# All Questions

31 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 ...
20 views

### order routing for a fill

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 ...
11 views

82 views

### Boundary conditions of PDE from SV model with stochastic interest rate

The PDE for the American put option price $P(S,\sigma ,r,t)$ is \begin{align*} 0 =& P_t+P_SS(r-\delta)+P_\sigma a(\sigma)+P_r\alpha (r,t) \\ +& \frac{1}{2}P_{SS}S^2\sigma ^2 + ...
78 views

### How to select optimal look back period for statistical arbitrage?

Is it possible to estimate the optimal look back period for OLS from which we test if residuals are stationary? Almost all papers that I read use random look back periods of 100 days, 252 days, 500 ...
44 views

There are uncountable many factor models to estimate stock returns, such as CAPM, FAMA-FRENCH etc. Which models can estimate the market (index) return? I found only three models: Cay, Dividends and ...
30 views

### Is there a Bloomberg field for the first trading date after an event?

For example, if a company reports earnings today after the close (6/24), the earnings date would be 6/24 but the field I'm looking for would be 6/25. If they reported tomorrow before the open, both ...
70 views
+100

### Model a floating rate BBB yield curve

Background: We want to design a compensated prepayment liability index to define an amount a bond buyer would need to receive in a redemption prior to the nominal maturity of a bond. Ideally we'd ...
78 views

### Bridgewater's Daily Observations

Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
61 views

### Local volatility parametrization using the spot

Is it possible to estimate the local volatility using the spot price S at time t instead of the strike price K and the expiry date T ? Any help would be appreciated.
78 views

### Acquiring large sets of price series

Selling and delivering real-time data seems to be the focus of practically all large data vendors, but I am more interested in acquiring large sets of historical daily data covering, say, 5.000 ...
40 views

### Does price of american (put) option exhibit smooth pasting in time direction under B-S model?

Let us consider the BS model and let $f(s,t)$ denote the price of an American put option with $t$ to expiry, then it is known the solution of the optimal stopping (when it is risk neutral) related to ...
70 views

### Hedging portfolio and extraction PDE of SV model with stochastic interest rate

How can I extraction this PDE \begin{align*} 0 =& P_t+P_SS(r-\delta)+P_\sigma a(\sigma)+P_r\alpha (r,t) \\ +& \frac{1}{2}P_{SS}S^2\sigma ^2 + \frac{1}{2}P_{\sigma ...
118 views

992 views

### Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

Back in the 90's, Goldman Sachs (publicly?) released a series called "Quantitative Strategies Research Notes" — mostly technical papers on topic. Emanuel Derman co-authored almost all of them. Some ...
276 views

### Seasonal patterns in financial markets (weekday effects)

What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an ...
76 views

### Confidence Intervals of Stock Following a Geometric Brownian Motion

In preparation for my Options, Future's and Risk Management examination next week, I have been presented with a series of questions and their answers. Unfortunately, my lecturer, one of the less ...
49 views

### Price of an American call option [closed]

I'm working through revision questions at the moment and we are asked to compute the price of an American call option. Suppose that $dS_t = \sigma S_t dW^*_t, S_0 >0$ Let $0<U<T$ be fixed ...
15 views

### how does a bond maturing affect the pricing of the corresponding CDS?

if a bond matures, and there is no other existing bond from the legal entity that has not matured. Then how does that affect the CDS that corresponds to that bond?
98 views

### How to use calibrated Standard Stochastic Volatility?

I'm considering the standard stochastic volatility model: $$x_t = \rho x_{t-1} + \sigma \epsilon_x$$ $$y_t = \beta \exp\left[ \frac{x_t}{2} \right] \epsilon_y$$ where $y_t$ is the log-returns and ...
59 views

### Measuring Volatility from Execution Prices

I was told of a way of measuring the volatility of a stock by looking at the reported execution prices (from Level III or Level II data.) I'm well aware of how to measure volatility by looking at the ...
64 views

Lets have the next jump difussion Stochastic Process: $$S_t = S_0 e^{\sigma W_t + (v-\frac{\sigma ^2}{2})t}\prod_{i=1}^{N_t}(1+J_i)$$ where $W_t$ is the Brownian Motion, hence $G_t \equiv e^{\sigma ... 2answers 94 views ### Extracting Signal from Noisy Data Consider a scenario in which Y_t represents the % change in price and we want to use X_t to predict Y_t. We assume that X_t is information we get before Y_t is revealed. Suppose that in reality Y_t ... 3answers 256 views ### Sharpe ratio and leverage Does leverage affect the Sharpe ratio? If my Sharpe is 2 at no leverage goes it change, fall by half say, at no leverage? 0answers 39 views ### Reference Request: Horse Race for Portfolio Allocation Probably the most popular horse race study for portfolio strategies is Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with DeMiguel, L. Garlappi and R. ... 1answer 40 views ### LIBOR with different tenor Let$F(t;S,T)$be the forward rate from$S$to$T$seen at time$t$, and$I$be one of tenors, i.e.$I$is one of {1M, 3M, 6M, 12M}. Then the forward curve$t\mapsto F(0;t,t+I)$is$I$-forward curve. ... 2answers 78 views ### Does heteroskedasticity of returns depend on the time frame? Similarly to my last question, for which I obtained very interesting and useful answers, I would like to know if there has been any study regarding heteroskedasticity and time-frames of the returns. ... 3answers 112 views ### Parameters variation in fundraising financial model I have created quite a large financial model in Excel with lots of input parameters which (after all calculations) have an influence on the output business indicators. Among the input parameters are ... 2answers 52 views ### Multi-asset class allocation How to allocate asset classes in a multi-asset portfolio? An institutional client needs to meet his pension liabilities, and suggested a multi-asset-class strategy. I'm trying to find ideas to pitch. ... 3answers 178 views ### Option Pricing Model Calibration In Practice I'm curious how an option pricing model like the Heston model is calibrated in practice. Here's how I imagine it happens: Let's say I have access to the most recent option prices on a given stock ... 0answers 29 views ### Residual Covariance Matrix, and MVO for Residual Variance and Alpha My overall goal is to find an efficient frontier using QP in terms of$\alpha$and residual variance ($\omega^2$) for a portfolio$P$given a benchmark$B\$. We know the equation for residual variance ...

15 30 50 per page