All Questions

0
votes
1answer
42 views

Stochastic exponential, find the process model

We have $U_1 ,U_2 \dots$ independent and identically distributed random variables on a probability space, with $P(U_1=2,55\%)=1/2=P(U_2=-2,5\%)$ We have the the stochastic process $X=(X0, X1, ...
4
votes
1answer
52 views

BlackProcess' constructor $x_{0}$ argument in QuantLib

I am currently using BlackProcess to price options and I have a doubt related to the $x_{0}$ argument of the constructor: I've figured out it should be the forward ...
-4
votes
0answers
21 views

Why can't authors use better variable notation [closed]

It's frustrating when authors, especially with barrier option pricing where you have a lot of variables, don't just use subscripts instead of arbitrary letters. Why not just denote the initial or ...
0
votes
0answers
21 views

What is the intuition behind the relationship between herding and trade (or investment) size?

I am studying herding behavior among investors, in particular I found a u-shaped relationship between herding and trade (or investment) size. As such, traders with the smallest or the largest trades ...
-1
votes
0answers
20 views

QSTK for Kraken (BTC exchange) [closed]

I'm curious if anybody tried to use QSTK for trading or at least studying Kraken. If so would would you mind sharing the code you adapted (using their API for orders, data source, etc)?
-1
votes
0answers
29 views

stop loss and a take profit algorithm [closed]

how I can implement a stop loss and a take profit algorithm for pairs trading strategy ? thanks for your cooperation regards
-1
votes
0answers
13 views

transaction costs in pairs trading strategy [closed]

I would like to know what types of transaction costs should I consider for pairs trading strategy and what their percentages are. Thanks to all for the help regards
0
votes
1answer
32 views

Optimal Upper and Lower Bounds

For the following exercise: Give optimal upper and lower bounds on the price today for a product that pays a function of the spot price, $S$, of a non-dividend paying stock one year from now, there ...
0
votes
1answer
16 views

download a specific list of tickers [closed]

I have a list of companies (~500) whose tickers I would like to find. But I do not want to do this manually. Is there an easy way to do this?
2
votes
1answer
87 views

Help with integrating stochastic calculus expression from yield curve model

I am very rusty on stochastic calculus, and I am having trouble integrating the following simple term from a yield curve model: $$z(t)=\int_0^t\exp(-k(t-s))dW(s)$$ Any suggestions appreciated.
0
votes
1answer
33 views

General elements of a MFE helpful for going into HFT? [closed]

I know that Financial Engineering Masters programmes can vary, sometimes significantly, in terms of content covered, but I was wondering what topics generally covered in these programmes would be ...
-2
votes
1answer
25 views

Question about “short” in this sentence

I was reading an article by David Stockman from (http://davidstockmanscontracorner.com/take-cover-now-they-dont-ring-a-bell-at-the-top/). He uses the word "short" in a way I'm unfamiliar with. If you ...
0
votes
0answers
15 views

How to calculate intraday implied vol on the last day of trading an OTM option

i've been trading globex options on US Treasury futures, but my option calculator only takes the date as the time input..so on the last trading day, the model assumes all values are errors because the ...
2
votes
2answers
36 views

CVaR reformulation correct?

Conditional Value at Risk (CVaR) is given as: $$CVaR_\alpha(X)=\frac{1}{\alpha}\int_{0}^{\alpha}VaR_\beta(X)d\beta=-E(X|X\leq-VaR_\alpha(X))=-\frac{1}{\alpha}\int_{-\infty}^{-VaR_\alpha(X)}x \cdot ...
2
votes
2answers
51 views

Curve Euribor - Euribor 3M

I'm setting up some Euribor 6M and Euribor 3M curves. So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and ...
-1
votes
0answers
33 views

pairs trading strategy return [closed]

i don't understand how the final return is Calculated in this part of the code matlab. r4 is the total return vector 'series' Represents the prices of companies. Specifically I'd like to learn the ...
0
votes
0answers
6 views

CFD on warrants or options?

I'm looking for CFD-type contracts based off warrants or ETO prices; does such a thing exist? I'm interested in Asian markets; Hong Kong, Singapore, Japan.
0
votes
2answers
46 views

Long/Short Backtesting Set up

I am going to be backtesting a Long/Short equity strategy and need some guidance on how best to deal with the short book. I was thinking that for each portfolio I would go long 50 equities and go ...
0
votes
1answer
17 views

Question on Financial Statement [closed]

I am looking at the Financial Statement of a company, and am unsure about the following records: ...
2
votes
1answer
58 views

How to get real-time data for Fama-French model?

