# All Questions

386 views

I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem: Given a GBM of the form $dS(t) = \mu S(t) dt + ... 1answer 149 views ### Numerical difficulties in fitting option prices In [1], the authors state that "Although some studies apply the curve-fitting method directly to option prices, the severely nonlinear relationship between option price and strike price often leads to ... 2answers 112 views ### Liquidity in a market risk model based on historical simulation I would like to model liquidity effects in my risk model which is based on historical simulation. I would like to develop a practical solution that still captures liquidity effects. Most probably I ... 0answers 110 views ### Estimation of ranks of log-returns via copula I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ... 1answer 481 views ### Topological methods in finance Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ... 1answer 654 views ### Robust Bayesian portfolio optimization in matlab? I am working through this paper. I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon. Here is a brief overview of my problem: Let$\alpha$be the ... 2answers 279 views ### What are the advantages/disadvantages of OHLC over VWAP? I would like to ask about maybe obvious thing for many people, but cannot find a good answer for it. In many, many places I see OHLC data along with OHLC analysis tools. As I deduce step by step in ... 2answers 182 views ### How to quickly sketch a second order greek profile for a vanilla position? Assume that you are given an arbitrary payoff profile for European vanilla position (e.g. butterfly). How to make a back of the envelope sketch of a second order greek profile for it (i.e. plot ... 1answer 234 views ### How do you estimate the capacity of a strategy from historical data? What are some good ways to estimate the capacity of a strategy from historical data (including full market depth)? Obviously, a naive approach is that you want the strategy's returns to exceed its ... 1answer 148 views ### Are Papers and Funds reporting Monthly drawdowns using daily granularity? I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ... 1answer 271 views ### A non parametric study of VaR with kernel density I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r. The process that I follow is: Obtain a sample ... 1answer 336 views ### Liquidity detection based strategy in HFT This article contains the following statement. In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small ... 4answers 854 views ### What is the industry standard Quant Finance modeling library for F# If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#. What typical finance scenario(s) have ... 3answers 138 views ### Are there any derivatives which pay amount$a(p-b)^{2}-c$where$p$is the price of underling asset? Are there any derivatives which pay amount$a(p-b)^{2}-c$where$p$is the price of underling asset ? (or in the case of options$max(0,a(p-b)^{2}-c)$) I'm not very strict here but I only want to know ... 1answer 307 views ### Robust-Bayesian optimization in Markowitz framework Suppose we are in the mean-variance optimization setting with a vector of returns$\alpha$and a vector of portfolio weights$\omega$. In a robust setting, the returns are assumed to lie in some ... 2answers 637 views ### Copula models and the distribution of the sum of random variables without Monte Carlo There is a vast literature on copula modelling. Using copulas I can describe the joint law of two (and more) random variables$X$and$Y$, i.e.$F_{X,Y}(x,y)$. Very often in risk management (credit ... 2answers 237 views ### Is there a copula that can estimate negative tail dependence? I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval$[-1,1]$, and these estimators are fully consistent ... 4answers 2k views ### How to create charts in WPF finance applications? How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ... 1answer 251 views ### Overview of software companies in the industry I am looking for overview references on software companies that develop applications in the following domains: asset and portfolio management risk management derivatives pricing trading quant ... 2answers 2k views ### What do the terms in-sample and out-of-sample estimates mean in MVO? How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ? 0answers 113 views ### Basel CVA VaR with R/WWR In Basel III the CVA VaR “is restricted to changes in the counterparties’ credit spreads and does not model the sensitivity of CVA to changes in other market factors, such as changes in the value of ... 2answers 373 views ### Typical coefficients uses in square-root model for market impact The square-root model is widely used to model equity market impact. It assumes that volatility, traded volume, total volume, and a spread cost are the drivers of slippage. Jim Gatheral has an ... 4answers 479 views ### Other means of calibrating Heston models I understand that the simplest way of calibrating a Heston model for volatility surface is to use Monte-Carlo to simulate the vol and stock price trajectories and then use the observed price to do a ... 3answers 319 views ### Avoiding negative volatility when applying Heston model When applying the Heston model to generate the sample volatility surface, some of the volatility value will be negative. I am just wondering what do practioners normally do with these negative value. ... 3answers 438 views ### The Basis of Using Technical Indicators as Inputs In the process of my research I very often come across academic papers regarding modelling and trading strategies that in one way or another incorporate some technical indicators. For example in some ... 3answers 455 views ### What's the algorithm behind Excel's ACCRINT? This question was originally posted on Stackoverflow: As part of the Formula.js project, I'm trying to re-implement Excel's ACCRINT function (in JavaScript, but the language should not matter). I've ... 