0
votes
0answers
7 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
1answer
8 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
14 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
0answers
23 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
18 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
0answers
26 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
20 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
45 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
28 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 ...
4
votes
0answers
27 views

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
10 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
27 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
15 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
16 views

Error: could not find function “covEWMA” [on hold]

During the code I've got a problem Error: could not find function "covEWMA" What is the problem?
0
votes
1answer
25 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)
0
votes
0answers
16 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
44 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
54 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
28 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
16 views

No data in get symbols [on hold]

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
40 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
16 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
15 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 ...
4
votes
1answer
67 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
49 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
36 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
18 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
28 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 [on hold]

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
187 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
10 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 ...
0
votes
0answers
23 views

ARIMA-GARCH model estimation [on hold]

ARIMA-GARCH model. after etimation of the ARIMA part, the residuals failed lm test. But I saw a paper which said even if it fails the lm-test, it could continue to do the garch estimation, and it ...
0
votes
0answers
14 views

Forex for currency exchange [closed]

Does it make sense (financially) to use Forex broker to exchange large amounts of money from one currency to another as opposed to traditional banking exchange? Doesn't broker usually require to ...
0
votes
0answers
19 views

How do I trade USDRUB in the United States? [closed]

How do I trade USDRUB (US dollars to Rubles) in the United States? What brokers provide that service?
1
vote
2answers
42 views

Euler discretization of Heston SDE in Mathematica

Below is an implementation of the numerical solution of the Heston SDE using Euler discretization. It takes under a second to run on Mathematica. The calibration parameters give a good fit to the ...
2
votes
1answer
62 views

The use of GARCH

I have a conceptual question that I haven't managed to grasp yet and is most likely a econometrics 101 question by here it goes: If we estimate a GARCH model for a time series, how do we then use ...
-1
votes
1answer
37 views

Implicit relation between risk and reward

I want to differentiate w.r.t. $\sigma^2$ the following equation $u'(Y)\mu$ + $\frac{u''(Y)}{2}$$(\sigma^2 + \mu^2) = 0$ where we can consider $\mu$(reward) as an implicit function of $\sigma^2$(risk) ...
2
votes
0answers
22 views

DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA

The command in STATA to calculate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} ...
3
votes
5answers
265 views

Why the Black-Scholes formula can be used in the real world?

The BS formula is deduced using the risk neutral measure. Why can it be used in the real world?
1
vote
0answers
42 views

modeling regime switching for Correlation matrix

I am trying to estimate covariance in multiple time series. However, I want to do this using a regime-switching framework. So, I start with fitting a GARCH(1,1) model and then de-volatalize the ...
1
vote
1answer
41 views

Variance Swap volatility

In an article, it is mentioned that a parameter is "the variance swap volatility at time t". I know what a variance swap is but I don't know what they could mean by "variance swap volatility". ...
1
vote
1answer
62 views

using garch to forecast volatility but getting low persistence model

I am using a GARCH(1, 1) model to try model volatility for a certain stock. I have a GARCH function in matlab that returns the three parameters, omega, alpha & beta. I then use this parameters ...
2
votes
0answers
114 views

Downloading high-frequency data: S&P 500

can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
-1
votes
1answer
22 views

dividend cash in month [closed]

I like know how much money dividend cash I get. For example I own two shares of the stock dividend cash will be 4.54$ ? ...
2
votes
0answers
38 views

How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
0
votes
0answers
17 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
0
votes
1answer
38 views

possible to estimate if hard-to-borrow?

I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio ...
0
votes
0answers
33 views

How do I find the Sharpe Ratio?

Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated.
1
vote
1answer
31 views

List of central index keys (CIK) for NASDAQ and NYSE

I have seen this post : Central Index Key (CIK) of all traded stocks But I would like to download the CIKs only for NASDAQ stocks, NYSE stocks etc. I searched online but only managed to find CIKs for ...
0
votes
1answer
24 views

Downloading Data from Interactive Brokers using IbPy

I am trying to download data from Interactive Broker using the code below and I am able to create the connection with the Trader Work Station (I get a "True" after ...

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