# All Questions

111 views

### What does a negative stock amount mean in a single-period, binomial market model?

Consider a single-period, binomial market model with a $r > 0$ interest rate (in USD per period) and a portfolio $(x, y)$ consisting of two assets: a savings/lendings account and a stock, both ...
260 views

### Regression model when samples are small and not correlated

I received this question during an onsite interview for a quant job and I'm still scratching my head on how to solve this problem. Any help would be appreciated. Mr Quant thinks that there is a ...
4k views

### Best way to store hourly/daily options data for research purposes

There are quite a few discussions here about storage, but I can't find quite what I'm looking for. I'm in need to design a database to store (mostly) option data (strikes, premiums bid / ask, etc.). ...
549 views

### Why should there be an equity risk premium?

After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks. I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
35 views

### Which close price should we use for machine learning?

I am building a machine learning model using historical prices and I am using data from yahoo finance. Currently yahoo finance data have two close prices one normal close price(close) and other ...
497 views

### Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)

Since I began thinking about portfolio optimization and option pricing, I've struggled to get an intuition for the risk premium, i.e. that investors are only willing to buy risky instruments when they ...
24 views

### financial mathematics bond related problem [closed]

Joe must pay liabilities of 1,000 due 6 months from now and another 1,000 due one year from now. There are two possible investments: 1) A 6-month bond with face amount of 1,000, an 8% nominal annual ...
27 views

### Multivariate Ito problem $M_t=\frac{X_t}{Y_t}$
I am analyzing a problem given in the lecture slides published here (Slide 7-8 Example of Multivariate Ito’s Lemma). Can anybody explain how the $M_t$ was calculated out of the Ito formula. I ...