# All Questions

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### Where can I find ETF fund flow data?

I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
144 views

### Is Complete Vega Elimination Possible?

I avoid short selling in my strategies. Losing more than invested is not attractive. But at times the implied volatility is too high, I am worried about buying at all and I am trying to filter the ...
422 views

### Delta of binary option

What is the Delta of an at-the-money binary option with a payo out $0$ at $<100$ dollars, and payout $1$ at $>100$ dollars, as it approaches expiry? This is from a sample interview exam. I ...
29 views

### Calibration of Dothan Model to Yields

For both the Vasicek and CIR model the yields $R(t,T)$ and short rates $r_t$ have an affine relationship: $$R(t,T) = \frac{B(t,T)r_t - A(t,T)}{T-t},$$ where $A(t,T)$ and $B(t,T)$ are determined by ...
183 views

### Investment Grade Bond vs Junk Bond, whose duration is larger?

Just wondering how to calculate duration when take credit risk into consideration. I think if duration is calculated as weighted average of cashflow time, and weights are calculated using present ...
93 views

### Non-parametric estimator - CVAR / Expected shortfall

Is the estimation of the CVAR using known non-parametric methods (histogram , kernels) is different than the estimation of any other R.V.? If the answer is yes, then I am interested to know whether ...
32 views

### Coupled Black-Scholes equations

Could someone provide me some information about the modelling of several options at the same time by using Black-Scholes (probably coupled) equations? Specifically I am wondering if in finance one has ...
27 views

### Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
221 views

### Intuition behind Fama-French factors

In the Fama-French 3-factor model the portfolio returns are explained by the market the SMB factor (Small [market capitalization] Minus Big) and the HML factor (High [book-to-market ratio] Minus ...
41 views

### Stress Testing of the portfolio containing Equities, Bonds and Options

I have a portfolio containing equities, bonds and options for which I have calculated VAR through variance covariance matrix. No I want to calculate the stressed VAR for which I have adopted the ...
19 views

### How do Hedge Fund and Mutual Fund mark-to-mark structured notes?

Structured notes are not actively traded. Actually some of them are not traded at all as they are intended to be held-to-maturity. 1.When Hedge Fund and Mutual Fund buy structured notes, how do they ...
54 views

### European Markovian option

Background information: Consider a European contingent claim with payoff $V(S_T)$, where $V: \mathbb{R}_+\rightarrow \mathbb{R}$ is a function which assigns a value to the payoff based on the price of ...
115 views

### Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish market....
70 views

### Payoff of a butterfly c++

I would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff; Could you ^please help me !
448 views

### How is this financial product called?

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this: Underlying ...
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### Are there good off-the-shelf coding implementation of trade classification algorithms?

Including Lee Ready and bulk classification methods, as well as any other method. To be clear, I'm asking for code, not just a description of the algorithm.

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