# All Questions

1answer
76 views

### Bond Spread Drivers

I have some work to do on the drivers of government bond spreads - ie. across terms (not across governments) of the yield curve, say 5yr and 20yr bond spreads from the same government issuer - and am ...
0answers
36 views

### Java Implied Volatility Solving

After using RQuantLib and RCaller from Java I am desiring a bit more speed on my implied volatility calculations (for anyone who has used this knows it is quite slow). I need to price a large number ...
1answer
85 views

### American Swaption Pricing with Monte-Carlo method

I want to price an American swaption but I am not sure about what I am doing. Tree methods and PDE discretization seem difficult to adapt to a swaption. I am trying a Monte-Carlo approach. (in ...
2answers
57 views

### Dv01 of Eurodollar futures contract

Can anybody please explain in layman terms why the DV01 of a eurodollar futures contract is 25? I can mathematically calculate in different ways, but not able to convince myself, especially how is it ...
0answers
141 views

### Black Scholes well coded Python

I have some trouble with the following code. Some jump and a decentered path are present but it's not the case, normally for Black Scholes diffusion ! Is anyone see a problem in my code ? ...
3answers
61 views

### Budget Constraint in Sharpe Ratio Optimization

I am a math student and I am trying to understand the budget constraint in Sharpe Ratio optimization for portfolio design. Recall the budget constraint requires that the sum of the portfolio weights ...
3answers
231 views

### Sampling problem in portfolio optimization

In a summary I am trying to do the following Bond Subset 1 : Get list of USD Bonds --> Filter out Bonds which have YTM > y% DUR > 10 Y etc. .. This gives us Bonds which we are interested in. So ...
0answers
33 views

### What are the theta and vega of a forward starting plain vanilla european option with no dividend?

I am reading through Hull's book asking myself this question to understand exotics. I currently believe that theta should equal 0 until the forward start time, $t_*$, if the call pays no dividends. ...
2answers
74 views

### Why long power and short gas for Merchant power plant

Merchant power plant is one that can be turned on whenever you want. Suppose it is generating electricity from natural gas and we have a spark-spread option. Why is that the person who owns plant is ...
0answers
36 views

### If we modify duration, should we modify bond price? Options Futures and Other Derivatives

In Example 4.5 of Section 4.8 on Duration of Options, Futures and Other Derivatives (p.92), a bond's price and duration are computed assuming continuous compounding where the bond yield is y = 12%. ...
1answer
64 views

### Pricing of a simple contingent claim

Earlier I had the question (5.11 Tomas Bjork): $$\frac{\partial F}{\partial t}+\frac{1}{2}x^2\frac{\partial^2 F}{\partial t^2}+x = 0$$ $$F(T,x) = ln(x^2)$$ And solve it using Feynman-Kac. The ...
0answers
48 views

### Why is the LIBOR-market model free of arbitrage?

Recently I have been reading a lot on the market models. One thing that keeps escaping me - why is the Libor-market model (LMM) assumed to e free of aritrage in continuous time ? To me this means ...
1answer
53 views

### Differenced Brownian Motion covariance

I am having some difficult showing what the following equals, where $x$ and $y$, $x>y$, distinct times: $\mathbb{E}[\Delta W_x \Delta W_y]$ where each $\Delta W_t = W_t - W_{t-1}$. I have ...
0answers
16 views

### list of ADR's by volume or market cap

I'm looking for a list of ADR's (for a simulation) that I can screen by either market cap or volume? If anyone knows of a free way to get such a list it would be much appreciated. Thanks. Chase CB
1answer
77 views

### Beta and Frequency of Data

Why are the betas of individual securities essentially the same whether we use daily or weekly data when calculating?
2answers
71 views

0answers
133 views

### Graduating Quantitative Finance (please don't move it to meta immidiately)

Seeing how very few actually read the Quant Finance meta I intentionally post it here on the main site. To the more powerful admins: could you leave it here for a day or two and move it to meta ...
1answer
122 views

### Trading spot volatility

I am reading a paper that very briefly talks about some volatility arbitrage strategies. It's so brief that I do not exactly understand how it works. It says one of the strategy is based on "short ...
1answer
50 views

### Price volatility and yield volatility

This question is a bit confused, but please bear with me. Now and then I see people use the terminology "price volatility" and "yield volatility" in connection with bond options. I understand the ...
1answer
119 views

### How to price this option without using BS framework

We have a stock at price 1 dollar which pays no dividend. Also we assume zero interest rate. When the price hits $H$ dollars for the first time where $H>1$, we can exercise the option and receive 1 ...
0answers
38 views

### GARCH Models and Wavelets(SWT) in Matlab

I just need to know is it possible to fit and forecast the GARCH,EGARCH,AGARCH,GJR-GARCH models with wavelets (Stationary wavelet transformer Db5, LEVEL 4) in Matlab. I tried to fit the standard GARCH ...
0answers
64 views

### Bloomberg ticks is difference from Reuter ticks?

when I using Bloomberg excel plugins to retrieve the ticks and compare with Reuter RDF data, for some UK equity stocks in same days, the number of ticks and sum of total value is difference, why will ...

15 30 50 per page