# All Questions

11k views

### How fast is QuickFix ?

In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...
68 views

### Full Kelly portfolios having same weights as tangency portfolios

I'm currently comparing empirically the differences between Markowitz and Kelly portfolios. I calculated the Kelly weights for monthly return observations over 10 years for a sample of 50 stocks from ...
160 views

### How to calculate yield spread?

I came across this multiple choice question on yield spread and I can't understand why the reasoning for the selected answer is correct.Can you confirm or clarify ? ( emphasis in the text is mine) ...
49 views

### Given cash flows, what is the interest rate of the following contract? [closed]

I am presented with an investment opportunity where I am given #481,000 on day 1. Thereafter, every 10 days, I am required to give back #50,000 every for 100 days (10 * 50000 = 500000). How do I ...
38 views

### Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...
19 views

### Force of Interest Compounding at Annual Rate i

I'm working through some actuarial practice and am lost as to what's going on with the differentiation here (it's been a while since I've had calc): Derive an expression for $\delta_t$ if ...
43 views

Two very specific questions (they are more database questions, but need specific knowledge): A same stock could be traded in different currencies in a same exchange? A bond is always traded in his ...
30 views

If you have an index and have measured its beta with respect to the overall market, how would you go about adjusting it against spread dv01 and why would you want this number?
58 views

### Definition of sharpe ratio maximising and variance minimising portfolios

In this paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226985, in the derivation of the mean variance efficient portfolio using lagrangians in the appendix, on page 29, the two portfolios ...
12k views

### What is the difference between asset management and wealth management?

What is the difference between this two concepts?
446 views

### Why does changing the time step size in my Monte Carlo simulation change my result a lot?

I have written some software to price a call option using Monte Carlo simulation. It produces a price which is consistent with the model when I set the time step as recommended in a tutorial that I ...
72 views

### Put-Call Parity Arbitrage Exploitation for Binary-Asset-or-Nothing Options

Is the Put-Call-Parity valid for binary (asset-or-nothing) options? If not, is there another formula for such exotic options? I know that for regular options, there are arbitrage opportunities when ...
48 views

### Projecting cash flows via Monte Carlo Simulation

I am looking to model the cash flows associated with a company as part of a Project finance experiment, where I got the idea from here. I'm looking to project cash flows for an Automotive company in ...
55 views

### Range options in BS

I know how barrier options are priced in Black-Scholes scheme. I'm wondering if an analytical formula exists also for range (corridor) digital options i.e. options paying only if the price remains ...
82 views

### Portfolio Strategies Project

My first assignment for my Quantitative Finance Masters is to design a portfolio that theoretically makes money under any market movement. I am also asked to state all necessary assumptions. What ...
113 views

### Historical calibration of Hull-White model

I have a question concerning 1-factor Hull-White model. For my master project I need to calibrate it to compute Counterparty credit risk metrics. I know that the model might be calibrated either for ...
69 views

### Approximate asian geometric option with Heston

I am trying to implement Theorem 1 from this Journal in RStudio. The journal says the it is possible to find a approximate price of a geometric asian option in a Heston setup this way: ...
38 views

### How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
29 views

### Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
64 views

### does there need to be risk-neutral agents in the market to enforce risk-neutral pricing?

I'm trying to understand a fundamental link between mathematical finance and economics. I understand that risk-neutral pricing is free of arbitrage with replicating portfolio. Does risk-neutral ...
134 views

### Why is the value of debt modeled as a short put option in Merton's model?

Can someone give me an intuitive understanding of why the Merton model models the value of the debt from the lender's point of view as a short put with a risk free bond? I'm not well versed in this ...
209 views

### How to interpret negative asset volatility numerical results in Merton model?

I am currently working on my thesis where I discuss the Merton default probability model. I have a huge sample of US firms for the period 1990-2010. I use both numerical and complex iterative approach ...
188 views

### Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?

there's something I've been trying to understand for a while now and I just can't quite understand with regards to skew. In the same month, why can't you buy a option that have low implied vol on the ...
3k views

### Is node.js being used in systematic trading software?

I have a project where I would like to track some tick data and create some indicators to follow it. I am thinking of using Node.js for this project, but I would like to know from those in industry if ...
54 views

### How to find optimal noise covariance matrices Q & R

I am trying to use the discrete Kalman filter for forecasting and I wonder what is commonly considered as the optimal way of determining the measurement noise covariance constants (Q and R) for a ...
50 views

### Are limit orders mostly being matched by market orders?

When going over order book data, most limit-order executions look similar to the following: ...
161 views

### Feynman Kac Formula for path-dependent options

Consier geometric Brownian motion: $dS_t/S_t=\mu dt+\sigma dW_t$ Feynman Kac theorem tells us that the conditional expectation $v(t,x)=E[ e^{-rT}\Psi(S_T) | S_t=x]$ can be computed by solving the ...
34 views

### Estimating Credit VaR using a simulation of joint defaults with a copula

I'm trying to follow the steps Malz gives to calculate Credit VaR using simulation of joint defaults with a copula. I'm having trouble understanding some of the steps. My math knowledge is rather ...
105 views

### VIX Calculation - weighting of strikes

The formula for calculating the VIX from SPX options is given on page 4 of this document: https://www.cboe.com/micro/vix/vixwhite.pdf My question is, why is the option price at each strike weighted ...
24 views

### Unexplained delimiters in Nasdaq ITCH file

I'm working on writing an order book constructor for Nasdaq ITCH v5 files, and I'm noticing some occasional message identifies/ delimiters that are not included in the ITCH5 specification, ...
54 views

### Calculating unweighted performance of stocks within a period

The well known calculation of unweighted index of stocks is just calculating an arithmetic average. And then, to calculate the performance of the index, I calculate the %change of the unweighted ...
53 views

### Interpretation of vega out of BS formula

I am comparing Monte Carlo estimates of VaR (using importance sampling) under both the normal and student distributions. I am also considering risk factors other than log-prices; in particular, ...
155 views

80 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 ...
444 views

### VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
304 views

### HFT to blame for Flash Crashes?

Some people 1, 2, 3 claim that High Frequency Trading is partly to blame for the extreme volatilities in the markets yesterday (24. August 2015). Is that true? Is the amount HFTs move even enough ...
364 views

### Deposit vs. LIBOR rates? (Bloomberg/SuperDerivatives)

I noticed that Bloomberg and SuperDerivatives both use "Deposit Rates" for the calculation of forward points for currencies. I couldn't find anything online that describes precisely where these rates ...
147 views

### Realtime Exchange Rate Data API

There are various sources for real-time exchange rate data, e.g. Ariva EUR/USD. Is there also an API or other source which enables to automatically retrieve real-time exchange rates as a data stream ...
74 views

### What exotic options are exchange-traded?

There are a number of exchanges that trade vanilla Call/Put American/European options on various underlyings (equities, indices, futures). There have been some trading in digital options on certain ...
2k views

### What distribution to assume for interest rates?

I am writing a paper with a case study in financial maths. I need to model an interest rate $(I_n)_{n\geq 0}$ as a sequence of non-negative i.i.d. random variables. Which distribution would you advise ...
1k views

### What are the most common/popular exotics in the interest rate markets these days?

By "exotic" I mean anything that is not a plain vanilla swap, swaption, cap or floor. Also any IR hybrids if appropriate. Possible examples would be: CMS and CMS spread options Multi-callable swaps ...
1k views

### HFT - How to define and measure latency?

I have read and heard a lot about latency. But I can't find any solid information that explains how latency is defined and measured. When people say they have achieved millisecond or nanosecond ...