# All Questions

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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. ...
158 views

### 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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### 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 ...
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### 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 ...
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### 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%
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### Real returns vs. inflation as an independent variable

Assume a model like this, basically explaining stock market returns with a bunch of stuff: ...
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### 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 ...
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### 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
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### 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 ...
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### 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 ...
205 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 ...
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### 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. ...
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### 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 ...
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### 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 ...
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What is $1 Gamma and what is 1% Gamma? please describe the difference? I understand Gamma but cant make the diff between the two. 0answers 27 views ### 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 ... 0answers 54 views ### 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. 0answers 58 views ### 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 ... 0answers 140 views ### 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 ... 0answers 68 views ### 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 ... 0answers 318 views ### 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 ... 0answers 30 views ### 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 ... 0answers 81 views ### 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? 0answers 45 views ### Log returns vs Relativizing to Portfolio size of$1

In a current empirical research project, I am tracking a non-parametric measure of a transaction cost. To this extent, I track this cost in two ways Cost in terms of log returns Cost in terms of ...
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### Minimum PD under Basel II retail asset?

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%. But Google searches return nothing and I can't seem ...
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### Cost dependency quantification

Suppose one wants to estimate the manufacturing costs dependence of the price of a specific raw commodity, are there good quantitative methods for making such estimation? I'm interested in creating a ...
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### Tracking delistings on NASDAQ & NYSE

Does anyone know of a webpage (or webpages) of current delistings for NASDAQ & NYSE?
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### Compute the average efficient frontiers with estimated parameters from generated time series

My overall objective is to analyse the impact of error in mean-variance analysis from historical data. I am given the returns and standard deviation for the five assets under consideration, as well as ...
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### Monte Carlo American Option Pricing under GARCH(1,1) volatitliy

I am attempting to price a couple of at-the-money American option using the LSM algorithm and GARCH(1,1) volatility. The LSM code I have works correctly for constant volatility, however, when I switch ...
110 views

### Fitting Egarch Model

I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the ...
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### Volatility Minimum Analysis for Trading

I have been back testing some algorithms against a low volume highly volatile stock. I've found that during low volatile periods the technical indicators are following noise more than real trends. ...
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### Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
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### measuring the performance of round-trips on stocks

can you provide me with some ideas to assess the profitability of round-trips? That is when I buy 100 shares of IBM at 10\$and I resell them two days later at 11\$, how can I measure the profit made? ...
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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 ...
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### How to calculate modeled asset volatility by industry factor?

Currently I am working with huge data frame which consists of a lot firms. For each firm in my sample I calculated asset volatility ( I am using Merton default probability model, so I have used 2 ...
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### Modeling the Option Volatility Skew

The volatility skew often changes based on multiple factors, such as moneyness of the option, time to expiration, movement in the underlying instrument, etc.. How does one best model the skew? Is ...
Let's say Tom had lunch in a restaurant and paid \$50 for the bill, he also give waitress Mary \$5 as tip. \\$50 would be calculated as the service industry while calculating GDP, there's bills to ...