# All Questions

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### Credit risk terms differences:

What are the differences between these terms: Contingent Credit Exposure Exposure profiles, Settlement Exposure, Negotiable Paper Exposure. Many thanks!
14 views

### Comparability of random and fixed effects results

I have data of 15 pension funds over 10 years. I want to analyze the relationship between the funding ratio of a pension fund and the asset allocation. First, I do the analysis with the proportion of ...
12 views

### Foresight bias in least square monte carlo

Foresight bias means we tend to over estimate the American option value. This we observe in other areas of statistics - e.g. in sample test almost always gives better prediction than out of sample ...
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### Computing the expected stock growth rate

I need to compute the expected growth rate of a stock given the data: financial leverage 2.0 return on assets 16% dividend payout ratio 60% I don't know how to compute it nor where to start, could ...
17 views

### Constrained portfolio optimization - orthogonalize factor exposure

I am optimizing a stock portfolio with a few factors. If I constraint exposure to one of the factors to be a constant and set the exposure to other factors as zero. It is ok to use a diagonal factor ...
34 views

### what is exercise frontier in option pricing

What's exercise frontier in option pricing? It kept popping up but I was never fully introduced to the concept. Follow up question: And is the optimal exercise time the first time the option is ...
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### Min-VAR portfolio construction in a universe of dividend stocks - choosing the observation period

The portfolio construction method of min-variance and similar concepts were discussed quite heavily in the recent past (see for example Thierry Roncalli's page). Over long horzon's we see ...
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### Could you please suggest me the books for Trading System Validation?

I'm newbie for quantitative & systematic trading, and I've read only the books of Howard Bandy & Robert Prado that suggest to do validation by Walk-forward, Monte Carlo and CDF. As my topic, ...
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### Efficient construction of binomial tree

The goal is to build a $n$ step binomial tree knowing the end nodal probabibilities $p_1, \dots, p_m$, which correspond to the time $T$ states $S_1, \dots, S_m$. We assume that all paths ending in the ...
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### How do I change the date format in a dataframe column. [migrated]

I have a column in a DataFrame with dates in yyyymmdd format and I need to change it permanently to yyyy-mm-dd. How can I do that?
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### where can I find OPRA data? [duplicate]

Where can I find OPRA data. Here are a few criteria 1. Preferably free or for a small price 2. Supports quant api on cloud (so I dont number crunch on my computer) 3. Good reputation company
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### Is there any research for CoCo-Bond in a two factor model?

Basically I am trying to price CoCo-Bond with the AT1P from Brigo. But in the end this isn´t a two factor model. Is there any concret research about this topic? Kind regards, WLS
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When I use the readtable function I get the following error. IVcellData = readtable('RiskModelData','Sheet',2,'Range','A1:A49') Error using readtable (line 129) Invalid parameter name: Sheet. Would ...
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### Lambda in RiskMetrics for fixed income

What is the default lambda proposed in RiskMetrics for fixed income?
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### algorithmic trading strategy based on HHT

I would like to create some trading strategy based on the HHT or at least to try to do some analysis using this method. I read the article wrote by Huang at al. and gained some underesting of the ...
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### Stochastic correlation arbitrage-free replication

I'm interested in possibility of stochastic correlation arbitrage-free replication (something VIX-style, mayby). To my knowledge, no such method exists. Could you provide some intro to the problem: ...
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### Currency risk USD>EUR>EGP

Seeking input on hedging risk on USD to Euro with a 3rd component of payroll issued in Egyptian Pounds. We are a US corp invoicing a Germany entity in Euro with massive payroll being paid in Egyptian ...
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### Selling two uncorrelated OTM options lowers the over all probability of profit?

I am trying to simulate shorting two uncorrelated put options, I wrote a python program and used monte carlo method to simulate the PnL on expiration: gist It seems the probability of profit is ...
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### VaR mapping fixed-for-floating swap

I came across a problem that asks what risk factors to map a 5 year semi annual settle fixed-for-floating swap to given it's just before the reset date. Since a FRN prices to par just before the reset ...
21 views

### Portfolio value containing stocks and a bond

Consider: 1000 dollars invested in stock portfolio and a zero coupon bond. Investment period: 30 years Yearly retur for the stock portfolio: Rk = eµ+σZk , k is after year k Zk are normally ...
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### delta hedging strategy for OTM option

Wondering how you would think about the following thought experiment - suppose you sell an OTM call option and plan to implement a delta hedging strategy whereby if the price of the stock were to ...
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### Where can I find information about the “Target Portfolio Pattern”?