For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to ...
3
votes
2answers
108 views

Optimal Portfolios

In modern portfolio theory, one famous problem is the Markowitz mean variance optimal portfolio, defined by solving ...
0
votes
1answer
42 views

Delta formula for FX vanilla option

What value do you use for annual dividend yield? It does not apply in case of FX.
0
votes
0answers
18 views

Mortgage parameters

I'm looking for readings about the trade-off between the parameters of a mortgage: length of the mortgage, percentage of the principal to repay, inflation rate (at which the payment growths) and total ...
3
votes
0answers
42 views

Filtering out AR(1) effects before using stochastic volatility model

I wonder if I first filter out AR(1) (autoregressive model with lag 1) effects from univariate time series and then fit stochastic volatility model does above procedure introduce any bias at first or ...
0
votes
1answer
36 views

Black scholes OTC

Let's say you want to find the fair price of a call option. One way is to use the black scholes formula. This assumes you can delta-hedge the underlying asset and the option to eliminate risk, and ...
-1
votes
0answers
21 views

Binary option RR25D FLY 25D [closed]

How to price binary options using the above information given the above delta values?
6
votes
1answer
60 views

Mutivariate t markets

We know that some markets exhibit marginals well approximated by Student t distributions. But what is the dependence structure? Is the multivariate density really elliptical (as we all wish for) or ...
0
votes
0answers
25 views

Standardizing SEC XBRL Reports into common format

I'd like to grab SEC XBRL 10-Q's from various companies and standardize/summarize their content to be able to run common analysis. But it looks like different companies use different elements, making ...
0
votes
1answer
61 views

Share Repurchase and Bid ask Spread data

I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask ...
0
votes
1answer
21 views

How to calculate cash flow for XC swap

Given 3MLibor vs 12MLibor USD basis swap the 3M Libor is exchanged at 12MLibor+1%. How to calculate the cash flow
0
votes
1answer
79 views

Black-box local volatility pricer

I am testing a local volatility pricer by comparing its results under two settings: Pricing a 5yr ATM call option with a flat volatility of $0.194$ Pricing the call option with the typically shaped ...
0
votes
0answers
36 views

GARCH parameters

I'm trying to estimate parameters of GARCH(p,q) model. I tried p=1, q=1 with t-distribution errors. Ljung-Box showed no correlation in residuals and squared residual. But the null hypothesis that ...
-1
votes
0answers
29 views

How to replicate the price of a FX forward contract

using the given market: 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
2
votes
1answer
65 views

formulating MVO with costs

I am trying to formulate this simple MVO utility function with a linear transaction cost penalty added using Quadprog in MATLAB tcost = 0.001; lambda = 4; mu = vector of expected returns (say 4x1) S ...
1
vote
0answers
47 views

Stationarity tests in the frequency domain for regression

Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
0
votes
1answer
26 views

Stripping projection curve

What is meant by the statement below: "Stripping projection curve (e.g. 3M curve) given the OIS curve" I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we ...
-1
votes
1answer
40 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
0
votes
0answers
29 views

Where can I find an historical data source for Fixed Income instruments?

We would like to find a data source for fixed income instruments. The information we would like is: Issuer Credit rating Terms Price The information needs to be available over a period, for ...
1
vote
0answers
21 views

Price 3m libor autocap with LMM calibrated on 1y swaption data

I need to calculate a price of an autocap contract which is An autocap is similar to a cap, but at most γ ≤ β caplets can be exercised, and they have to be automatically exercised when in the ...
6
votes
1answer
128 views

What is the difference between market efficiency, market equilibrium, and no-arbitrage?

Aaron Brown (in the book, The Poker Face of Wall Street, p. 196), discusses four approaches to deriving the same Black-Scholes-Merton option-pricing formula: Ed Thorp, Myron Scholes, Robert ...
2
votes
0answers
35 views

how to apply a simple copula model

I'm playing around with copulas and wanted to generate some sample based on copula techniques in R. For this purpose I applied the following algorithm: Generate three sample vectors coming from ...
-1
votes
1answer
45 views

Is the price of a binary call not monotonous with vol for OTM

Is this true and how would you prove it
3
votes
2answers
97 views

Is there a better way to price options than with historical volatility?

I know that annualized historical volatility calculated with closing prices is a much rougher estimate than implied volatility for the correct "volatility" parameter in options pricing models. ...
1
vote
1answer
41 views

Cause of long term inflation in the United States [closed]

Does the US government have a policy of printing money? If so what is this number called, who decides what it is, and where can I find it? If not what is the cause of our long term inflation? (I'm ...
1
vote
0answers
64 views

Black Scholes - how to calculate delta with a vol skew

I am trying to calculate the delta of an option at different strike prices where the underlying has a pronounced implied volatility skew in order to correctly hedge an options strategy. Researching ...
0
votes
1answer
33 views

Cobb - Douglas Production Function

let's say that we have complete data on the sample of companies about their capital (K), labor (L) and materials used in the production (M) and the total output of each company. Let's have ...
0
votes
2answers
57 views

What is the best source (book or article) to learn pair trading from for the layman?

Can someone suggest a resource with a clean cut explanation of pair trading?
1
vote
1answer
59 views

Binary option expression

Given r=0, σ(K)=const Binary=lim┬(ε→0)⁡〖((C(K,σ(K))-C(K+ε,σ(K+ε))))/ε〗 What is the analytical expression for the binary option value? σ(K)=const Therefore, Binary=lim┬(ε→0)⁡〖((C(K)-C(K+ε)))/ε〗 ...
0
votes
0answers
10 views

Where could we download free historical exchange rate? [duplicate]

It doesn't seem yahoo finance and google finance supports download of historical exchange rates. Also, where could we get more accurate exchange rate tick data? Can we get this from open Bloomberg ...
1
vote
1answer
74 views

Normalization of Market Data in Time Series Correlation

Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is How do we handle gaps of missing data in the time series? ...

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