# All Questions

2answers
3k views

### Calculating Portfolio Skewness & Kurtosis

I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you. I have been using the matrices method and I am not ...
0answers
948 views

### Which CEP platform is most popular for trading systems? [closed]

I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
2answers
86 views

### Geometric brownian motion vs. Ornstein Uhlenbeck

I'm looking at the SDE of Geometric brownian motion(*): $$d X(t) = \sigma X(t) d B(t) + \mu X(t) d t$$ (with analytic solution $X(t) = X(0) e^{(\mu - \sigma^2 / 2) t + \sigma B(t)}$) and the SDE of ...
1answer
61 views

1answer
69 views

I'm trying to understand the following transformation leading to Delta $\frac{dC}{dx} = e^{-r\tau} \mathbb{E}[ \frac{\partial}{\partial x}\text{max}(xY-K,0)] = e^{-r\tau} \mathbb{E}[Y ... 1answer 54 views ### Compute moments of aggregate loss using Monte Carlo Spin-off from here. Richard referred to me an article that tells me how to get parameters of a translated gamma distribution to which I should consider fitting simulated aggregated loss values. The ... 1answer 75 views ### On a source for a mean-variance portfolio optimization result In the context of a mean_variance framework consider an optimizing investor who chooses at time$T$portfolio weights$w$so as to maximize the quadratic objective function: $$U(w) = E[R_p] - ... 1answer 936 views ### Par and Zero Coupon Yield Curves The government par yield curve shows a marginally lower yield than the Government zero coupon curve. What is the reason for this in general. 2answers 109 views ### How To Account For Inflation Over Historical Data I believe inflation is greatly affecting my sample data, even when using percent-changes for movements. I have read this post, which recommends the formula ((Current-Base Year CPI) * Price) / ... 2answers 219 views ### BInary Option implied volaltility How is implied vol calculated if the quoted prices are out of the range for any possible volatility? E.g. Current quote on CBOE for options expiring on Aug 16, 2014 ... 1answer 2k views ### What is the equation for Garman-Klass volatility? I want to calculate realized/historical volatility for the underlying products of various options using the Garman-Klass estimator, but I can't see to find an equation, although I know it involves ... 2answers 1k views ### Is there a formula for future value of a growing annuity with yearly payment growth and monthly payments? My example is saving for college: assume a start of 0 balance deposits of 200 made monthly, every year they increase by (g) 2% to account for salary increases, first deposit made at the end of the ... 1answer 169 views ### FX Rate dynamics Let's suppose USD/EUR price in USD follows a GBM with$$ dS_t = rS_tdt + \sigma S_tdW_t $$What process does EUR/USD follow in EUR? 3answers 152 views ### Greeks of self-financing portfolio I would like to learn more about the Greeks of portfolios of options: In textbooks and websites, I commonly encounter the unqualified claim that "The Greek measure of a portfolio is the sum of the ... 0answers 246 views ### Quadratic utility function May you can help me undertanding the following conclusion: Suppose we have an agent who has preferences over contingent claims, represented by a concave function U. This simply means that ... 0answers 112 views ### Does it make sense to apply complicated mathematics to calculate with precision when the margin of error is +/-10%? [closed] This is more of a philosophical question than general question. Quantitative finance applies highly complicated mathematics and has attracted very smart people to this field lately given the high pay ... 0answers 473 views ### Oscillatory time-series forecasting I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term? ... 1answer 2k views ### Calculating portfolio allocation beta with different asset classes? I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of: ... 1answer 22 views ### method/technique for finding arbitrage I was able to solve this problem and find the arbitrage but only after spending a long time on it and trying out different possibilites, is there a method or technique that can help me find the ... 1answer 61 views ### Price of call/put is convex in K (strike price) Let \lambda\in(0,1). Then$$C(T, \lambda K_1 + (1 - \lambda)K_2, S, t) \leq \lambda C(T, K_1, S, t) + (1 - \lambda)C(T, K_2, S, t)$$T - the maturity K_1,K_2 - Strike prices S - stock ... 1answer 66 views ### PPPN: participation rate, stocks and premium I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ... 2answers 101 views ### Stochastic process theory question *S follows a process dS= mSdt + oSdz where m and o are constant. What is the probability followed by Y=(Se)^{(r-t)} . If S follows a process dS= k (b-S) dt + oSdz where k, b, o are ... 1answer 35 views ### Factor model to Portfolio optimization By using the Fama and MacBeth methodology, I have identified the significant factors that explain the returns of my stocks. Now, I want to build a portfolio and backtest it. For that, I am trying ... 1answer 40 views ### Do FRN's *always* trade on par on reset days, regardless if the issuer's credit quality has changed? I keep reading that floating rate notes trade on par on coupon reset days. Is this always true, regardless of changes in the issuer's credit quality since the FRN was issued? It seems probably ... 2answers 102 views ### Legitimate input parameters for Nelson Siegel Svensson model I had previously asked this question and have come to better understand the answer with regards to setting the input parameters for the Non-Linear Optimization problem that provides the NSS ... 1answer 96 views ### Constant decreasing volatility, GARCH forecasting I am trying to forecast the volatility using GARCH modelling in R. I fit an ARMA(1,1)-GARCH(1,1) model, but my sigma predictions are constantly decreasing. Anybody know why? ... 2answers 69 views ### Calculating units in a cross currency short trade If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ... 1answer 693 views ### IbPy download historical price data How can i download historical price data from interactive brokers using IbPy and python? 2answers 90 views ### Annual dividend yield using option prices If I have only strike, call and put prices for European options, how do I work towards computing the continuous dividend yield? 2answers 172 views ### Pricing a call when minimum stock price above strike with certainty I am editing this question because it was originally unclear, and I didn't get the answers I was hoping for. In my finance book I have the following question T-bills currently yield 5.5 percent. ... 1answer 149 views ### Can I do a GARCH model to forecast a time series? I read this paper https://research.aston.ac.uk/portal/files/240393/AURA_2_unmarked_Energy_demand_and_price_forecasting_using_wavelet_transform_and_adaptive_forecasting_models.pdf the two authors ... 1answer 317 views ### Cointegration results interpretation validation? Here is how I am interpreting results of a Johansen Cointegration Test and Engel-Granger Test for A and B. The results:(Using matlab) ... 1answer 127 views ### Finding historical data for indices [duplicate] Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ... 2answers 146 views ### How is the price of a bond actually determined? How the price of a bond is actually determined? Is it the supply-demand that determines the price first and then the YTM is calculated on the back of this for that bond. Or is it that the changes to ... 1answer 299 views ### Getting the next price of a GBM (Geometric Brownian Motion) I am writing a program that creates realizations of a GBM. Starting from an initial price, I get the following price with this formula: ... 3answers 317 views ### Modeling Financial Time Series Price time series are not stationary. So we difference them and get the return time series, which are stationary. Does this mean, it is always a good idea to model only the return series of financial ... 0answers 108 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 101 views ### Is there a strong solution to \frac{dS}{S}=\sigma(S)dw? Does someone know if there is a strong solution for this SDE :$$\frac{dS_t}{S_t}=\sigma(S_t)dW_t$$where$$\sigma(S)=\begin{cases} 1\;\;\;S>1\\2\;\;\;S\leq 1 \end{cases}$S_0=1$and$W_t\$ is ...

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