1
vote
0answers
49 views

Murex and Calypso framework

I have been working on Murex and Calypso trading system for several years , front to back , I am facing a lot of question kind of : which software is better ? I can confirm to anyone interested in ...
1
vote
0answers
26 views

Fund Separation Theorem for Performance Seeking Portfolio

Can someone explain this statement? "The beauty of the fund separation theorem is that the performance seeking portfolio mandate is the same for all investors"
1
vote
0answers
106 views

Numerical Methods for Merton Model

The stochastic differential equation for an underlying with jumps in Merton model is: $$d{{S}_{t}}=\mu \,{{S}_{t}}dt+\sigma \,{{S}_{t}}\,d{{W}_{t}}^{P}+(J-1){{S}_{t}}d{{q}_{t}}$$ where $t \quad\,\,\, ...
1
vote
0answers
42 views

Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
1
vote
0answers
120 views

VIX ETP Net Vega exposure

Does anyone know the calculation that these EQD desks are using to calculate the net Vega exposure of the VIX ETPs? I am assuming it involves shares outstanding in each ETP, the value of a 30 day ...
1
vote
0answers
31 views

Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
1
vote
0answers
27 views

Machine Learning Munging - order of transforms? + adding in econometric tests?

I have a list of possible transforms, and I've read some confusing/contradictory stuff about the preferred order in which these operations are performed. Maybe 1) the order is sometimes amorphous, ...
1
vote
0answers
32 views

Estimation of Affine Term Structure Model

In this paper the estimation of Affine Term Structure models via ML is discussed. In the Affine $N$-factors model the price of the bond is $$ P(X_t,t,T;\theta) = \exp(-\gamma_0(T-t;\theta)-\gamma(T-...
1
vote
0answers
47 views

Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
1
vote
0answers
72 views

How to choose a GARCH model which delivers iid standardized residuals?

For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t$) are approximately ...
1
vote
0answers
18 views

Calibrating and simulating returns from a t-distribution

A slight twist (I hope) on the familiar problem of simulating log returns from a t distribution. My two questions concern calibration to sample data. First, one can infer the degrees of freedom in the ...
1
vote
0answers
33 views

calculating long short portfolios currency exposure

I have calculated the currency exposures of a long short portfolio simply by summing the weights of each stock. However I was told that I need to incorporate the dollar borrowing (short dollars), I ...
1
vote
0answers
72 views

Optimize a trading strategy created in excel with R

I have created quite a complex back test in excel spanning 15 years with 17 parameters. I would like to optimize the parameters which would give me maximum return given a maximum draw-down percentage. ...
1
vote
0answers
13 views

EMTA Guidelines

Does EMTA guidelines are only for Non-Deliverable trades? IF yes, then why this is applicable for Deliverable Option trades? EMTA Site - http://www.emta.org/ndftt.aspx
1
vote
0answers
55 views

Replicating American call option

Consider a two-period binomial model for a risky asset with each period equal to a year and take $S_0 = 1$,$u = 1.2$, and $l=0.8$. The interest rate for both periods is $R = .05$ a.) If the asset ...
1
vote
0answers
19 views

Forward Exchange Rate Data: Germany x US

Would anyone know where I can find historical forward exchange rate data between germany and US, yen and US to download? In Bank of England website i already found. Thanks
1
vote
0answers
17 views

First coupon CDO tranche

I am interested in Tranches on Credit Indexes. Let $T$ be the trade date, let $t_1<T<t_2$ be the accrual dates surrounding the trade date. I would like to know which option is correct ? A) ...
1
vote
0answers
41 views

How are ETF fees deducted? What happens if you short an ETF?

