ...
0answers
14 views

### Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish ...
1answer
40 views

### Payoff of a butterfly c++

I would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff; Could you ^please help me !
1answer
47 views

### How is this financial product called?

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this: Underlying ...
1answer
72 views

Consider one period Arrow-Debreu model with $N = 2$ and $M = 4$ shown in Figure 3.5 and take $R = 0$. a.) Show that any risk neutral probability $\hat{\pi} = (\hat{\pi}_1, \hat{\pi}_2, \hat{\pi}_3, ... 0answers 37 views ### Simulating stock price with Monte Carlo under uncertainity I'm trying to perform Monte Carlo simulation in order to check to what extent target price derived from Discounted Cash Flow(DCF) model may be influenced by changes in variables which are: EUR ... 1answer 43 views ### Zero rate curve USD Libor Good day, I gave following inputs of Libor rates : ON 0.3731 1W 0.3939 1M 0.4265 2M 0.5148 3M 0.6176 6M 0.8655 1Y 1.1336 How can I build zero-rate curve ? 1answer 52 views ### Put-Call Parity Application In the binomial model, how that the Delta of a call option$\Delta^{call}$and the Delta of a put option$\Delta^{put}$with the same maturity and strike satisfy $$\Delta^{call}_t - \Delta^{put}_t = ... 1answer 47 views ### What is the formula that determines when VIX futures expire? Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like ... 1answer 30 views ### General Equation for price optimisation where cost is constant I'm currently working on the Quantitative Finance course offered on Coursera by Wharton and in one example it states that "through calculus, one can obtain the optimal value of price when ... 1answer 61 views ### What is drift in interest rate term structure model I was studying about the interest rate term structures and i came across term structure model with (and without) drift. I am really unsure about what this drift is in this equation for term structure ... 1answer 37 views ### What is smart beta, alternative index, factor investing? What is smart beta, alternative index, factor investing? Are they basically the same thing? Construct a benchmark index using schema other than market cap? 1answer 43 views ### Which database to choose for storing and aggregating finance data? I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 ... 0answers 21 views ### Performance attribution for personal portfolio - weight attribution i am building a platform for portfolio analytics, part of which is a performance attribution module. Given that most individual portfolio's can never have the same number of stocks as say, a mutual ... 0answers 8 views ### Standardized and Advanced IRB together Is it possible to use Standardized approach and AIRB together for the same asset class? For example sovereigns see a risk weight of 0% if AAA, but in AIRB they might not be seeing 0 weight. Is it ok ... 1answer 26 views ### Extracting IB market data: bid and ask for greeks and IV I wrote a piece of code to get option chains with volatility and greeks from IB market data. After testing yesteday, it seems to work, but I am surprised of seeing bid and ask for impliedVolatility ... 1answer 24 views ### CDS spread scenarios from historical market data I'm searching for information on the best way to generate scenarios to be used in VaR or ES calculations, for CDS spreads. Given that we need significant historical data in order to achieve a decent ... 1answer 56 views ### Clarification of The Market Portfolio I am currently reading John C. Hulls' "Risk Management and Financial Institutions" and came across the following passage related to the efficient frontier and combinations of risky and risk-free ... 0answers 4 views ### Is Market OPG an efficient means of entering positions at historic daily open prices? This question pertains to backtesting a strategy against historic daily data. If a strategy is devised using such data, is Market OPG a reasonable way to enter positions? Expanding, the question is ... 0answers 21 views ### Modelling prepaid commodity swaps I'm somewhat new to derivatives, so please forgive a potentially silly q: Suppose there is a VPP agreement (volumetric production payment) which is basically a prepaid commodity swap. The financier ... 1answer 53 views ### Is there an error in this problem on pricing an asset using the true probability of an up move? I'm self-studying for an actuarial exam and I encountered the following problem: The true probability of an up move, p, must satisfy:$$p = \frac{e^{{(\alpha - \delta})h} - d}{u - d},$$where ... 2answers 132 views ### Risk-Neutral Probabilities, Trinomial Model My professor has many grammatical mistakes and errors in his questions, so apologies ahead of time. I am just trying to understand what he wants for this question, In trinomial model, let$S_0 = 1$, ... 1answer 42 views ### Stock valuation/stock pitch and CAPM If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ... 1answer 29 views ### Faster way to backtest/Walkforward I am currently using Ninja Trader to program and test my strategies and the forward testing in very time intensive. I am thinking of writing my own code in either c++ or c#. The question I have is ... 0answers 43 views ### Delta of an option in two cases Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité$\sigma$and maturity t:$C(F,K,\sigma,t,r) $We assume that we know$\delta$... 1answer 48 views ### How to determine volatility for private company for Black-Scholes I am trying to determine the volatility to use Black-Scholes to value some warrants for a private company. Very few comps are public or they are large diversified businesses. Any thoughts on how to ... 0answers 20 views ### Correlate the G2++ with a GBM model In Matlab one can use the LinearGaussian2F function together with the simTermStructs function to create a simulated zero curve based on the G2++ model. Next to simulating the interest rates I need to ... 2answers 77 views ### Dollar-Neutral Strategy Here is an excerpt from E. Chan's book Quantitative Trading, However, if the strategy is a long-short dollar-neutral strategy (i.e., the portfolio holds long and short positions with equal ... 0answers 27 views ### White's reality check p-value I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ... 0answers 23 views ### How do you replicate a geometric index? For example Value line composite index 1answer 42 views ### Metastock end of day data to Python I'm thinking of getting End of Day stock prices from Metastock, but was wondering if it would be possible to have Python to automatically extract the stock prices and store it in a SQL. Would that be ... 2answers 43 views ### demonstrate that a Square-root process is Non-central Chi-squared distributed how can i prove that the value at some future time$t'$,$x_{t'}$, of the Square-root process at current time$t$,$x_t$, is Chi-squared distributed?$dx_t = k(\theta - x_t)dt + \beta \sqrt{x_t}dz_t\$ ...

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