1
vote
1answer
38 views

finance - using CAPM [closed]

The risk-free rate is 4%, and the expected return on the market portfolio is 12%. Using the Capital Asset Pricing Model: a. What is the risk premium on the market? b. what is the required return on ...
1
vote
1answer
58 views

Pricing rule shall be a martingale measure

In the book "Financial Modelling with jump processes" by Cont and Tankov there is a chapter that explains martingale pricing principles. It is not extremely formal, but gives the idea underlying the ...
2
votes
1answer
224 views

Various ways to choose bonds for a butterfly strategy?

What are the various ways to choose bonds for a butterfly strategy? For eg., I already know the most common one i.e., choosing short and long term for the wings (barbell) and the medium term for the ...
1
vote
1answer
250 views

How to calibrate the Hull-White model using cap prices?

I'm given cap prices and swap rates, and i'm trying to calibrate the Hull-White model to them. I then want to use the model in order to price a swaption. I know that the model can be calibrated from ...
-1
votes
1answer
116 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
0
votes
0answers
40 views

Web Based Market Profile Code

I am looking for someone who knows of or has access to web based charting code using Market Profile. Does this exist out there? I would prefer the source code so I can make changes to it. Any ...
0
votes
0answers
36 views

volatility grouping

I was working on risk levels of a combined portolfio (includes options,futures as well as stock). While using greeks we can asses some value of a portolio, but when one needs to assess some kind of ...
0
votes
0answers
51 views

Sample long/short portfolio profit and loss template

Does anyone have a suggestion of where I might be able to find a profit and loss template for a long/short equity portfolio? Thank you in advance.
1
vote
2answers
278 views

FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
1
vote
2answers
74 views

TAQ NYSE OpenBook

Where can I get/buy the TAQ NYSE OpenBook for specific stocks on specific days? I don't need a whole year of all stocks. I just want to enter a day and a stock, so I can download the order book data ...
0
votes
0answers
96 views

Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

The asset-or-nothing European option pays at t = T the value of the stock when at time T that value exceeds or is equal to the exercise price E, and nothing if the value of the stock is below E. So, ...
0
votes
2answers
130 views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
2
votes
1answer
90 views

Optional Sampling Theorem Application

Let x, y > 0. Defint eh first passage time of a Brownian motion $W_t$ as $\tau_a$ = min{t $\ge$ 0: $W_t$ = a}. I need to show that E[$e^{-u\tau_x}$$1_{\tau_x < \tau_{-y}}$] = ...
4
votes
1answer
71 views

BlackProcess' constructor $x_{0}$ argument in QuantLib

I am currently using BlackProcess to price options and I have a doubt related to the $x_{0}$ argument of the constructor: I've figured out it should be the forward ...
0
votes
0answers
27 views

What is the intuition behind the relationship between herding and trade (or investment) size?

I am studying herding behavior among investors, in particular I found a u-shaped relationship between herding and trade (or investment) size. As such, traders with the smallest or the largest trades ...
1
vote
1answer
53 views

Optimal Upper and Lower Bounds

For the following exercise: Give optimal upper and lower bounds on the price today for a product that pays a function of the spot price, $S$, of a non-dividend paying stock one year from now, there ...
2
votes
1answer
136 views

Help with integrating stochastic calculus expression from yield curve model

I am very rusty on stochastic calculus, and I am having trouble integrating the following simple term from a yield curve model: $$z(t)=\int_0^t\exp(-k(t-s))dW(s)$$ Any suggestions appreciated.
-2
votes
1answer
36 views

Question about “short” in this sentence

I was reading an article by David Stockman from (http://davidstockmanscontracorner.com/take-cover-now-they-dont-ring-a-bell-at-the-top/). He uses the word "short" in a way I'm unfamiliar with. If you ...
0
votes
0answers
32 views

How to calculate intraday implied vol on the last day of trading an OTM option

i've been trading globex options on US Treasury futures, but my option calculator only takes the date as the time input..so on the last trading day, the model assumes all values are errors because the ...
2
votes
2answers
52 views

CVaR reformulation correct?

Conditional Value at Risk (CVaR) is given as: $$CVaR_\alpha(X)=\frac{1}{\alpha}\int_{0}^{\alpha}VaR_\beta(X)d\beta=-E(X|X\leq-VaR_\alpha(X))=-\frac{1}{\alpha}\int_{-\infty}^{-VaR_\alpha(X)}x \cdot ...
2
votes
2answers
437 views

Curve Euribor - Euribor 3M

I'm setting up some Euribor 6M and Euribor 3M curves. So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and ...
0
votes
0answers
11 views

CFD on warrants or options?

I'm looking for CFD-type contracts based off warrants or ETO prices; does such a thing exist? I'm interested in Asian markets; Hong Kong, Singapore, Japan.
0
votes
2answers
153 views

Long/Short Backtesting Set up

I am going to be backtesting a Long/Short equity strategy and need some guidance on how best to deal with the short book. I was thinking that for each portfolio I would go long 50 equities and go ...
2
votes
1answer
426 views

How to get real-time data for Fama-French model?