When I buy an ETF, the ETF issuer wants a certain management fee (expense ratio). How is this usually paid? I've read that this might be deducted from dividends - is this the case? How does it work ...
1
vote
0answers
70 views

Two-period binomial model for American option

Consider a two-period binomial model for a risk asset with each period equal to a year and take $S_0 = 1$, $u = 1.5$, and $l = 0.6$. The interest rate for both periods is $R = .1$. a.) Price an ...
1
vote
0answers
78 views

SDE for a portfolio of two correlated assets $ Y_{t} = 2 S^{1}_{t} S^{2}_{t}$

I am analysing a problem where I have two correlated stocks described by Brownian motions $$ \frac{dS^{1}_{t}}{S^{1}_{t}}=\mu_{1} dt + \sigma_{1} dW^{1}_{t} \quad \quad (1)$$ $$ \frac{dS^{2}_{t}}{S^{...
1
vote
0answers
42 views

On the construction of a Brownian motion from a Gaussian process

Let $X$ a Gaussian process defined by $$ X_t=\int_{0}^{t}\left(\frac{1}{\sigma}\left(r_s-\frac{\sigma^2}{2}\right)-\rho\sigma_P(s,T)\right)\mathrm{d}s+\sqrt{1-\rho^2}Z_2(t)+\rho Z_1(t);\;\;t\in[0,T] $...
1
vote
0answers
57 views

Modeling Interest-only Mortgages

First post on this forum - happy to be here. Please give feedback if this is off-topic so I can more meaningfully contribute moving forward. Can we infer a range of future all-in costs for I/O ARMs ...
1
vote
0answers
32 views

PnL Explained Using Scenario(Full Reval Model)

I was wondering if any quant guru can help . How to calculate the PnL explained using full reval aka scenario based = > t - (t-1) approach for linear instrument. I am finding difficulty to understand ...
1
vote
0answers
17 views

How to calculate the initial payment of a graduated payment mortgage (GPM). Real estate Mortgage analysis

My professor used this: 12%, monthly-pmt, 30-yr GPM with 4 annual step- ups of 7.5% each, then constant after year 4: ...
1
vote
0answers
33 views

Marginal Distribution using GARCH model

I have n return series. I fitted AR(1)-GARCH(1,1) to each return series. Then used PIT(residuals) to transform the residuals to uniform. Then I fitted n dim copula to the data. I simulated 1000 points ...
1
vote
0answers
19 views

what do metrics and indicatives mean in the finance context? Like trading of MBS products

it's often heard in my daily work as a programmer in an investment bank, supporting mortgage backed securities desks (passthrough, agency cmo, cmbs, etc). My take is that the terms describe the ...
1
vote
0answers
17 views

How to calculate price in non-competitive bidding that bidders will receive?

Following bids are received in treasury bond auction. Notified amount is Rs.20,000Million. No amount devolves on the RBI/PDs. No. Of bonds/ Price(Rs.) 46/ 110.185 45/ 110....
1
vote
0answers
43 views

Distribution of AR and MA polynoms roots in ARMA/ARMA-GARCH models

I have another noob question. So, for example, I have ARMA(2,2) model: $$ x_{t} = \phi_{1}x_{t-1} + \phi_{2}x_{t-2} + e_{t} + \theta_{1} e_{t-1} + \theta_{2} e_{t-2}$$. So, I have 2 polynoms: $$1 - \...
1
vote
0answers
30 views

What is the difference between a three month return and a quarterly return?

I am looking at VGENX, and this product has first-quarter and three-month returns of 7.8% and 20.3%, respectively, according to zacks.com. I take it as the three month return is calculated taking into ...
1
vote
0answers
24 views

Using Put Volatilities to Estimate Firm Leverage/Credit Risk

This paper by Hull, Nelken and White uses implied volatilities in structural credit risk models to back out a market-implied leverage ratio. CreditGrades has a similar implementation using equity ...
1
vote
0answers
128 views

Trouble verifying roll rate model

I found this paper on roll rate analysis via a google search. I would post a link, but every page is stamped with "CONFIDENTIAL" at the bottom (humorous since it is easily found). In a nut-shell, ...
1
vote
0answers
13 views

How we can use adjusted price in combination with price limit in a stock market?

How we can use adjusted price in combination with price limit in stock market? suppose that we have a price limit in a stock market. For example if yesterday last price is ...
1
vote
0answers
39 views

Performance measure

Can anyone give some intuition behind the relative performance measure that is a percentile raking of trading activity. It indicates the percentage of total activity the investor outperformed the ...
1
vote
0answers
22 views

Methodologies behind shocking a composite index instrument, what assumption distinguishes these?

Suppose I have a composite index (rebalancing or non-rebalancing) that at present time has some base value $B_{\text{base}}$ in some base economy. I am in the process of shocking the economy on which ...
1
vote
0answers
34 views

How can I discover dark pool orders in an order book?

