# All Questions

1answer
97 views

### meaning of discount term in FRA value

Consider a forward rate agreement on LIBOR (say), which starts 2 months from now, expires after 3 months and has strike $K$, and is based on $3M$ LIBOR -- $FRA_{2\times 5}$. Now the present value of ...
1answer
85 views

### Best performing stocks in given year

Is there a function in Bloomberg that allows the user to search the best performing stocks for a given year, say 2011, in any given stock exchange? For example, I want to see the best performing ...
3answers
354 views

### CDS Spreads and Equity Volatility

Why does CDS spreads track the implied volatility on equities? What is the fundamental relationship that would keep the two inline from deviating too far from each other? My speculation: Could it be ...
0answers
56 views

### Tick Data Poisson Process

I am trying to generate a custom tick index using two indices (Let's say australian index ASX 200 and Japenese Index NKY). Japan index ticks every 10 seconds...and australia ticks every 30/35 seconds. ...
0answers
149 views

### Calculating volatility of inhomogeneous time series

I am reading an article by Zumbach and Müller whose name is Operators on Inhomogeneous Time Series. This is interesting in general, but my main goal is to learn a good and efficient method to ...
0answers
34 views

### What is the main point in the Forward contracts definition?

In Islamic Finance there is a contract called "Salaf" or "Salam" which is similar to Forwards except in time of payment which happens in the entering contract day (exactly unlike the Forwards). Some ...
2answers
148 views

### What does it mean if $\beta$ is insignificant in the CAPM model?

What can we say about an asset which $\beta$ calculated using the CAPM model (regressing the excess returns of the stock vs excess returns of the market) is insignificant?
2answers
248 views

### Why do some stock options have expiration dates for a given month, while others don't?

Take two stocks, WWE and XPO, both traded on NYSE. Today, May 28, 2014, XPO has options expiring August 2014... ...while WWE doesn't: Why is that? From my experience, the missing expiration ...
2answers
546 views

### Successfull applications of Chaos Theory in Quant Finance

Do successful applications of chaos theory to quant finance exist ? While still in the university I remember some people mentioning how chaos theory and fractals could be applied in a finance ...
3answers
170 views

### Is there any other way to measure option pricing model performance than proximity to market prices?

Short version Why do we take market prices as the prices to be estimated and predicted? The common answer is efficient markets hypothesis as in "Market agents do their best effort given their ...
1answer
599 views

### Documentation of the ISDA CDS standard model

I have to validate the use of the ISDA CDS standard model. Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail. I can download an ...
1answer
110 views

### Volatility of Option

I hope I'm asking this at the right place. This pertains to actuarial exam MFE/3F on Financial Economics. If $\sigma$ is "volatility" and $\Omega$ the elasticity of the stock, one formula that is ...
1answer
96 views

### Introducing credit risk to an already implemented interest rate model

Do any standard/generic approaches exist on how to extend an interest rate model to incorporate credit risk? The first thing that comes to mind would be to just model the credit spread separately - ...
1answer
183 views

### Interpolation of volatility curve for Swaption

I have found volatility in the black model for swaption for different maturity (1-2-3-6-9M, 1Y, 18M, 2-10Y, 15-20-25-30Y) and Tenor (1-10Y, 15-20-25-30Y). Now I need another values (Maturity: 2, ...
1answer
35 views

### GNP/GDP and modelling [closed]

Is GNP a continuous, static or a dynamic model ? What about GDP ? What I do know is that it has yearly discrete values. However, when it is modeled, it becomes a continuous graph. So what exactly is ...
3answers
83 views

### Why is it enough to know the expected present value of cash flow in risk-neutral framework to price derivatives?

Wilmott book states that its enough to know the expected present value of all cash flow in risk-neutral framework to price derivatives. As I know, to obtain arbitrage-free market we need our ...
4answers
737 views

### Bloomberg alternatives for fixed income data

I am looking for a (hopefully significantly cheaper) alternative to bloomberg - primarily for fixed income data. Perhaps some survice that has a more modular fee structure (so that I only have to pay ...
1answer
225 views

### Monte Carlo for MultiFactor Ornstein Uhlenbeck

I'm following loosely the exposition given in "Monte Carlo Methods in Financial Engineering by Glasserman. For a multifactor OU process: $dX(t)=C(b-X(t))dt+DdW(t)$ Where C and D are d*d matrices ...
1answer
25 views

### How to define the median for bivariate function?

I know if we define a function f(x) and its cdf is F(x). The inverse function of cdf is inverseF. I can define its median as follows: median = inverseF(0.5). But if I want to get the median for a ...
1answer
200 views

### Variance of Multi-Dimensional OU process

I'm trying to implement this model shown here: http://www.sciencedirect.com/science/article/pii/S0304407611000388 As part of the modelling process I have to calculate the unconditional variance of X ...
0answers
98 views

