# All Questions

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 ...
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 ...
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 ...
23 views

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?
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 ...
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". ...
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 ...
114 views

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 ...
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\$ ? ...
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. ...
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 ...
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 ...
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.