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0answers
17 views

How Commercial Mortgage Backed Securities works?

I recently read some concept about CMBS, and have some questions about it. To make my question clear, here is an example. So say I have a pool of 5 loans that each generate 1000 for 23 months, and ...
0
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0answers
29 views

Forward Credit Spreads

I have a beginner question in credit quantitative modelling. I would like to know how we can derive forward credit spread curve, i.e the counterparty of forward yield curves. Indeed, for deriving a ...
0
votes
0answers
18 views

How discount TVaR of a put option?

Let say I want to calculate the TVaR of a put option. After I simulated possible outcomes in real-world, how do I discount the outcomes? Is there a difference if I am hedged or not? I tried to use ...
0
votes
0answers
24 views

Price a put option on a CPPI

I want to price a put option on a CPPI using Monte Carlo. I have found so far this article which prices a call on a CPPI. I was wondering if I could use the put/call parity here, and and if so, how ...
0
votes
0answers
24 views

Literature on “Risky Risky” Method

Trying to get some information/examples on a method called "risky risky" in the context of equity option/convertible bond valuation.
0
votes
0answers
75 views

Ornstein-Uhlenbeck / Vasicek and no-arbitrage

I'm working my way through a common question which asks to derive the solution, the mean and the variance to the following Ornstein-Uhlenbeck process: \begin{align} dS_t = (\theta(t) - \beta\,S_t)\,dt ...
0
votes
0answers
83 views

Create Markets Bubble Indicator

I am trying to replicate a Bubble Indicator described here. The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the ...
0
votes
0answers
14 views

Use orthogonal decomposition to compute the optimal return for a CARA investor

Question from Back, 5.8. If all returns are joint normally distributed, then $R_p$, $e_p$, and ε are joint normally distributed in the orthogonal decomposition R= $R_p$ + $be_p$ + ε of any return R ...
0
votes
0answers
42 views

How to optimally hedge construction loans with interest rate swaps?

We are a borrower with a construction loan that is pay floating. At the inception of the loan, we entered into a pay-fixed/receive-floating interest rate swap with a growing notional profile that ...
0
votes
0answers
23 views

Leverage and point value

can I ask you what do leverage and point value mean in case of stock indices (here is the link where it is mentioned: https://www.dukascopy.com/swiss/english/cfd/range-of-markets/)?
0
votes
0answers
16 views

Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
0
votes
0answers
36 views

Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
0
votes
0answers
33 views

CAPM Model Required Return Calculations

In a CAPM model how would one calculate p given sigma, beta, and required return? How would one calculate beta given sigma and p. and how would one calculate required return only given sigma and p?
0
votes
0answers
89 views

Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...
0
votes
0answers
16 views

Most-efficient/effective Incentive Scheme Design to Minimize Loan Default Probability

Here is an open-ended, hypothetical question regarding the optimization of a loan incentive scheme. Any and all suggestions/plans are welcome. Please ask any clarifying questions if you wish: A loan ...
0
votes
0answers
54 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
0
votes
0answers
48 views

How do I find the Sharpe Ratio?

Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated.
0
votes
0answers
69 views

Estimating the next tick movement in Chinese markets

I'm working on high frequency trading in the Chinese Futures market and I've been having a bit of trouble with getting orders to go through due to the lack of liquidity and large fluctuations. To ...
0
votes
0answers
48 views

Active or Passive strategy?

From my reading, passive portfoliomanagement means to replicate an index, active portfoliomanagement means to deviate from an index. Does that mean that e.g. rules-based investing is actually an ...
0
votes
0answers
24 views

Alternatives to CDSs for default term structure?

The CDS market seems to be drying up, funding&liquidity issues are now prevalent over credit, so other sources for default probabilities are needed. What else is commonly used to obtain a ...
0
votes
0answers
13 views

Cross-post on the prediction mean squared error of a model

In accordance with what discussed in the meta here I am cross-posting this question from cross-validated. Suppose my model is $y_t = \alpha + \beta t + \epsilon_t$ the l-step-ahead prediction is ...
0
votes
0answers
11 views

Consumer (Borrowers and Lenders) risk free curve

I was thinking about this topic: how to construct a "risk free" curve for the generic consumer. Imagine we want to price a debt security done by a private, lended by another private (say, normal ...
0
votes
0answers
38 views

SRRI calculation for absolute return funds

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...
0
votes
0answers
30 views

What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...
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votes
0answers
12 views

Do you include negative changes in Working Capital in an uFCFF analysis?

I am running a uFCFF analysis for two different scenarios. In one scenario working capital goes down. Do I include this negative number in the "Change in WC" line? Wouldn't this represent that I am ...
0
votes
0answers
35 views

Stochastic Volatility in current market environment

Some price exotics with stochastic vol, some use other models such as local vol. What is the impact/advantage/disadvantage of using stochastic volatility in the current market environment? In other ...
0
votes
0answers
39 views

How to implement an Interest rate neutral strategy using options?

