# All Questions

34 views

### Delta of a standardized at-the-money 30-day put option

The plot below depicts the delta of a standardized at-the-money 30-day put option on the S&P500 tracker SPY over a 14-year period. This is data from OptionMetrics and standardized prices are ...
65 views

### HJM simulation problem

I'm trying to simulate a 3-factor HJM model. I got the algorithms from Glasserman book. In my case, I have $3$ maturity:$0.25y, 0.5y, 0.75y$. So my time grid is: $t_0=0,t_1=0.25,t_2=0.5,t_3=0.75$. ...
18 views

### What types of studies can I do with intra - day data of commodity futures? [closed]

Please suggest what types of studies can I perform with Intra day data I have on commodity futures in India. I have 1 year data on top 10 traded commodities in the premier commodity exchanges in ...
144 views

### quantiative risk measure how they are implemented in R and their use

So far I have just theoretical knowledge of risk measure and never used them in application. Therefore I have some basic question how risk measures are used in reality and how they are implemented in ...
61 views

### Discounting based on instrument type

Suppose we have an asset $A$, and we have modelled the cashflows for this asset to be $\{C_{1},\ldots C_{k}\}$ which occur at time $\{T_{1},\ldots T_{k}\}$. Now the present value of the asset can be ...
82 views

### Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
30 views

### What was the average annual return on the developing world equity market in 2012?

I am looking for a reliable source for the above question. Thanks.
79 views

### Harnessing small correlations for reliable profit

It is said that Edward O. Thorp was able to harness small correlations for reliable financial gain. I've seen some strategies based on strong correlations which did not seem particularly reliable. ...
91 views

### Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
42 views

### Bond (yield curve) dynamics in the Forward-LIBOR-market-model

The standard Libor-Forward-Market-Models provides a way of modelling the evolution of forward rates in time. However the model does not seem to be well suited for the modelling of zero-bonds. But ...
55 views

I'm constructing money-neutral spread by this formula: Spread = log(P1) - log(P2), where P1 and P2 is prices of two instruments But sometimes spread can get into ...
32 views

### Calculate interest rate swap curve from Eurodollar futures price

So I was reading Robert McDonald's "Derivatives Markets" and it says Eurodollar futures price can be used to obtain a strip of forward interest rates. We can then use this to obtain the implied ...
18 views

### modelling with Meixner process

I failed to evaluate the integral of v(x)e^x over real numbers (i.e, from -infinite to +infinite) with respect to dx where v(x)=2d exp(2(pi+b)x/a)/abs(x)(1-exp(2pi.x/a)) for x<0 and v(x)=2d ...
75 views

### hedging with known volatility

Suppose we have a stock $X$ at which trades at 100 dollars. We suppose the stock follows a geometric brownian motion. We know that the interest rate is zero and annual volatility is 10 percent. How ...
47 views

### Are power contracts traded on any stock market?

Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
21 views

### Developing an Android App. Need free volatility data [duplicate]

I'm currently developing an android app that requires volatility data. Any idea where can I get it for free? I tried Yahoo Finance API and they don't seem to have volatility data. Thanks
33 views

### EMM in incomplete markets

The simply put question is as follows: do we need to restrict ourselves to EMM exclusively when pricing European contingent claims (=option payoffs) even if markets are incomplete? In particular, a ...
28 views

### Integration in the context of modelling with the Meixner Process

I failed to evaluate the integral of $\frac{e^{ax}}{x\sinh(bx)}$ with respect to $x$ from negative infinite to positive infinite, What techniques can I use to evaluate the integrals of such kind for ...
103 views

### How can the Wiener process be nowhere differentiable but still continuous?

Taking a class in financial derivatives (book we use is Tomas Bjork´s Arbitrage theory in continuous time) but can´t understand the exact meaning of how the Wiener process is defined. In the book one ...
151 views

In many books and derivations of the Black-Scholes PDE one sees that $$\Pi=V-\Delta F \Rightarrow d\Pi=dV-\Delta dF$$ which implicitly assumes that $d\Delta=0$. Somewhere down the road one then ...
109 views