2answers 349 views ### Delta of a Down and Out Call I came across some graphs depicting the delta of a down-and-out call. They show that, if the risk free rate of return is 0, the delta is constant at 1. However, if the rate of return is for example ... 0answers 221 views ### Analyzing the angle between vector of weights and vector of returns in mean-variance optimization I am using the paper "A Sharper Angle on Optimization" by Golts and Jones (2009) as a basis for my (minor) masters thesis in mathematical finance. The paper focuses on the mean-variance analysis of ... 2answers 574 views ### How to calculate Vomma of Black Scholes model This source (PDF) gives the closed-form for vomma (or volga, i.e. the second derivative of price w.r.t. volatility) of the Black Scholes option pricing model as: ... 2answers 148 views ### How to simulate one-minute bars data from one-day bars? I need to generate one-minute bars out of one-day bars to test the performance of an algorithm (speed, memory usage, etc). I don't need them to resemble real data, but they should be consistent with ... 7answers 852 views ### When hiring a quant, how can I protect my IP? I am a one-man operation, and would like to hire a quant for around 4 weeks or work. I am worried that the person I hire might copy my data or the indicators that I have him work on. What have ... 2answers 176 views ### Sharpe ratio in days with no open positions Should I include or not the days a strategy has no open positions (thus no returns) in the Sharpe ratio calculation? 0answers 260 views ### Alternative ways to understand time-varying comovement between two time-series? I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time. I first thought about using a Kalman/particle filter over a ... 2answers 376 views ### Squared and Absolute Returns I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ... 1answer 229 views ### Choice of epsilon for numerical calculation of vega in binomial option pricing model I have a binomial option-pricing model (I don't think the details of how its implemented are relevant). However, when I go to calculate vega, I am essentially running the model a second time with new ... 2answers 171 views ### Comparison of Brownian Motion Expected Drawdown and simulated results Can anyone tell me whether results as predicted by Brownian Motion for a given mean and std, match what you get by measuring actual drawdown from simulated results over a number of iterations? 1answer 324 views ### Selecting timeframe for time series analysis In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now. Similarly, if we use time series forecasting methods to predict(say daily data-whether ... 2answers 1k views ### How do we use option price models (like Black-Scholes Model) to make money in practice? In quantitative finance, we know we have a lot of option price models such as geometric Brownian motion model (Black-Scholes models), stochastic volatility model (Heston), jump diffusion models and so ... 1answer 94 views ### Volatility Index Weighting Scheme Among the several weighting schemes used for constructing volatility indices, which ones are the best for forecasting (realized) volatility? I've constructed a volatility index for emerging markets ... 1answer 125 views ### Pricing swaptions What are the approaches available to price a swaption (either European or American style)? So far it seems Black method is the only one used. Thanks! 4answers 1k views ### What are the advantages/disadvantages of these approaches to deal with volatility surface? I would like to know if someone could provide a summarized view of the advantages and disadvantages of the approaches on the volatility surface issues, such as: Local vol Stochastic Vol ... 2answers 491 views ### CTD and bond futures I am reading a chapter on bond futures in Fabozzi's book. It states that without CF (conversion factor) the CTD (cheapest to deliver) would be the bond with the longest maturity and highest coupon. ... 1answer 382 views ### Which prediction market model is efficient and simple to use? For a college project I'm tasked with implementing prediction market. Which model of it I'd better choose? I want something useful and simple enough for other people to quickly understand and use. ... 0answers 244 views ### Asymmetric Volatility Modeling (Interpretation) I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ... 2answers 275 views ### Generate correlated random variables from Normal and Gamma distributions I want to generate a random vector$z$of dimension$k+m$with some given correlation matrix$\Sigma$, such that the first$k$elements of the vector are distributed normally and the last$m$elements ... 3answers 298 views ### What data transformations to use in regression of credit spreads on equity prices? Clearly there is a strong relationship between credit spreads and equity prices (both theoretically and empirically). But how would one go about formulating a regression which seeks to explain this ... 1answer 585 views ### What is the “leverage effect” for stocks? I've read the so-called "leverage-effect" for stocks models the fact that if a company is leveraged, its volatility should increase as the stock price moves lower and closer to the level of debt. Can ... 1answer 132 views ### Value options when the currency’s risk free rate is negative? How would you handle a negative interest rate in index/equity options valuation? An example would be negative rates for short term maturities for Swiss Frank (CHF). 2answers 4k views ### How to fit ARMA+GARCH Model In R? I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ... 1answer 320 views ### BDT model implementation I am looking for a nice and readable description of how to implement BDT model:$d log(r(t)) = [\theta(t)-\frac{\sigma'(t)}{\sigma(t)}log(r(t))]dt + \sigma(t) dW\$. I assume I already have ...

15 30 50 per page