Intuitively one would think that investing equal amounts in an ETF such as TLT and an short ETF such as TBF (with some factor for the interest rate payout of the long fund) should result in a interest ...
0
votes
0answers
33 views

Correction factors for volatilities of smoothed returns

In An Introduction to High Frequency Finance (http://www.amazon.ca/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp/0122796713), the authors (on page 253) build a tick-frequency volatility ...
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votes
0answers
6 views

Will a back month leg in call calendar lose value if underlying goes down

If I buy a call calendar and underlying drops 5%, the front month short call will get further out of money and will lose value, resulting in a gain since I am short the front month option. What about ...
0
votes
0answers
53 views

Exercise 2.2 from the book “The concept and practice of Mathematical Finance”

I am a newbie. Please help me understand how to resolve the exercise 2.2 from the book "The concept and practice of Mathematical Finance". The solution from the book says that our super-replicating ...
0
votes
0answers
34 views

Why does the OTM call sometimes have a higher theta than the ATM call?

In this AAPL option chain on Mar20 call options, the OTM calls have a slightly higher theta than the ATM calls. Why is this? Is not time value(and thereby time decay) supposed to be highest for ...
0
votes
0answers
20 views

Amortizing Bond QuantLibXL

I would ask if anybody knows how to do get the NPV of an amortizing bond with QuantLibXL in the most automated way. I found some solutions but are very close to a manual calc, say, pass the vector of ...
0
votes
0answers
12 views

Will implied volatilities rise by same amount across time and across strikes in lieu of an earnings report or a news event

It is said that implied volatility of an option rises leading up to an earnings report or a pending news event like FDA trial, a possible takeover,elections(?) etc. My question is, implied volatility ...
0
votes
0answers
30 views

Reducing multicollinearity in Arbitrage Pricing model

I am working on a test example where the idea is to come up with a model that predicts S&P500 returns using the 9 S&P subsectors(XLY,XLP,XLF,etc) as FACTORS.Now i know there exists ...
0
votes
0answers
40 views

Calculating the optimal portfolio for an investor with quadratic utility

The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
0
votes
0answers
52 views

Self-financing strategy in the Hull-White bond model

I am having troubles with solving a particular problem concerning the self-financing portfolio in the Hull-White model (dr={phi(t)-ar}dt+sigmadW). Consider an expiry-T_0, Strike-K cll-option on a ...
0
votes
0answers
25 views

Finding optimal ewma and number of periods usedas features in a time series regression

I am using an exponential moving average (ema) to smooth the return of a price time series. I then want to use the last n periods (features) as the independent variables of the time series to predict ...
0
votes
0answers
18 views

Adjusting simple volatitly for a VaR calc

I'm reviewing a VaR estimate adjusting a simple annualized volatility to an unwind period of x days - in this case for an equity position, using the following formula for a given annual volatility : ...
0
votes
0answers
47 views

Can you use factor loadings to determine portfolio information?

Suppose that you have a portfolio whose composition is uncertain. If you regress the portfolio returns on known factors (e.g., Fama-French 3-factor), can you use the loadings to determine (in general) ...
0
votes
0answers
20 views

Good Exam FM book for Stocks

I am currently studying for the actuarial exam FM and I just took the practice online exam. Unfortunately I am at a 60-70% level and I would like to get that to at least an 80% by April. I think I ...
0
votes
0answers
40 views

Complicated American style option contract with numerous non-standard features (simultanous exercise, additional premium, etc.)

I want to value the following contract for times $0<t<T$, i.e. determine $V(t,\cdot)$ where $\cdot$ refers to all other dependences (strike, spot, volatility, etc.). The contract is long and ...
0
votes
0answers
73 views

How to calculate probability of option expiring in the money?

Given the following values ...
0
votes
0answers
16 views

Historical data for Canadian exchanges and mutual funds

There are scores of posts on obtaining historical data for many of the big exchanges, but for some reason there is a gap in sourcing historical data for Canadian exchanges. Short of Yahoo Finance and ...
0
votes
0answers
24 views

What is the difference between generating portfolios on the efficient frontiers and generating different efficient frontiers

This question is bothering me for a while. We suppose a very simple and basic set up. Given are a certain amount of assets from which we want to build an portfolio in an "optimal sense". MPT gives us ...
0
votes
0answers
62 views

How to get get weekly returns from daily data

Good day I would like to get weekly returns data from daily data , I want to use the Wednesday-to-Wednesday approach – the returns (rt) are computed from the Wednesday closing prices Pt , i.e., rt = ...
0
votes
0answers
58 views

Fund Allocation Logic

I am writing a program which automatically calculates the trade allocations. Imagine we have a 3 funds, Fund A, B and C. They current asset allocations (so-far-percentages) are 10%, 20%, 70% ...
0
votes
0answers
26 views

Standardized Abnormal Returns

I have a question. In an event study, I have found a standardized cumulative abnormal return Z test formula. It is attached. I couldn't find any sources to prove it. Do you know any articles about ...
0
votes
0answers
43 views

Implied Vola from historical option prices

I have daily Close data of ODAX-options, obtained from ivolatility.com. One third of the daily data shows premiums that are just above the inner value. Even when inserting an implied vola of almost ...
0
votes
0answers
76 views

Greenplum database storage model for time series data

I have to deploy a greenplum database for analysis of time series data. I will have around 50 different time series (s1,s2,s3,...s50) and each series will have multiple pairs (time is 1 hour average ...
0
votes
0answers
35 views

Copula and Correlation

I am intending to use the copula distribution to generate a transition matrix for credit ratings. However, I am not sure exactly what correlation matrix to use. Can anybody help me

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