# All Questions

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### Which option pricing models agree best with the market, given the asset price is known?

Assuming you can somewhat forecast the underling asset price movement, and you want to translate this value into the corresponding option price. In practice, which are the better models for this task? ...
149 views

### How to estimate probable seeling pricegiven OHLC data for backtesting?

I'm relative new to this, so I might be asking something that doesn't make sense. Here is my scenario: I have intraday day at 1 minute intervals. This data has ohlc data and I want to compute for any ...
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### Need help understanding basics of cash flow engineering

I'm studying Financial Engineering, a subject I'm completely new to. I'm using Principles of Financial Engineering 3rd Edition and trying to solve the exercises ...
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### Reconciling forecasted growth of components and sum

I'm working with a very basic basic forecast model using Compound Annual Growth Rate and I need to reconcile the forecasts at different levels of detail. Suppose I have two business lines with ...
160 views

### Volatility smile risk (negative effect) on dynamically hedged portfolio?

About last week you can see MSFT call & put option appears to be resembling volatility smile. And then I open trade positions on a 4 MSFT long call option contract (all 4 contract with ...
53 views

### Will rolling-down-yield-curve bond strategy work if interest rates remain unchanged?

Suppose I have 2 strategies; A) Buying A One Year Bond And Holding To Maturity (Buy & Hold To Maturity) B) Buying A 3 Year Bond and Selling After One Year (Rolling Down The Yield Curve) Assume ...
64 views

### QuantLib C++: Friendship dilemma between derived class from PiecewiseYieldCurve and Bootstrap class

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
57 views

### Cross-sectional moments

I got a seminar topic named Forecasting risk from cross sectional moments? Could at least someone tell me what should I write about and if there is any paper that I could read. Thank you very much in ...
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### Function A(t,T) in one-factor Hull-White model

I am struggling with Hull-White model now and have the following question: in the lecture notes under the link below I see how A(t,T) and B(t,T) are being derived. This requires the solution of ...
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### Any idea of compound Poisson processes in betting? [closed]

Any suggestions on compound poisson processes in bets of a customer?
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### In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...
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### CVA for an inflation linked swap

I am trying to value an inflation linked swap and wish to calculate the associated CVA and DVA. I think the best way to approach this would be via a simulation. Suppose I wish to calculate CVA over ...
144 views

### Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: ...
436 views

### Calculate and plot historical volatility with Python

I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is: ...
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### Portfolio Hedging under Uncertain Correlations

I have a portfolio ($w_0=1$) and two hedging assets ($w_1,w_2$) and a co-variance matrix for the three $\Sigma$. However the co-variance $\Sigma$ is only an estimate. For fairly well behaved assets ...
179 views

### Send TRAIL STOP order when price hits a certain level, with IB TWS

Posting here after searching around and not finding any responses to basically the same question that I saw on EliteTrader, with another variant posted 10 years ago (update: the same question on ...
49 views

### labeling high frequency signal data

Was curious if anyone has methodologies they can recommend for systematically labeling (discrete) signals generated from intraday tick data for use in classification or detection models ?
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### number of trades - flaw in White Reality Check?

I went through Whites paper of the reality check for multiple strategy testing. To summarize at a simple example: I have 2 strategies, s1 and s2. s1 gives 2 signals and therefore 2 returns, s2 gives ...
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### Definition of sharpe ratio maximising and variance minimising portfolios

In this paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226985, in the derivation of the mean variance efficient portfolio using lagrangians in the appendix, on page 29, the two portfolios ...
151 views

### Historical calibration of Hull-White model

I have a question concerning 1-factor Hull-White model. For my master project I need to calibrate it to compute Counterparty credit risk metrics. I know that the model might be calibrated either for ...
32 views

### Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
55 views

### Are limit orders mostly being matched by market orders?

When going over order book data, most limit-order executions look similar to the following: ...
24 views

### Unexplained delimiters in Nasdaq ITCH file

I'm working on writing an order book constructor for Nasdaq ITCH v5 files, and I'm noticing some occasional message identifies/ delimiters that are not included in the ITCH5 specification, ...
61 views

### Calculating unweighted performance of stocks within a period

The well known calculation of unweighted index of stocks is just calculating an arithmetic average. And then, to calculate the performance of the index, I calculate the %change of the unweighted ...
38 views

### Shrinkage Estimator giving unrealistic portfolio variances

I have a historical covariance matrix which is invertible for daily and monthly returns. I used the Ledoit,Wolf shrinkage estimator for the covariance matrix and now I get really small portfolio ...
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### Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
77 views

### reference for elementary mortgage math

I have a student doing a project on default rate & prepayment rate for mortgages. She would like to include a section on how the quantities affect pricing, & so would like to reference a ...
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### Stiffness of numerical methods for SDE

What can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?
391 views

### How do right-to-break clauses affect CVA calculations

Does the presence of a optional/mandatory right-to-break clause affect CVA calculations, and if so, how? Given two (otherwise identical) 10y swaps with the same counterparty, one of which has a right ...
48 views

### Smoothening yield curve by minimizing forward curve slope

I am using government bullet bond data and have bootstrapped a yield curve by solving the following optimization which minimizes unweighted price error: ...
122 views

### stochastic calculus and multidimentional itos lemma

I am considering a number of assets (N) in a portfolio. each asset follows a geometric Brownian motion process therefore the stochastic differential equation is dS(i) = S(i)μdt + S(i)σdX(i). The ...
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### Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
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### GARCH filtering and extreme value theory

We are evaluating a model for risk management based on extreme value theory using peaks over threshold and markov chain monte carlo methods. In doing this, we are firstly fitting a GARCH (we have ...
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### Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these ...
233 views

### Weights Blowing up in PCA

I'm using daily settlement data to get yield levels for a couple of products. From this data I am doing PCA on a rolling collection of the yield levels. I have been using sci-kit learn's PCA function, ...
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### ROC — Output from Calculating Stock Returns Producing Lower Numbers Than Actual

I tried this on stack exchange, but think it is a better question here. I am beginning user and I need help with an error / bad output I am getting when calculating returns (using ROC) on stock ...