# All Questions

56 views

### Volatility clustering but (G)ARCH not good fit

I'm looking at a time series that appears to be white noise. The ACF/PACF are in the test bounds. Applying the Ljung-Box test for various (maximum) lags gives me high p-values (i. e. I cannot reject ...
42 views

### Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation

Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation and show that the transformed payoff is g(x,τ) = be^[(1/2)((k+1)^2)τ+(1/2)(k−1)x]H(x), ￼￼ ...
49 views

### Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?

I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ...
27 views

### Price of portfolio with target volatility

Consider the following: We have two assets, S1 and S2, and with each asset is associated a volatility, v1 and v2, respectively. Now let's say v1 < v2, and we want to create a portfolio of S2 and ...
43 views

### Credit Spread - pricing Option and Fixed Income

hi how do you handle credit spread 1. For Option with Equity underlying 2. For Fixed Income/Bond I understand there're two options: a. Expected Loss from Probability of Default & Recovery Rate ...
144 views

### Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement

Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
18 views

### Question about allocating value among different class in capital structure

I come across a task regarding alloation of value among different class in capital structure. I took reference from ...
71 views

### 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 ...
40 views

### 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. ...
170 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 ...
25 views

### 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 ...
70 views

### Where can I find ADF library in c#

Where could I find an ADF library or source code in c# for cointegration test?
64 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 ...
74 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 ...
25 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%
122 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 ...
31 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 ...
53 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 ...
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 ...
49 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 ...
29 views

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

Assume a model like this, basically explaining stock market returns with a bunch of stuff: ...
55 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 ...
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
28 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 ...
36 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 ...
209 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 ...
123 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. ...
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 ...
68 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 ...
618 views

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 59 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 142 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 69 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 320 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 82 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 ...
48 views

### 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 ...
16 views

### 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 ...
31 views

### Tracking delistings on NASDAQ & NYSE

Does anyone know of a webpage (or webpages) of current delistings for NASDAQ & NYSE?
40 views

### 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 ...
139 views

### 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 ...
111 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 ...
61 views

### 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. ...
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 ...
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? ...