# All Questions

19 views

### Sample data of quarterly (annualized) real GDP growth

I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England. For the US data i went here: ...
133 views

### How are we underestimating liquidity risk?

Malz explains that marking to model can underestimate liquidity risk. From his example, I don't see it. I can see us underestimating market risk because we are using an incorrect price. Why does a ...
77 views

### How to hedge an ETF position with a basket of its underlying components

In practice, when one takes on a large equity ETF position, I would imagine it's not necessarily "optimal" to hedge using a basket of all the constituents even though that should be a perfect hedge. ...
66 views

### Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
171 views

### Imposing Restrictions on Cointegrating Vectors, R example

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
43 views

### How to find the fx lookback floating/fixed strike options prices?

Currently, I'm working on my thesis in which I'm trying to describe how are the FX lookback options priced. I need to find the real ...
85 views

### Derivation of Magrabe formula

I'm going through the following note by Davis, link. In chapter 3 he derives the Magrabe formula. I got stuck at equation $(3.16)$. We have two assets: ...
178 views

### Annualized Sharpe Ratio calculation

I'm trying to replicate the annualized Sharpe ratio of an buy-and-hold strategy for the Dow Jones Industrial Average index for a period consisting of multiple years. I got the daily DJIA (closing) ...
49 views

### Definitive way of figuring out companies with multiple classes of stocks

Is there a definitive way of mapping tickers to companies for companies with multiple listed tickers? For example, GOOG and GOOGL are both Google (or now Alphabet), or BRK.A and BRK.B are both ...
32 views

### Is the equity value of the firm “in the money” or “out of the money”? BOPM & BSOPM [closed]

Value of the firm V = 100 Face value of debt X is 120 and still one year to go until maturity Firm value volatility is 40.5% per annum Risk free rate is 6% Consider a one-period model. If any ...
46 views

### ARIMA Forecasting always converges?

I read an article about arima forecasting and i said that before we forecast arima model, its stationarity has to be checked. If the model is stationary, it is clear that forecasting converges to ...
27 views

### Forward contract pricing of coupon paying security

PLease help me in understanding how to price forward contract for coupon paying security. For instance if we get into a contract to buy a security in next six month whose coupon due in next two month. ...
79 views

38 views

### Using a hybrid approach to calculate operational risk capital

I've read that a hybrid approach combing scenario analysis and loss distribution analysis can be used to calculate operational risk capital under the advanced models approach. I've read a couple ways ...
81 views

### Where can I find the most reliable historical fundamental data for US Equities

I've looked at several sources including Bloomberg, Zacks and Cap IQ. Many times, they don't update their data with the revisions. I'm looking for Income Statement and Balance Sheet data going back to ...
281 views

### Basic question on Portfolio Theory

I was revising my stuff about portfolio theory and I noticed that every single time, expected return and corresponding variance or covariance are given! (not calculating ourselves). So I'm just ...
18 views

### Pricing claims of parties in a fund

I'm working on the following problem and would appreciate some input because I'm stuck. Consider a fund that works as follows. The fund starts with $S_0$ worth of assets following a geometric ...
201 views

### French and Fama Three Factor Model - What is the correct formula?

I hope you can help me with the following question. What is the correct way to write the formula for the French and Fama Three Factor Model. I have currently found three versions of this formula, ...
132 views

### Whites Reality Check for Pair Trading

I want to use the Monte Carlo Method described in Aronsons book Evidence based Technical Analysis to test if a given pairs trading strategy is useless. First step there is to randomize the returns of ...
31 views

### Equity protection and butterfly certificates pricing

Certificates issued by famous industry names are usually made up by a combination of a fixed income instrument and some vanilla and exotic options. I am looking for something which explains: how to ...
37 views

### Gil-Palaez Inversion Formula in Black Scholes world

I am trying to calculate numerically the price of a plain vanilla call through Fourier Transform, by applying the Gil-Pelaez formula. More precisely, we have that C(K)=S0*Π1-Kexp(-rT)Π2 where ...
103 views

### Difference between stochastic calculus and newton calculus

As I am not a student of hard core mathematics,I just want to know how stochastic calculus is different from newton calculus. What make stochastic calculus different from simple newton calculus ?
104 views

### Cost of revenue vs SG&A [closed]

How do cost of revenue and SG&A compare (across industries)? For cost of revenue, one definition is "the cost of manufacturing and delivering a product or service". Assuming my product is beer, ...
76 views

### What are the best online platforms to hire a quant? [closed]

I have already written the base of a trading algorithm, however there are some optimisations that I would like to add that might be best programmed by more experienced quantitative programmers. This ...
26 views

### How to understand stock return comovement

In his book "Asset Pricing" chapter 20, Cochrane said For example, suppose that average returns were higher for stocks whose ticker symbols start later in the alphabet. (Maybe investors search ...
48 views

100 views

### QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?

I would like to use the following model in QuantLib: $\frac{dF(t,T)}{F(t,T)} = \sigma_se^{-\beta(T-t)}dW_{t}^{1} + \sigma_L\left(1-e^{-\beta(T-t)}\right)dW_{t}^{2}$ This is a reformulation of the ...
62 views

### Why do CFDs track the underlying?

My understanding of CFDs is that the profit you make on a CFD is the difference between the price at which you bought the CFD and the price at which you sold your CFD minus various charges/commission. ...