### Good stochastic volatility model

Im fiddling with estimation of stochastic volatility models and have build up a somewhat flexible framework using indirect inference. I would like to try and throw a lot of different continuous time ...
1answer
136 views

### american option and cash dividends

Can someoe help with this : What is the precise arbitrage argument demonstrating that the price of an american option should be continuous around an ex-dividend date? Thanks
3answers
280 views

### Modeling Financial Time Series

Price time series are not stationary. So we difference them and get the return time series, which are stationary. Does this mean, it is always a good idea to model only the return series of financial ...
1answer
204 views

### how to compute daily skewness of S&P daily return timeseries under no other more high - frequency time series?

As we all know , return time series marked features: fat tail or negative skewness and peakedness. For a similar problem of variance computation, we can compute variance by garch model and other ...
2answers
418 views

### When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?

Under what conditions should the drift be real world and when risk neutral when simulating Delta Hedging option pricing trading strategy any other? For 2. it should be risk neutral. For 1., it ...
1answer
210 views

### Why are multiple custom curves (swap) built for one desk?

Currently in a journey of learning and getting my hands a bit dirty with Interest Rate Swaps. Why there are multiple customized curves built by many even within one desk? For e.g. Short Rates desk ...
2answers
200 views

### Why is USD LIBOR used for USD denominated securities?

I am just starting on Interest Rate Swaps & curve construction. While reading few materials on Interest Rate Swap, it's indicated for e.g. "Floating Coupon Index: 6 month USD LIBOR". LIBOR is ...
0answers
44 views

### Existence of a hedging portfolio and martingale property

Lets assume that the underlying follows a Brownian motion and the market has the standard properties of the Black Scholes setting. Is there a way to find a hedging portfolio for every discounted ...
1answer
535 views

### estimate implied volatility using newton-raphson in python

I am trying to calculate the implied volatility using newton-raphson in python, but the value diverges instead of converge. What is wrong with the code? ...
1answer
750 views

### What exactly is the OIS Black VOL?

While poking around in Bloomberg I stumbled upon the following data set: EUR SWPT BVOL OIS for various maturities. Obviously OIS must suggest OIS-discounting but how is it related to the ...
2answers
141 views

### The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?

What is the link between option Greeks (i.e. vega, delta, gamma, theta) and implied volatility surface (IVS) movements? Could you say that their 'information content' is the same. i.e. that out of ...
1answer
104 views

### Forward rates diffusion

I used a simple market model (Black 76) to price an american swaption. It's a formula similar to B&S, with another numeraire and forward rate as underlying. I used the SDE:  dF = \sigma * ...
1answer
192 views

### What is PCA and how does it relate to eigenvectors and eigenvalues?

What are the principal components? How they are calculated? What is their relationship with eigenvalues and eigenvectors? This is a lead-in question to explain PCA basics. EDIT: PCA is implemented ...
1answer
115 views

### Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
2answers
76 views

### Implied Correlation using market quotes

Is there a way to retrieve the implied correlation between stock price and zero coupon bonds?
3answers
199 views

### List of Stocks by Sector

Does anyone know where I can find a list of all stocks traded on the NYSE in a table that also includes what sector they are in? I want to look at some data using info both from the individual stock ...
1answer
112 views

### After PCA on original factors, how to tell which original factors are dominant?

When doing the PCA analysis, you end up with eigenvalues which are ordered by how much variance they explained for each eigenvector. Say, the eigenvectors since they are orthogonal, do not represent ...
1answer
136 views

### Create optimal portfolio by Treynor and Jensens Alpha

I would like to know which formula to use in order to optimize a portfolio based on highest Treynor and Jensens Alpha. I am aware that usually one optimize a portfolio by highest Sharpe ratio (the ...
2answers
772 views

### How can I calculate Fama-French betas for a particular stock?

For a particular stock, what's the simplest way to calculate betas for the Fama-French factors SMB and HML?
4answers
314 views

### Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
0answers
105 views

### Which are the popular free/open-source charting controls?

Recently i've tried SciChart and VisiBlox - beautiful charting tools. Is there any free or open-source tools for visualizing charts on C#? Thank you for answers.
0answers
143 views

### “Stable-Floating” model for non-maturing deposit for FTP purpose

Non-maturing deposits (NMD) is a deposit without maturity date. The deposit rate is normally low. Banks could adjust the rate at any time. The customer can withdraw without penalty, however, in real ...
3answers
481 views

### Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
0answers
55 views

### volume augmented garch(1,1) model in matlab

Actually I want to add volume traded of a stock in my Garch(1,1) model to forecast the volatility.In Matlab I can specify the model as garch(1,1) and then use estimate and forecast commands.But I am ...
2answers
323 views

### Trend estimation techniques

What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe?
1answer
269 views

### Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
1answer
270 views

3answers
216 views

### Implied Probability of Default from Bond Prices

I am trying to build out a probability of default model for a bond. Given the current price of a bond and the current risk free rate, I am trying to calculate the probability of default. So assume a ...

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