# All Questions

520 views

### A non parametric study of VaR with kernel density

I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r. The process that I follow is: Obtain a sample (...
812 views

### Liquidity detection based strategy in HFT

This article contains the following statement. In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small ...
2k views

### What is the industry standard Quant Finance modeling library for F#

If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#. What typical finance scenario(s) have ...
191 views

### Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?

Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset ? (or in the case of options $max(0,a(p-b)^{2}-c)$) I'm not very strict here but I only want to know ...
454 views

### Robust-Bayesian optimization in Markowitz framework

Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$. In a robust setting, the returns are assumed to lie in some ...
1k views

### Copula models and the distribution of the sum of random variables without Monte Carlo

There is a vast literature on copula modelling. Using copulas I can describe the joint law of two (and more) random variables $X$ and $Y$, i.e. $F_{X,Y}(x,y)$. Very often in risk management (credit ...
841 views

### Is there a copula that can estimate negative tail dependence?

I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval $[-1,1]$, and these estimators are fully consistent ...
7k views

### How to create charts in WPF finance applications?

How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ...
306 views

### Overview of software companies in the industry

I am looking for overview references on software companies that develop applications in the following domains: asset and portfolio management risk management derivatives pricing trading quant ...
10k views

### What do the terms in-sample and out-of-sample estimates mean in MVO?

How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ?
220 views

### Basel CVA VaR with R/WWR

In Basel III the CVA VaR “is restricted to changes in the counterparties’ credit spreads and does not model the sensitivity of CVA to changes in other market factors, such as changes in the value of ...
2k views

### Typical coefficients uses in square-root model for market impact

The square-root model is widely used to model equity market impact. It assumes that volatility, traded volume, total volume, and a spread cost are the drivers of slippage. Jim Gatheral has an ...
1k views

### Other means of calibrating Heston models

I understand that the simplest way of calibrating a Heston model for volatility surface is to use Monte-Carlo to simulate the vol and stock price trajectories and then use the observed price to do a ...
1k views

### How to avoid having negative volatility when applying Heston model?

When applying the Heston model to generate the sample volatility surface, some of the volatility value will be negative. I am just wondering what do practioners normally do with these negative value. ...
720 views

### The Basis of Using Technical Indicators as Inputs

In the process of my research I very often come across academic papers regarding modelling and trading strategies that in one way or another incorporate some technical indicators. For example in some ...
978 views

### What's the algorithm behind Excel's ACCRINT?

This question was originally posted on Stackoverflow: As part of the Formula.js project, I'm trying to re-implement Excel's ACCRINT function (in JavaScript, but the language should not matter). I've ...
1k views

### Delta of a Down and Out Call

I came across some graphs depicting the delta of a down-and-out call. They show that, if the risk free rate of return is 0, the delta is constant at 1. However, if the rate of return is for example 5%,...
305 views

### Analyzing the angle between vector of weights and vector of returns in mean-variance optimization

I am using the paper "A Sharper Angle on Optimization" by Golts and Jones (2009) as a basis for my (minor) masters thesis in mathematical finance. The paper focuses on the mean-variance analysis of ...
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7k views

### Early execise of American Call on Non-Dividend paying stock.

Let us consider an American call option with strike price K and the time to maturity be T. Assume that the underlying stock does not pay any dividend. Let the price of this call option is C$^a$ today ...
775 views

### Rubinsteins Implied Binomial Tree - how to calculate the cumulative returns

I am working on Rubinsteins IBT and use the following paper to implement this into excel: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=541744 the original paper can be found here: http://www....