I'm learning order flow. I would like to differentiate between aggregated dark pool volume and aggregated algo trading volume. Is there a way to tell orders coming from a dark pool from algo orders?
1
vote
0answers
217 views

Bloomberg Currency Exchange Rate Data (London and New York)

I'm new to Bloomberg terminals (a paper I'm reading uses data from a terminal - my first exposure) and I'm having trouble figuring out how to download a few different time series: (1) daily closing ...
1
vote
0answers
44 views

Bayesian analysis in R: Probability of default, low default portfolios

I want to apply the knowledge of this paper (Bayesian estimation of probabilities of default for low default portfolios, by Dirk Tasche) in R, but I can't find the right bayesian package and functions ...
1
vote
0answers
19 views

Continous-time portfolio allocation optimization for a given consumption rate

I have the following PDE $0 = V_t - c(t)V_x - \lambda^2 V_x^2/V_{xx} + rxV_x + 1/2\lambda^2x^2V_{xx}$ where $t\mapsto c(t)$ is some given function and $r,\lambda$ are given constants. If necessary, ...
1
vote
0answers
37 views

Intraday return and volatility figures some sense check

Some questions about intraday returns and volatility figures. It is with the objective of sense checking. Firstly, for Security A, I am calculating the five minute interval return numbers over 29500 ...
1
vote
0answers
23 views

Making apriori Statements on VaR Backtests with a Garch Modelled VaR

so I want to find out, if its possible to find out for any backtest for the Value at Risk(Kupics POF or Christophersen's Markov Test), if it is possible to make apriori Statements on Testing results ( ...
1
vote
0answers
35 views

Find the PDE for a function that makes it a martingale

Given the SDE, find the PDE for the function $V(t,x)$ such that $V(t,S_t)$ is a martingale. $dS_t = \kappa(m - S_t)dt + \sigma\sqrt{S_t}dB_t$ where $\kappa$,$m$, and $\sigma$ are constants. ...
1
vote
0answers
35 views

Price compounding: Swap versus Governments Bonds

There are different rates curve to compound prices. Since the crisis, regulators tends to favor price compounding with swap curves over IR curves deduced from governments bonds (EU regulators, french ...
1
vote
0answers
16 views

Why use Moody's KMV EDF for one year

If I were to use Moody's KMV proprietary database with expected default frequqncies(EDF) for sectors and countries, along with aggregations for financials and non-financials, significant banks etc: ...
1
vote
0answers
19 views

Multi-factor APT model in practice: non-zero mean factors, observations needed and portfolios

I'm going to build a multi-factor APT model for the Swiss market starting from the work made by Chen, Roll and Ross (to which I will add and test some additional factors). I have some doubts though: ...
1
vote
0answers
6 views

What are appropriate algorithms for forecasting contract schedules to maximize profit?

Imagine a situation where a business negotiates contracts for the maintenance of widgets it sells. Situation Customer buys 20 widgets. Customer negotiates contract for widgets to be serviced/...
1
vote
0answers
48 views

How to calculate the unrealised profit on sinkable bond

How is calculate the unrealised profit on Sinkable Bond when 50% of the bond value already been paid? Is the following method correct: Unrealised P&L = ((Current.Position * Market.Price) - Cost....
1
vote
0answers
49 views

Marchenko–Pastur, Student distribution and returns

I have a question regarding random matrix theory. I've been studying various papers and I found some confusing definitions of Marchenko-Pastur law. The most clear was the one on wiki: wiki-Pastur-...
1
vote
0answers
24 views

Valuation Models for Bank Credit Default

What approaches exist for calculating a fair price for a credit default swap for a bank? Most of the traditional valuation models are geared towards industrial firms. Are there any theoretical ...
1
vote
0answers
33 views

How to schedule a sequence number reset in QuickFIX?

What is the recommended way to handle scheduled sequence number resets (initiated by the counterparty once per day) ?
1
vote
0answers
34 views

Cross-sectional Regression: Using calculated coefficient of first regression for a second regression as dependent variable

Hello stackexchange community! I am new to R and econometrics and and stuck in a step of the fama-macbeth (1973) regression, in which risk premia of stocks are estimated with a two-step regression ...

15 30 50 per page