# All Questions

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### Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
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### Timesteps in Vasicek model

When simulating stocks one can easily use GBM with only one random variable per simulation to create a new stock price in say 5 years, you don't need to create the whole asset paths if you don't need ...
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### How to adjust Black-Scholes price in function of liquidity?

Black-Scholes pricing formula assume a lot of thing, included perfect liquidity : One can buy/sell any fraction of Stock at any time and buy/sell prices are equal. The cost of the option reflect the ...
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### Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
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### Subclass Tracking Error

I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question: How to find out the correlation structure of the passive (=second order/sub-...
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### What's the name of this nearly-brownian stochastic process?

1) Does the following algorithm (my question is math, not programming-related): ...
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### How is a second-sensitive MACD calculated?

I am trying to get the specifics on the calculations of a MACD line that is calculated every second, as can be seen by using Bloomberg or Interactive Brokers or something of the like. I am assuming ...
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### Analytical solution to the Black-Scholes equation with time-dependent volatility

I am stuck with the following exercise and I would appreciate any help with it. I have to calculate the analytical function for the price of a call option given the following process for the ...
42 views

### Scaling of probability mass function

Given a histogram and the probability mass function values for each observation, when plotting the histogram and the curve (this is bell curve since the data is assumed to be normal) on the same ...
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### Creating the histogram for the distribution of the portfolio returns

Given log returns for some stocks $A$ and $B$, which are the constituents of our hypothetical portfolio in equal weights, how does one actually come up with a distribution of the log returns of the ...
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### Liquidity Adjusted Asset Pricing Model

I have a data set with 4000 companies and I have calculated a liquidity measure of each of the company in the dataset as Where, Turnover is the monthly average ratio of daily volume to shares ...
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### Question about the martingale property of stochastic integral

Let $W_{t}$ be a Wiener process, and let $$X_{t} = \int^{t}_{0}W_{\tau}d\tau$$ Is $X_{t}$ a martingale? We can rewrite in differential form as $$dX_{t} = W_{t}dt$$ ,which means $X_{t}$ is a diffusion ...
160 views

### Constructing a minute-by-minute volatility curve

For market making in front month vanilla commodity options we need a volatility curve that updates every second or so as the underlying and the options change prices. If all the strikes have a good ...
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### consensus on Trading Costs in Empirical Papers

Is there some consensus in the literature to model trading costs when going short/long SPX options? Like 2% trading costs to switch from short to long and vice versa plus 20% (just an example) margin ...
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### How to calculate US treasury total return from yield?

I'm struggling to understand the meaning of US treasury total return. What is easily available to get is yield data. Yield can be directly translated to the bond price at that time. In other words, ...
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### How to find multiple FED rate hike implied probability

I have some questions about finding implied probability of rate hike on FED Funds Futures: What is the relevance of a month that does not have meeting (e.g.: february 2016)? Does the probability ...
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### option time value in the pricing models

option price = intrinsic value + time value where intrinsic value (in other words payoff at N) is defined generally as difference between the underlying asset price and strike price (order depending ...
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### proven implementation of Black scholes formula

We are writing our own implementation of the Back Scholes model. What on-line, well-known implementation do you recommend to test against? I have found several including the one below, but it doesn’t ...
123 views

### Altman Z-Score to Probability of default

I have computed the Altman Z Score for approximatly 2500 companies. I was wondering if mathematically I am allowed to use a logistic function ? Such as: ...
160 views

### Black-Scholes formula proof, without stochastic integration

I've looked into many books at my academic library, and very often it goes like this: Brownian motion Then, stochastic integration (Itô's formula etc.) Application: Black-Scholes formula for price ...
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### Derivatives (Forex Forward) [closed]

Good day, Please, consult me about Forex Forward Swap (Ex. pair USD/RUB). I am trying to calculate and cant understand, how it works. For example: I have: USD/RUB Fwd points 3M - 19650/19950 IR - 10....
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### Implementation of Kelly in multivariate case using modeled distributions

I am exploring how to determine an "optimal" portfolio in the context of real life data and systems. Specifically, I want to calculate a Kelly Optimal Portfolio (see this paper, especially section 8.4 ...
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### completeness of the binomial model - proof

I am reviewing the steps of proof that the binomial model is complete and don't understand the marked in red transition. Could anybody explain this step? If $P^{**}$ is a risk-neutral measure, so ...
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### Leveraged ETF calculation - dropping below zero?

I'm running some simulations with a leveraged ETF to investigate that notorious leveraged-ETF decay effect I keep hearing about. When I put in a typical Black-Scholes lognormal model of returns on the ...
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### Where to get price data on Credit Default Swaps?

I trust market-driven CDS more than credit ratings. Where can one get the CDS of corporate bonds of major companies? Are there any good internet links? If charts on the historical end-of-day prices ...
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### How are CDS prices calculated for financial institutions?

If you need to estimate the fair price of a credit default swap on a financial institution, can it be done? Typical structural models tend to break down for the complex debt and asset characteristics ...
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### Reshuffling the weighting of assets in an investment portfolio

An investor has a £40,000 portfolio, 40% of which is invested in bonds.The investor wishes to add funds to the portfolio by purchasing bonds so that 52% of the entire portfolio is invested in bonds. ...
173 views

### Cubic spline interpolation function within Matlab

I want to use the Cubic spline interpolation technique so I can interpolate yield curve points. Now I wonder if I can use the standard matlab function interpl1 (and then using the 'spline' method) or ...
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### Reference request: Quantitative Trading Strategies [closed]

I intend to thoroughly prepare for an internship that I will start in a couple of months, and therefore wanted to clarify what topics I need to study and some recommended references for them. The ...
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### Unrecovered debt

When reading an article about banking industry I came up with two questions. I'd be very pleased If somebody could clarify them: How concepts of unrecovered debt and NPL are related? When banks ...
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### Bond Convexity: Relationship between discrete and continuous interest rate

The interest rate risk of a bond price $P$ is measured by its Duration: $$D=-\frac{\frac{dP}{P}}{dr}$$ However, the explicit formula for the Duration given a function $P$ is different if $r$ is ...
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### polynomial time trend

I'm attempting to model historic operating margin data and to achieve stationarity I ran the ADF test with 4 lags (quarterly data) and first incorporating an intercept and time trend. The alpha was ...
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### decompose correlation swap pnl

For a Variance swap we can split the pnl into a realized part and a "forward going" part. To be more precise: Assume we enter the trade at t0, and the variance swap has tenor T and a strike $Kvar$. ...
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### Leland's model of non-linear Black-Scholes equation

Leland's model of non-linear Black-Scholes equation: (http://i.stack.imgur.com/EkqQb.png) where с is round-trip transaction costs and S is price of stock. c is said to be constant, c=2(Sask-Sbid)/(...
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### Optimizing Monte Carl integral calculation with control variate

For an exercise I am asked to calculate an integral with a monte carlo simulation, after that I need to optimize the results with a control variate. This was the given integral: \$\int_0^1 \! \frac{\...
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### Need to know What is not available in RQuantlib

If we explore CRAN RQuantlib package it says The 'RQuantLib' package makes parts of 'QuantLib' accessible from R. When I tried the package I have found vanilla/some exotic options, fixed income ...
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### Pricing bonds of float coupon rate by stochastic interest rate

So I am not sure whether the following pricing of the bond is possible. Given the stochastic interest rate, one wants to price the bond with the floating coupon rate or the coupon rate being unknown. ...