# All Questions

134 views

### Black-Litterman with simple portfolio

In an attempt to learn Black-Litterman I have come across this "simple" example. Suppose that you analyze market data using CAPM $$r_i-r_f=\beta_i(r_m-r_f)+\epsilon_i$$ Suppose there are 2 assets in ...
119 views

### swaption model for forward swap rate

I have another question about interest rates. In this case it is about swaption and how to come up with a pricing formula. For the rest of my question I use the notation from Brigo. The payoff of a ...
63 views

### How can we write swap as a chain of FRA's

For the rest of my question I use the notation from Brigo. The discounted payoff of a receiver interest rate swap (RFS) at $t<T_{\alpha}$, where $T_{\alpha}$ is the first resetting date, is given ...
42 views

### Which anomalies are easy to replicate in an event study?

In order to examine different approaches to event studies, I am looking for a market anomaly which is simple to replicate in an event study for demonstration purposes. For example, ...
38 views

### How do I specify Thirty360::European day counter in RQuantLib

I am taking liberty to ask the following question in quantLib forum though this question is about RQuantLib I am trying to use RQuantLib to calculate clean price of a fixed coupon bond using a ...
97 views

### Comparing the return of different roll strategies

I am interested in calculating the effect of the roll return using different roll strategies. In specific I want to mimic a long-only futures investments. I have historical data for several ...
188 views

### Do you have a validation set for Libor Market Model implementation?

I'm trying to calibrate a Libor Market Model (LMM) in Matlab with my user-defined function, not their package. I already fitted the market volatilities using SABR but failed to simulate the ...
101 views

### Are there any software libraries for backtesting FX algorithms against tick data?

I've read question, however it doesn't appear as if any of those libraries work for FX data. A Google search for python forex backtesting turns up this project, ...
85 views

### Historical Data - Free Sources in 2015? [duplicate]

I've found some free sources for stock historical data but none that aren't broken links or give me quite what I need. I want... For NASDAQ, S&P 500, DJIA: Historical data for the past 5 years ...
29 views

### Forecasting bond yields

Do you know any models which can be used for prediction of corporate bonds yields (or goverment bonds yields) when we know forecasts of macroeconomic fundamentals (gdp, fed funds rate, interbank rate, ...
34 views

### Calculation of physical and risk neutral density using index options

I am asking professionals for a help. There have already been the post Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor) from Finance_Newbie. But I am wondering ...
190 views

### Why Markov Functional Models (Hunt 2000) are not yet so popular?

I refer to MFM introduced by Hunt [2000]. These models can be seen a subset of interest rate market models. MFM allow us to describe the term structure elements using a set a functions of a ...
41 views

### Should I use a correlation coefficient formula or a multiple regression formula?

I have an assignment dealing with the stock market and I'm a little lost. My instructions are to come up a method to create a score for a stock then compare the score against what the stock actually ...
71 views

### Term structure of default probabilities without market data

With the forthcoming new regulations, IFRS9, financial institutions will be required to model life time expected credit losses. Consequently, it is necessary to model the term structure of default ...
160 views

### Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?

In a case of a call option with strike $K=0$, then payoff at expiration time $T$ is equal to: $$(S_T-0,0)^{+}=S_T$$ In reality the price of the option on the date of maturity is never equal to the ...
232 views

### API for after and pre market data

Is there an API or APIs similar to the Yahoo! or Quandl APIs, that give the same access to pre and after market data? I know I can scrape the Nasdaq or Yahoo! Finance sites to get a pre/after market ...
172 views

### Some questions about implied volatilities and how to generate theoretical prices when market prices are not available

I am building a little Excel file that take some option prices in input and plots the volatility smile/surface. I have a script that reads market prices from the option chain for 3 different ...
81 views

### What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
90 views

### Price an option whose strike price is always lower than the future price of the security

Suppose it is known that the price of a certain security after one period will be one of the $m$ values $s_1,\ldots,s_m$. What should be the cost of an option to purchase the security at time $1$ for ...
207 views

### Commonly used vol surface calibration model in the industry

I have 2 questions: What is the most commonly used equity option pricing model? I learned jump diffusion at school, read about Hensen and a few other models online. I am actually only calibrating ...
197 views

### Gamma and delta P&L example question

I'm trying to get a basic understanding of this example delta ladder ...
52 views

### Market price of volatility risk

Reading Gatheral's The volatility surface, page 7. The model they are talking about is ...
113 views

### Equall Risk Contribution and The Most Diversified Portfolio [closed]

I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal ...
285 views

### Black-Scholes formula with deterministic discrete dividend (Musiela approach)

For deterministic discrete dividend, there are two approach Musiela approach, works when every dividend are paid at maturity of the option. Hull approach, works when every dividend are paid ...
116 views

### Using Financial Ratios to get credit rating or PD

Hello I'm looking for papers, aside from ones that use CDS spreads, about credit rating development or estimating default probability based on financial ratios that also include methodology and maybe ...