# All Questions

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### Which version of NAICS code is used in CRSP and Compustat?

Is the NAICS code used in CRSP and Compustat always the latest one? If yes, then it means, by this year, they should be using NAICS code 2012 revision. I have some external data which is only using ...
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### How do I build a cross currency basis swap pricer using implied levels generated from fx forwards?

How can I construct a simple calculator to imply the cross-currency basis (with sides) from the FX forward and interest rate markets, at maturities under 1y? Depending on liquidity the market in ...
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### Cross Currency Swap pricing

I have seen two methods for calculating the value of a xccy swap - 1) Convert the future foreign payments to the base currency using forward FX rates, net with the base currency payments and ...
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### Pricing of a Forward-start option in a Black-Scholes framework

I have read the pricing procedure of a Forward-start option in a Black-Scholes world in Musiela-Rutkowski, but I don't find their proof clear (pp. 195-6). Let me summarize their argument: Consider ...
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### Derivation of the tangency / maximum Sharpe ratio portfolio in Markowitz Portfolio Theory? (2 risky assets)

I’m looking for a nice & detailed explanation for how to derive the formula for the weight of asset 1 in the tangency / maximum Sharpe ratio portfolio in Markowitz portfolio theory in a world with ...
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### What does (a,b,c curve coefficients) mean for an Implied Volatility Parameterized Surface data? [closed]

I have a dataset which provides a, b, c curve coefficients for an Implied Volatility Parameterized Surface data for a ticker. What do they mean?
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### Vasicek yield curve

Term structure is determined by a two-factor affine model (Vasicek). Using the monthly swap market data, we fit the model to match exactly the one-year and ten-year points along the swap curve ...
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### Where to find historical time series data for number of new investor accounts

I am examining the impact of investor sentiment on the probability of stock market crises. I am constructing a composite measure of investor sentiment according to the methodology used in this paper ...
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### Time Lag for Market Inefficiency

I recalled reading a academic paper that studied how long a market exploitation took to get priced into the market. I am trying to find that article. I remember it stating that the market priced in ...
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### Volatility of CDS

I have calibrated a stochastic intensity CIR model to CDS data. The model reads $d \lambda_t = \kappa(\theta-\lambda_t)dt+\sigma \sqrt{\lambda_t} dW_t$ When calibrating the parameters I get ...
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### How to calculate implied borrow rates from option chain information?

I am given information about a ticker with following options data: stock price, date, expiration date, strike price, call / put indicator, style (American or European), ask price, bid price, mean ...
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### positive financial leverage in real estate

I had the understanding that leverage always helped improve cash on cash returns so long as the interest paid was less than the unlevered rate of return/cap rate. doing a quick back of the envelope ...
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### Comparing Hedging Strategies

Say I am an American issuer, and I've issued some bond denominated in CAD. I've hedged the coupon by entering into an FX USD/CAD fixed for floating swap and I receive the fixed leg and pay floating, ...
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### What is the probability that a OU process hits an upper barrier U before a lower barrier L?

What is the probability that the arithmetic OU process $dx_t= \theta(\mu-x_t)dt+\sigma dW_t$ hits barrier $U$ before hitting barrier $L$ when $L<x_0<U$ ?
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### why Implied Vol (VIX) increase with decrease in Stock Price or vice versa?

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa? whereas Vega is positively related with change in option price to change in stock price.
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### Modelling nominal interest rates

What is the best model for nominal interest rates? ARMA, VAR, VEC, FAVAR, etc? I am a R user, so please advise me the most convenient R package to use as well. I intend to model US nominal interest ...
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### Stationarity in first differences of CoVar

I'm currently in the middle of my master thesis and I can't get my head around a specific problem. I have the following process: where the $\Delta CoVar$ measure is calculated in two ways. First, ...
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### Mean Crossing for Ornstein-Uhlenbeck

Suppose we have classic Ornstein-Uhlenbeck process. How can we calculate expected number (and variance too) of crossing mean value over the certain period of time? Say, if we have discrete OU process ...
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### I have a test coming up and I could really use an explanation to this example problem

This test is on CAPM and portfolio optimization Suppose that investors A and B can invest in two risky assets and a riskless asset. The first risky asset has an expected annual return of 10%. The ...
I hope that this is the right place to ask my question! Let a market with $N\ge1$ risky assets and denote by $(R_i,i=1,\cdots, N)$ their returns and $R$ the vector of these $N$ returns. In addition, ...