All Questions

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Valuation growth rate for perpetuity

What would be reasonable rates of return for the computation of perpetuity in firm valuation? I tend to google FMI's expected World GDP growth rate, but I can't always find results. Would someone ...
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Payoff of a butterfly c++

I would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff; Could you ^please help me !
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Spot price and volatility has a correlation of -1, why?

A stock option trader taught me yesterday that the correlation between the spot price of asset X and the variance of asset X is approximately -1. Can anyone give me a explanation why this is true?
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European option and American option are equivalent in this case?

This is Question No.11 from 2007 May MFE Exam. For a two-period binomial model for stock prices, you are given: (1) Each period is 6 months. (2) The current price for a nondividend ...
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Binomial pricing model: When the Cox-Ross-Rubinstein assumption is not arbitrage-free

I understand that in an arbitrage-free Binomial model, we assume that $S_{t+1} = S_t \cdot u$ in the event of an up-jump and $S_{t+1} = S_t \cdot d$ in the event of a down-jump. We call $u$ and $d$ ...
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A Difference between Local Vol and Stochastic Vol Models

For the purpose of this question a local vol model is a 1d SDE which specifies the price process and we have a contingent claim that depends on those prices (in general, at multiple times). e.g. \$...
283 views

Fama French 3 Factor Data

I have a trading strategy that uses the Fama and French 3 Factor data. It's provided on French's website up until the previous month or so. And indeed, this is a great source of data. The only ...
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Principal Component Analysis and Yield Curves

I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...
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VIX options historical data

I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
128 views

Backtesting software with custom data input

I was considering to develop a custom backtesting platform for myself. However, I see that it would require some significant time and effort, and the result might not be as initially expected. So I ...
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float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
3k views

Par Yield Curves vs Zero Curves

Does it make sense to look at par yield curve for German bonds in the current environment? Because low rates mean that a lot of bonds are trading above much above par (even around 150!). I would ...
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Do people actually use VaR in professional settings?

VaR seems like such an obviously flawed metric, I am surprised that it seems to be used so much in the private sector. First, the way it is named and the way it is presented often imply it is the ...
248 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
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What data should be used for regression-based model backtesting?

I ran regressions using historical valuation data and now want to backtest the models I came up with. Are there any issues with using the same historical data set for the backtest that I need to be ...
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Can selling put equity options be a good business?

In one of his last books Jack D. Schwager suggested that selling equity puts can be a good business. The puts are like insurance policies against market downturns and there is a natural demand. ...