It might not be known as a "pattern" but basically it's a way of (low-frequency) order management where a 'target portfolio' is built using notional amounts which is then compared against an 'actual ...
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### Integrated Volatility in Diffusion Processes vs Volatility of Discrete Processes

In a Diffusion Process of the form $$dX_t = \mu(X_t)dt + \sigma(X_t)dW_t$$ the Integrated Volatility is defined as $$IV_t = \int_t^{t+1} \sigma^2(X_s)ds.$$ In this case, the Integrated Volatilty ...
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### Factors to Include in a Model to Predict Gross Profitability Persistence

I am trying to build a logistic model that predicts gross profitability persistence. Specifically at the start of every July, I assign stocks to one of five gross profitability groups (5 being the ...
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### Basic Metrics for Option Trading Limits

Imagine a trading house that trades options in a modest way, and is looking for simple but effective metrics over which trading option limits will be set. Some random thoughts: 1) VaR is not ideal, ...
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### High Beta 'Filter' for Minimum Variance Portfolios (MVP's) - Lower Risk/Improve Return?

I am busy conducting research in South Africa on the JSE. I am investigating several risk based portfolios with an emphasis on MVP/min vol. My process is as follows: Although the JSE has around 400 ...
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### How to get list of large intraday movers for that day?

Is there a source (preferably free :) that provides a list of large intraday (versus pre market) movers for the day you look? I don't mind getting the list on market close. I don't need historical ...
37 views

### Hwo to create a benchmark for a portfolio?

How does one create a benchmark for a portfolio? I realize if I were using strategic asset allocation, I could just look at the already existing benchmarks associated with the various asset classes ...
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### UK company data from Datastream: FBRIT+DEAKUK versus WSCOPEUK?

I'm working on a paper investigates the existence of a profitability premium in the UK starting in 1970. (Novy-Marx, 2013) The core methodology is creating Fama and French portfolios, testing the ...
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### Value at risk computation for a diffusion process

given a hypothetical process $X_{t}$ defined by : $$X_{t} = \int_0^t b_{s} ds + \int_0^t W_{s} ds + \sum_{i=1}^{N_{t}} \gamma_{T_{i}} Y_{i}$$ $W_{t}$ is a standard brownian motion, \$b_{t} ...
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### Order ID or Broker information from TAQ or Limit Order book?

Is it possible to see if a big order was executed in smaller chunks, and at what prices and times?
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### Calculating historical implied volatility

I know that each individual option has it's own implied volatility, but how do you go about calculating the overall implied volatility for an underlying? For example when someone sais the IV of a ...
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### Zero Coupon Bond Forward Price

I'm currently working on the Coursera Financial Engineering and Risk Management course. In one of the questions I was asked to build a binomial pricing model for fixed-income securities. Specifically ...
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### returns series for daily strategy

I have a trend following OTC futures strategy which is trading a day-ahead commodity contract. If a signal is triggered the strategy goes long / short into delivery. The holding period of a contract ...
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### How to price a reversion?

A reversion is the right to exclusive possession of a property after a specified date (‘reversion date’). Assume no ground rent is payable. Its complement is a leasehold, the right to exclusive ...
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### Calculating CoSkewness and CoKurtosis from univariate skewness and kurtosis and calculate portfolio skewness and kurtosis

I have calculated skewness and kurtosis for n assets and got a skewness vector skew = [S1,...,Sn] and kurt = [K1,...,Kn]. Now with having covariance matrix and these vectors I would like to calculate ...
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### Sobol numbers in monte Carlo simulation

I wanted to figure how how much faster the Sobol quasi random numbers convergence to the B&S call price compared with pseudo random numbers. To generate the Sobol numbers I used the randtoolbox in ...