# All Questions

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### America option early exercice boundary via Monte Carlo simulation

I am trying to calculate an american option price via the simulation of the early exercise boundary using the method presented in this document: Monte Carlo Method For pricing a put Option. I have ...
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### Sketching payoff diagrams- Straddle and Butterfly (when t tends to 0)

I want to sketch a straddle and a butterfly payoff diagram when t tends to 0. I have searched and have been able to sketch both a butterfly and straddle diagram but fail to proceed when t tends to 0. ...
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### Calculating the VaR from a GARCH(1,1) with Student-t innovations

I'm self-studying several questions on Ruey S. Tsay's teaching page. I'm experiencing some difficulty getting the correct answer for final exam 2013 Problem B Question 3. Given a Student-t GARCH ...
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### Nominative financial datas

For a study I am looking for financial datas about trades in double auction markets. It would typically be transaction history containing the name of the participant (buyers and sellers) and the ...
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### Where can I find ADF library in c#

Where could I find an ADF library or source code in c# for cointegration test?
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Im trying to calculate monthly ZCB bond prices with a fixed maturity T, over a period of months via Monte Carlo methods. Here is my attempt: For the first month, the price is $P_{t_0}(0,T) = ... 0answers 61 views ### calculation of parameters in Stochastic Volatility I want to compare volatility models from constant volatility, implied, time-varying (ARCH, etc) and stochastic volatility. I can find the process to calculate constant, implied and ARCH and GARCH ... 0answers 65 views ### Stochastic Volatility for Stocks, FTSE Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ... 0answers 22 views ### how to obtain the optimum debt-equity ratio while maintaining a minimum debt service coverage ratio of 1.1 the assumptions are -that the NOI for year 0 is 6500000 -loan term is 8 years and issued at a fixed rate of 3% + libor (in 2008) -equity yield is 15% 0answers 94 views ### Conversion of quarterly growth rate to annual growth rate If a macro data like Consumer Price Index or Real GDP growth rate is expressed in quarterly year-on-year basis. Anyway to get precise annual growth without using approximations? For example: Cars ... 0answers 28 views ### Regulatory Capital Formula under Basel III? Does anyone know where can I find the exact formula of the regulatory capital charge under Basel III ? (including the VaR, the SVaR, the IRC and two other components I don't remember...) I have been ... 0answers 48 views ### Multi-Factor Models Application I am trying to use what I learned about multi-Factor Models to apply to some questions: Suppose investing 80% in Portfolio A -100% in Portfolio B 20% in risk free asset If$\hat{F_1}$, denoted by ... 0answers 49 views ### What are the estimation methods for SV models? I want to know about some methods like Methods-of-Moments, Quasi-Maximum Likelihood method, Baysian methods using Markov Chain Monte Carlo methods. Is there any reference to have an idea of these ... 0answers 42 views ### How to drive simple european put price under Gabillon 2-factor model? Can someone explain to me for a Simple European Put payoff P(S,T) = max(K-S,0)), how to get simulation and calibration models using analytical approaches, binomial and trinomial trees, multi-factor ... 0answers 26 views ### Real returns vs. inflation as an independent variable Assume a model like this, basically explaining stock market returns with a bunch of stuff: ... 0answers 53 views ### PCA related Query I am currently working on a project in grad school where I am using PCA Approach. I have 4 stocks. I used R to generate Eigen Values, Eigen vectors Eigen Values Number Value Diff ... 0answers 53 views ### full tick and retail tick data feed difference Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed 0answers 27 views ### Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong? Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+ Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration? I am ... 0answers 33 views ### Significance of Data The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on ... 0answers 171 views ### Java Implied Volatility Solving After using RQuantLib and RCaller from Java I am desiring a bit more speed on my implied volatility calculations (for anyone who has used this knows it is quite slow). I need to price a large number ... 0answers 98 views ### What are the theta and vega of a forward starting plain vanilla european option with no dividend? I am reading through Hull's book asking myself this question to understand exotics. I currently believe that theta should equal 0 until the forward start time,$t_*$, if the call pays no dividends. ... 0answers 27 views ### modelling with Meixner process I failed to evaluate the integral of v(x)e^x over real numbers (i.e, from -infinite to +infinite) with respect to dx where v(x)=2d exp(2(pi+b)x/a)/abs(x)(1-exp(2pi.x/a)) for x<0 and v(x)=2d ... 0answers 66 views ### EMM in incomplete markets The simply put question is as follows: do we need to restrict ourselves to EMM exclusively when pricing European contingent claims (=option payoffs) even if markets are incomplete? In particular, a ... 0answers 509 views ### Margin % Bridge - Effect of Price, Cost, Volume Given sales and profitability data for two time periods, how would I go about calculating the impact of price, cost, volume and mix margin % (bps)? I can do the analysis as a gross margin$ bridge, ...
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By using http://finance.yahoo.com/d/quotes.csv?s=STOCKNAME&f=I am able to download a CSV file, does anyone know what the symbol for beta is? It should go after ...
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### How to calculate tail exposure on a multi-product position

Let's say I have a position vector across five products: Positions <- c(40,-45,20,-32,17) How can I determine the "tail" exposure if my PCA model gives me the following loadings for the first ...
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### What are some different methods for calculating hedge ratios for multiple leg spreads?

I am looking for many different ways of doing this, and I want to compare the results I get among the different choices. I am going to be using close-to-close change data. Thanks.
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### Log returns vs. prices

I am currently working on a stat arb that is giving me a little bit of trouble. I'm under the impression that most stat arbs are going to use prices such that we can choose a ratio N such that: Price ...
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### Is there a Newey West like correction for overlapping data correlation estimates?

I already posted a related question a while ago but was unsure if I should post within the same question. I want to estimate mulitperiod asset return correlations and test if there are significant ...
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### How to determine the equiy interest of target company if there is circular ownership?

I would like to ask is there any way to determine the equity interest of target company if there is circular ownership. For example, suppose company A owns 50% of company B, company B owns 100% of ...
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### Backtesting with fundamentals

Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ...
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### Forward Yield curve for an arbitrary company

Let say I am analyzing a company XYZ. Credit rating for this company is BB. Now I need to have the 6-month forward Yield curve for this company. Can somebody help me how to find this information from ...
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### Detrending before cointegration

When checking for co-integration , is it necessary to detrend the time series? What is the best way to go about it?
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### Copula Value At Risk

Let's suppose I have two asset in my portfolio. I want to compute Copula Value At Risk. Can you help me? This is the code I wrote: ...
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### Gibson & Schwartz (1190) - Time series empirical properties and Stochastic Process assumed

Gibson and Scwhartz in their paper "Stochastic convenience yield and the pricing of oil contingent claims" assume a log normal process for the spot price. They later claim to justify this process ...
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### Rationale behind formula for pivot point calculation

Is there any objective rationale or mathematical reasoning behind the following formula for pivot points and intra day support and resistance levels? What are the underlying assumptions for the ...
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### Where can i find financial data of CDO's starting from 1996

I'm searching for financial information on CDO's from 1996. These infos should include: Collateral,Type (RMBS, CMBS, CDO2, CLO, ABS,etc.) their course, Underlying, Rating, duration,year,and interest ...