For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to ...
3
votes
2answers
172 views

Optimal Portfolios

In modern portfolio theory, one famous problem is the Markowitz mean variance optimal portfolio, defined by solving ...
0
votes
1answer
90 views

Delta formula for FX vanilla option

What value do you use for annual dividend yield? It does not apply in case of FX.
3
votes
0answers
93 views

Filtering out AR(1) effects before using stochastic volatility model

I wonder if I first filter out AR(1) (autoregressive model with lag 1) effects from univariate time series and then fit stochastic volatility model does above procedure introduce any bias at first or ...
0
votes
3answers
152 views

Black scholes OTC

Let's say you want to find the fair price of a call option. One way is to use the black scholes formula. This assumes you can delta-hedge the underlying asset and the option to eliminate risk, and ...
6
votes
1answer
70 views

Mutivariate t markets

We know that some markets exhibit marginals well approximated by Student t distributions. But what is the dependence structure? Is the multivariate density really elliptical (as we all wish for) or ...
0
votes
0answers
43 views

Standardizing SEC XBRL Reports into common format

I'd like to grab SEC XBRL 10-Q's from various companies and standardize/summarize their content to be able to run common analysis. But it looks like different companies use different elements, making ...
0
votes
3answers
144 views

Share Repurchase and Bid ask Spread data

I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask ...
0
votes
2answers
76 views

How to calculate cash flow for XC swap

Given 3MLibor vs 12MLibor USD basis swap the 3M Libor is exchanged at 12MLibor+1%. How to calculate the cash flow
0
votes
1answer
121 views

Black-box local volatility pricer

I am testing a local volatility pricer by comparing its results under two settings: Pricing a 5yr ATM call option with a flat volatility of $0.194$ Pricing the call option with the typically shaped ...
1
vote
0answers
80 views

GARCH parameters

I'm trying to estimate parameters of GARCH(p,q) model. I tried p=1, q=1 with t-distribution errors. Ljung-Box showed no correlation in residuals and squared residual. But the null hypothesis that ...
2
votes
1answer
125 views

formulating MVO with costs

I am trying to formulate this simple MVO utility function with a linear transaction cost penalty added using Quadprog in MATLAB tcost = 0.001; lambda = 4; mu = vector of expected returns (say 4x1) S ...
1
vote
0answers
115 views

Stationarity tests in the frequency domain for regression

Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
0
votes
1answer
88 views

Stripping projection curve

What is meant by the statement below: "Stripping projection curve (e.g. 3M curve) given the OIS curve" I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we ...
-1
votes
1answer
81 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
0
votes
0answers
42 views

Where can I find an historical data source for Fixed Income instruments?

We would like to find a data source for fixed income instruments. The information we would like is: Issuer Credit rating Terms Price The information needs to be available over a period, for ...
1
vote
0answers
52 views

Price 3m libor autocap with LMM calibrated on 1y swaption data

I need to calculate a price of an autocap contract which is An autocap is similar to a cap, but at most γ ≤ β caplets can be exercised, and they have to be automatically exercised when in the ...
6
votes
1answer
335 views

What is the difference between market efficiency, market equilibrium, and no-arbitrage?

Aaron Brown (in the book, The Poker Face of Wall Street, p. 196), discusses four approaches to deriving the same Black-Scholes-Merton option-pricing formula: Ed Thorp, Myron Scholes, Robert ...
2
votes
0answers
88 views

how to apply a simple copula model

I'm playing around with copulas and wanted to generate some sample based on copula techniques in R. For this purpose I applied the following algorithm: Generate three sample vectors coming from ...
0
votes
1answer
51 views

Is the price of a binary call not monotonous with vol for OTM

Is this true and how would you prove it
3
votes
2answers
156 views

Is there a better way to price options than with historical volatility?

I know that annualized historical volatility calculated with closing prices is a much rougher estimate than implied volatility for the correct "volatility" parameter in options pricing models. ...
1
vote
1answer
48 views

Cause of long term inflation in the United States [closed]

Does the US government have a policy of printing money? If so what is this number called, who decides what it is, and where can I find it? If not what is the cause of our long term inflation? (I'm ...
1
vote
0answers
263 views

Black Scholes - how to calculate delta with a vol skew

I am trying to calculate the delta of an option at different strike prices where the underlying has a pronounced implied volatility skew in order to correctly hedge an options strategy. Researching ...
0
votes
1answer
76 views

Cobb - Douglas Production Function

let's say that we have complete data on the sample of companies about their capital (K), labor (L) and materials used in the production (M) and the total output of each company. Let's have ...
2
votes
2answers
211 views

What is a canonical book or article to learn pair trading?

Can someone suggest a resource with a clean cut explanation of pair trading?
2
votes
1answer
74 views

Binary option expression

Given r=0, σ(K)=const Binary=lim┬(ε→0)⁡〖((C(K,σ(K))-C(K+ε,σ(K+ε))))/ε〗 What is the analytical expression for the binary option value? σ(K)=const Therefore, Binary=lim┬(ε→0)⁡〖((C(K)-C(K+ε)))/ε〗 ...
0
votes
0answers
13 views

Where could we download free historical exchange rate? [duplicate]

It doesn't seem yahoo finance and google finance supports download of historical exchange rates. Also, where could we get more accurate exchange rate tick data? Can we get this from open Bloomberg ...

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