# All Questions

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### binomial option pricing model - problem with risk-neutral probability

I have a little problem: in the binomial option pricing model, the price of a european derivative security $V_{n}$ satisfies: $V_{n}=[1/(1+r)]*[\tilde{p}*optionUp +\tilde{q}*optionDown]$ where: ...
89 views

### How do I get a list of yahoo tickers for NYSE

I use Yahoo finance to get financial data. How do I get a list of all the ticker symbols in NYSE, NYSEMKT and NASDAQ stock exchanges. (Or even just one of the exchanges)
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### About OpenMAMA, OpenMAMDA and OpenMDM

In the Linux Foundation are hosted the OpenMAMA and OpenMAMDA (found in that link too) projects and I'm wondering if has someone worked with those projects and if he/she could give me a more detailed ...
37 views

### Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
106 views

### Is this application of Ito's lemma correct?

Suppose that $S$ follows a geometric brownian motion $$dS=S(\mu dt+\sigma dB).$$ It is well understood that $$S_{T}=S_{0}exp((\mu-\dfrac{\sigma^{2}}{2})T+\sigma B_{T}).$$ Method 1 (I have no ...
37 views

### Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
221 views

### Local volatility surface corresponding to the implied volatility surface

In Derman/Kani/Zou paper about local vol they rebuilt a local vol surface from an implied vol surface. Each implied volatility depicted in the surface of the "implied Vol" is the Black-Scholes implied ...
239 views

### Forecast 3m LIBOR USD. Budget purpose

How can I calculate/budget/find a expectation for the 3 month LIBOR for the next 3monts-4 years? I am calculating a CF scenario on USD 3month Libor + margin. With swaps and fixed rate this is easy, ...
423 views

### Why the Black-Scholes formula can be used in the real world?

The BS formula is deduced using the risk neutral measure. Why can it be used in the real world?
117 views

### Is printing money really a bad thing?

I have 2 related questions about increasing money supply: (I know high school level economics.) 1) In an economy which has low growth and deflation, is it at all a bad thing to print money? In fact, ...
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### How to account for correlation between strategies when they are added linearly?

There are n strategies which are going to be combined linearly. Using a pre-exisiting model I get a set of n weights which will be used to combine the strategies. But the model does not take ...
3k views

### What is a “coherent” risk measure?

What is a coherent risk measure, and why do we care? Can you give a simple example of a coherent risk measure as opposed to a non-coherent one, and the problems that a coherent measure addresses in ...
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### Does Nelson-Siegel require adjustments to yield curve input data?

I am attempting to gain a better understanding of the limitations of the Nelson-Siegel model as described in Estimating the Yield Curve Using the Nelson-Siegel Model. As I have been playing around ...
82 views

### modeling regime switching for Correlation matrix

I am trying to estimate covariance in multiple time series. However, I want to do this using a regime-switching framework. So, I start with fitting a GARCH(1,1) model and then de-volatalize the ...
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### Alternatives to CDSs for default term structure?

The CDS market seems to be drying up, funding&liquidity issues are now prevalent over credit, so other sources for default probabilities are needed. What else is commonly used to obtain a ...
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I like know how much money dividend cash I get. For example I own two shares of the stock dividend cash will be 4.54$? ... 0answers 52 views ### How to Handle Error in SEC Filings Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ... 0answers 58 views ### is there a limit on how many times i can access fxcm xml feed i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ... 1answer 72 views ### “The drift of stock price becomes the risk-free interest rate” under RNP Assume that the evolution of a stock price is geometric Brownian Motion $$dS=\mu Sdt+\sigma SdW(t)$$ where$S$is the stock price at time$t$(current time). It says in my book that "under the ... 0answers 48 views ### How do I find the Sharpe Ratio? Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated. 1answer 90 views ### Linear Model setup for Second-pass Regression I'm confused on modeling the second pass regression given the beta's from the first pass. First-pass regression :$r_{it} - r_{ft} = a_{i}+b_{i}(r_{Mt}-r_{ft})+e_{it}$For estimating this model (9 ... 1answer 49 views ### possible to estimate if hard-to-borrow? I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio ... 2answers 128 views ### How to compute the conditional expected value of a geometric brownian motion? I'm working on a project, and I have to use the cumulative and conditional expected value of the variations of a stock following a Geometric Brownian Motion. I know that the cumulative is as follows ... 1answer 217 views ### generalized black scholes I understand how to derive the black scholes solution if$dS_t$=$\mu S_tdt$+$\sigma S_tdW_t$and r is constant. The solution is c(t, x) =$xN(d_{+}(T - t), x))$- K$e^{-r(T - t)}N(d\_(T - t), x))$... 1answer 117 views ### Portfolio choice problem of a CARA investor with n risky assets Ok, I am working on a problem that consists of the following: I am looking to solve the portfolio choice optimization problem (maximizing utility with a known utility function) in the case where all ... 3answers 148 views ### Technical Indicators reference I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ... 0answers 46 views ### Investing in all assets with positive expected return and allowing for positive correlation How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ... 0answers 78 views ### Estimating the next tick movement in Chinese markets I'm working on high frequency trading in the Chinese Futures market and I've been having a bit of trouble with getting orders to go through due to the lack of liquidity and large fluctuations. To ... 1answer 253 views ### How to calibrate the Hull-White model using cap prices? I'm given cap prices and swap rates, and i'm trying to calibrate the Hull-White model to them. I then want to use the model in order to price a swaption. I know that the model can be calibrated from ... 1answer 85 views ### What is the use of computing the par yield? I have learnt how to compute par yields in class, but I am not certain when knowing this would be of use and by Professor himself said it's a somewhat useless concept. What is the use of computing the ... 0answers 49 views ### Active or Passive strategy? From my reading, passive portfoliomanagement means to replicate an index, active portfoliomanagement means to deviate from an index. Does that mean that e.g. rules-based investing is actually an ... 0answers 35 views ### is there any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate there is any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate 0answers 60 views ### How to measure interest rate risk of an equity? What is the best method to measure interest rate risk of an equity? For example: I am looking to determine the change in price based on a change in yield. I currently have a position in XLU and ... 1answer 116 views ### In a FX options book, is the sum of P&L equal to the portfolio value? For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value? 3answers 111 views ### Price of an asian option with squared of average payoff Is there a closed form solution of the following price formula? Assuming$dS_t=rSdt+\sigma S_t dW_t$under the Q dynamics$e^{-r(T-t)}\mathbb{E}_t^\mathcal{Q}[(\frac{(\int_0^T S_u du)}{T})^2]$I ... 1answer 85 views ### How to download intraday data regarding a particular stock exchange from bloomberg at one time Good day I would like to know how to download the intraday data regarding a particular stick exchange at one time, (I need to analyse all the equities listed on it) Second I need to verify that my ... 0answers 102 views ### Tangent portfolio weights without short sales? Consider a mean-variance investor in a world with a risk-free asset. Let$R_f>0$be the return of the risk-free asset,$\mathbb{E}(R_i)>R_f$the expected return of the risky asset$i\$ and ...

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