# All Questions

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### Risk-free: OIS vs LIBOR

Quick question as a follow-up to this post: why was LIBOR used instead of OIS pre-2007 for the risk-free rate proxy? Please correct me if I am getting this mixed up, but from what I've seen, it ...
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### Clarification on this author's solution for this problem on lognormal stock distribution

I am self-studying from a manual on financial economics, and I am trying to completely wrap my head around this solution: I'm trying to fill in the in-between steps of this solution based on first ...
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### Anyone know where I can get some expected returns?

Does anyone publish future expectations on any decent interval? Someone like, I dont know, Fidelity or BlackRock or Goldman or someone? What I am looking for is a historical time series of future ...
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### Interpreting Eigenvalues of Co-variance Matrix

Im working on market reaction to events and I'm using the co-variance matrix to do this. In this paper the author writes It has been known for some time that the largest eigenvalue (λ1) contains ...
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### Stochastic Vol simulation - Quant job interview question

this is a question from a quant interview (FO quant for IR Exotics for a big 4). First it might be useful when preparing your interviews, second, any brainstorming will be appreciated. Note that no ...
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### Calibration to CDS spreads

I am trying to calibrate a stochastic intensity CIR model to CDS spreads. The model reads $d\lambda_t = \kappa(\theta-\lambda_t)dt+\sigma \sqrt{\lambda_t} dW_t$ When calibrating the parameters I get ...
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### Duration calculation with negative cashflows

I have a pool of (mortgage) assets that pay cashflows as below. How could I correctly calculate the duration? Does it have a meaning in the sense of a vanilla/callable bond as the measure of price ...
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### What are commonly used price movement color schemes?

What are commonly used price movement color schemes? Like American: up - green, down - red European: up - blue, down - red Asian 1: up - red, down - green Asian 2: up - blue, down - red Are these ...
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### Risk neutral pricing - Example from a book is correct?

I found the following example in a book on Model Risk, while trying to explain how risk-neutral pricing takes properly into account the risk involved in different investments. The Example is this. ...
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### Starting short-end OIS zero curve building

I understand the concept of bootstrapping and building the curve when we have the values for first few maturities. However, I can't quite get how the initial values for zero curve rates are derived ...
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### Discussion about negative interest rate

Now I'm updating typical equity premium of CAPM and Fama French 3 factors. As you know, some of interest rates are already in negative. To calculate market factors, not so hard to apply them as risk ...
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### IRR of IRR or weighted average of IRR

I have a list of investments with their expected IRR(Internal Rate of Return). I'm confused about which is the right metric to depict for my population: IRR of IRR or weighted average of IRR. It's ...
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### Logarithmic price defined as the midpoint of the log bid and ask : Simple Clarification

Guys I would like a simple clarification. The paper by McMillan and Speight (2012) at the data section, defines the logarithmic price as the midpoint of the logarithmic bid and ask. Is that translates ...
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### How many companies in an industry sector? [on hold]

How can I find how many companies are active in an industry sector? Preferably - I would like to know how many companies, that are larger than x (in income, number of employees, or any other ...
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### Adjusting VaR calculating for Correlation effects?

I have a question regarding VaR calculation for a portfolio using a historical approach and the corresponding correlation assumptions. When using a historical approach, we essentially offset ...
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### About the definition of a complete market

In Steven Shreve's book "Stochastic Calculus for Finance 2", Definition 5.4.8 says a market is complete if every derivative security can be hedged. What exactly does every derivative security mean? ...
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### Exercise: interpretation of terms in black-scholes

I have following exercise: This is what I did: \begin{align} C(K)&= e^{-r\tau} \mathbb{E}^\mathbb{Q}[((S_T - K)^+] \\ &= e^{-r\tau}\mathbb{E}^\mathbb{Q}[((S_T - K)\mathbb{1}_{S_T>K}] \\...
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### Where can I find API access to historical options data? Paid or free?

I'm looking for a company or website that provides API access to historical options data. I would prefer a provider that has a python module to access the API. Any leads would be appreciated.
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### Asset allocation problem using Hidden Markov Model

I am recently getting more interested in Hidden Markov Models (HMM) and its application on financial assets to understand their behavior. But what captured my attention the most is the use of asset ...
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### Understanding meaningfulness of the BS model for portfolio of 2 assets

this is my 1st post here. I would like to discover the beauty of science hidden behind qualitative finance. I have half of the summer fully open for experiments, I am learning Java for this ( chosen ...
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### Annualized Log Returns

I backtested an investment strategy over ten years (521 weeks to be specific) and calculated the weekly return using log returns. The sum of all weekly returns added up to 145%. How do I annualize ...
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### What are the steps for creating an efficient intra day algo trading system? [on hold]

I am trying to create an algo trading system (in C++) using technical analysis strategies to trade in the duration of 1 minute. Initially it will only use it for paper trading. I want to know what are ...
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### LMM & multiple curves

I was reading through a paper that attempted to present a theoretical explanation for the divergence in value of different LIBOR tenors (and thus for the use of different curves for different tenors). ...
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### volatility of a mid curve option

Question: When checking the volatility surface for, let's say, a swaption, where the the option expires in 1Y and the underlying starts in 1Y and ends in 5Y, one would check the volatility surface ...
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### forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.