# All Questions

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### Total market cap in country, and average p/e per country and continent(europe) [on hold]

I want to invest my monthly saving on index fund. However, I am not sure to pick which country index fund that I want to invest. I am afraid i am investing in an index fund that is so overvalued goes ...
19 views

### Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
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### Range options in BS

I know how barrier options are priced in Black-Scholes scheme. I'm wondering if an analytical formula exists also for range (corridor) digital options i.e. options paying only if the price remains ...
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### Measure the effect of a natural disaster on a stock market index

I am very new to using stata and very new to using Garch models. I am currently doing my final dissertation for my MSc in Finance studies and regarding my topic I understood that i had to use garch to ...
18 views

### how to create folder and csv files for each row in each sheet (VBA) [closed]

I have an excel workbook. In this workbook,I have 3 worksheets, named by"First","second" and "third". Each sheet has 4 columns such as Date X1,X2,Oneletter.I'm trying to run a VBA program.But I have ...
9 views

### Calculating rate of renewal for Certificate of Deposit

I am trying to calculate the rate of renewal for a large stock of Certificates of Deposit. These contracts are given on a fixed amount of time and some of them get renewed every time they reach ...
18 views

### Calculate the return of an equally weighted portfolio? [closed]

This is my initial positionn. I have 40 stocks and their corresponding arithmetic return for the following month. Now I have to build an equally- weighted portfolio of these stocks and calculate its ...
56 views

### volatility factor

I am trying to add a volatility factor to Fama-French factor model. Does anybody know of a source where I can get data for "volatility mimicking factor" or suggest a simple methodology for ...
54 views

### Stochastic Calculus Rescale Exercise

I have the following system of SDE's $dA_t = \kappa_A(\bar{A}-A_t)dt + \sigma_A \sqrt{B_t}dW^A_t \\ dB_t = \kappa_B(\bar{B} - B_t)dt + \sigma_B \sqrt{B_t}dW^B_t$ If $\sigma_B > \sigma_A$ I ...
159 views

### good R package for vectorized option pricing

I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that? As noted ...
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### Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
104 views

### Speed of mean reversion of an interest rate model

I would like to have a bit more of intuition about the concept of "speed of mean reversion" for an interest rate model, e.g. Vasicek or CIR. In particular, is a negative speed of mean reversion ...
39 views

### Long-Term Government Bond Yields

On the Federal Reserve of St. Louis FRED website we can find the 10-year government bond yields: https://research.stlouisfed.org/fred2/data/IRLTLT01USM156N.txt. I chose monthly frequency and percent ...
20 views

### What is type of Operating income to total assets ratio?

What is type of Operating income to total assets ratio? Leverage, Profitability, Asset composition or Liquidity? and why?
96 views

### Reflection Principle

Let $(\Omega,\mathcal{F},P)$ be a probability space and $\{W_t ∶ t ≥ 0\}$ be a standard Wiener process. By setting $\tau$ as a stopping time and defining \begin{align} ...
68 views

### List of momentum indicators

Is there a definite list of momentum indicators? A quick search on Google did not yield much, so I thought to ask this here.
35 views

### Why risk-free interest is needed for Margrabe's Formula?

The source code for Margarble's formula in QuantLib is here. The implementation requires a forward price be computed: ...
140 views

### Ito's formula for Jump process

Let $\{N_t\,|\,0\leq t\leq T\}$ be a Poisson process with intensity $\lambda>0$ defined on the probability space $(\Omega,\mathcal{F}_t,P)$ with respect to the filtration $\mathcal{F}_t$ and ...
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### The difference in sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model.

The question is that I want to know whether there is difference in the applying of sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model. In the ...
15 views

### Yield for valuation of illiquid corporate bond

I am trying to value a illiquid corporate bond issued at a discount to face value by a privately held company in India. The corporate bond is a sinkable bond (amortizing principle) with coupon rate of ...
28 views

### Finding the Interest Compounded with Bank Advertising Yield

A bank is advertising 9.5% accounts that yield 9.84% annually. How often is the interest compounded. Answer is Quarterly. I've been trying to look for the formula for this; it doesnt seem to be ...
18 views

### Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
61 views

### Why $W_{t}^3$ is not a martigale?(by Definition)

If $W_t$ be a wiener process then,how can i show that $W_{t}^{3}$ is not a martingale by definition?
80 views

I'm having trouble with the Ho-Lee model for short rates and differentiating between how to find the values for the free parameter λ versus using the model to predict future rates. The Ho-Lee model ...
66 views

### How can I calculate $Cov\left(\int_{0}^{s}W_u\,du\,\,\,,\,\int_{0}^{t}W_v\,dv\right)$

How can I calculate? \begin{align} Cov\left(\int_{0}^{s}W_u\,du\,\,\,,\,\int_{0}^{t}W_v\,dv\right) \end{align} Thank you for your attention.
45 views

### Are there references about liquidation, transaction, market impact costs in portfolio optimization

I am looking for some references treating of what I would call liquidation cost market impact cost transaction cost(*) in the usual "portfolio optimization problem under linear constraints". Let ...
33 views

### Pricing employee stock options

ESOs are typically priced using the black-scholes model, but with an additional parameter for for the employee turnover rates . An example ...
22 views

### order routing for a fill [on hold]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
276 views

### If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?