### How do you calibrate a poisson arrival rate process?

Many papers in the microstructure literature assume an order arrival rate of the form $\lambda^a(\delta) = \lambda^b(\delta) = Ae^{-k\delta}$ That is, an order that's placed $\delta$ away from the ...
104 views

### Divergent or Convergent Strategies? Which is the way to go?

Consider first the simple convergent strategy to invest some amount $X$ in a game, if you win you simply take the winnings and keep playing a subsequent game. In the case of a loss, you believe in ...
62 views

### Simple question about expected value of brownian motion

I would appreciate some help with the math in this paper : High Frequency Trading in a Limit Order Book Specifically, I would like to understand how the authors calculated the expected value of price ...
89 views

### Derivation of a ML estimator

I have the following likelihood function: I'm given this information about the $\Omega$ matrix ($\boldsymbol{1}$ is a $T \times 1$ vector of ones): I would like to be able to show that the ...
17 views

### Different range price data on one chart

I'd like to evaluate 3-4 instruments on one price chart. For example: Stock A: 90,05 90,15 90,25 90,09 Stock B: 0,0045 0,0049 0,0039 0,0040 Stock C: 1998,1 1998,7 1998,8 1997 I try to use: ...
75 views

33 views

### How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...
79 views

### When do trades actually execute on an exchange?

Obviously, when ownership of some security is transferred from party A to party B, both parties' balances must be updated and recorded in an atomic transaction. Call this "an execution". So in an ...
45 views

By using http://finance.yahoo.com/d/quotes.csv?s=STOCKNAME&f=I am able to download a CSV file, does anyone know what the symbol for beta is? It should go after ...
276 views

### What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?

R that originated as a purely statistical tool has meanwhile blossomed into a comprehensive workbench for different tasks. I am familiar with Mathematica and don't like how it forces a license on ...
45 views

68 views

### Efficient numerical approaches for pricing American Options with multiple sources of noise

I am looking for efficient numerical approaches for pricing American options when two or more sources of noise are involved (the simplest case coming to mind would be the Heston Model) Eventhough I ...
66 views

### Why systematic divergence between ^VIX and VXX?

Why is there systematic negative divergence between the VIX index and the VXX ETF meant to track it? http://finance.yahoo.com/q/bc?s=%5EVIX&t=5y&l=on&z=l&q=l&c=vxx
109 views

### How to compare different volatility measures?

I read the Euan Sinclair's book (Volatility trading) in which he suggests different volatility estimators (Close-to-close, Parkinson, Garman-Klass, ...). I am inquiring about what is the best stock ...
43 views

### S&P500 components at specific date [duplicate]

I am trying to reproduce a method presented in a scientific paper. They used the following dataset: daily closing prices of S&P500 stocks (the first 100, alphabetically by ticker, with a full ...
45 views

### Weighted average implied optionlet/swaptions volatility

Let an implied volatility curve/surface is made up by optionlets or swaptions Black's implied volatility. If you wanted to price, say, a FRN with cap and/or floor, a CMS et cetera you would input the ...
51 views

### PDE pricing of barrier options in BS

Path-dependent options in BS framework is intuitive to price with monte-carlo under risk-neutral measure, however it appears that several kinds can be priced with PDEs. I understand how does the story ...
75 views

### what is the vol in the BS formula?

I need to compute the delta of an option for which I know a) the time to maturity, b) the price of the option, c) the price of the underlying asset. what is the formula to get this delta It seems ...
129 views

### Why use implied volatility

First I'll describe the way I understood things so far from the literature, feel free to correct me here, and then I formulate some questions. I'd search through QSE, but haven't found so far similar ...
43 views

### Pricing an american style option on a bond future

what is the good way to pricing american option on bond future? From bonk fixed income securities 3rd by Tuckman, I understand how to pricing European option on bond future, but I still have no clue ...