2
votes
1answer
80 views

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 ...
2
votes
1answer
41 views

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 ...
3
votes
2answers
94 views

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 ...
0
votes
0answers
36 views

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 ...
1
vote
0answers
21 views

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 ...
0
votes
1answer
44 views

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 ...
0
votes
0answers
22 views

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, ...
3
votes
1answer
123 views

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 $L<x_0<U$ ?
2
votes
2answers
102 views

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.
0
votes
0answers
28 views

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 ...
0
votes
0answers
6 views

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, ...
2
votes
1answer
100 views

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 ...
0
votes
0answers
15 views

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 ...
3
votes
2answers
72 views

How to download all 10-K reports for all companies listed on S&P 500?

I am doing a regression analysis of all companies listed on s&p 500. It requires their 10-k reports. Where can I download all of them once?
3
votes
0answers
38 views

Relation between mean and variance of a portfolio in modern portfolio theory:

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, ...
0
votes
0answers
34 views

Finding the corresponding Strike

I have been asked the following question recently, and I was unable to find the solution (I have the feeling that either a data is missing or I misunderstand a notion). Here is the following question :...
9
votes
1answer
299 views

Distribution of hitting time of the integrated CIR process

If an increasing process $X_t$ has a known Laplace transform $\mathbb{E} e^{-s X_t} = m_t(s)$, define its hitting time $\tau$ to some level $B$ to be $$ \tau = \inf\{ u > 0 : X_u \geq B \}. $$ Can ...
1
vote
1answer
58 views

Swaption pricing

I am trying to understand the pricing of various types of swaptions. Suppose I have a swap that starts in 3 months time. How would I go about pricing a swaption on this swap in the following cases: ...
4
votes
1answer
103 views

Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
1
vote
1answer
22 views

compute volatility and greeks of american option on futures using matlab toolbox

I have learned some knowledges on option pricing by myself at a very beginer's level. I'm using matlab R2009b finacial derivative toolbox, I found option pricing functions for american options on ...
0
votes
2answers
126 views

Fama-French three-factor model vs four-factor (Carhart) and five-factor model

I'm performing a study where I compare the Fama-French three factor model to the CAPM on the Swedish industrials industry. I do this to compare which of the models is the best performer, but also if ...
0
votes
2answers
54 views

What is the probability of defaulting in year 2?

I was asked this question the other day, but it's been years since I've done this work. If the probability of a company to default in a year is $8\%$, what is the probability that it will default in ...
1
vote
1answer
225 views

Robust way to calculate P&L for stocks/futures trading

I have implemented a class in C# that will calculate P&L based on this description from TT. However it worries me that it gives different results for the same fills, if you apply the "fill ...
0
votes
1answer
55 views

Black-Scholes PDE boundary condition question regarding limits

I'm working with the Black-Scholes PDE and I'm testing some things out by taking an initial condition for it as $\sin(S/50)$, where $S$ is the spot price. My issue comes with attempting to find the ...
4
votes
1answer
208 views

Wrong discount factors when finding Nelson Siegel Svensson model parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...
1
vote
1answer
277 views

Weights Blowing up in PCA

I'm using daily settlement data to get yield levels for a couple of products. From this data I am doing PCA on a rolling collection of the yield levels. I have been using sci-kit learn's PCA function, ...
2
votes
1answer
121 views

Simple Moving Average Backtest: Cumulative Return too high

I apologize if this is way too basic a question, but I'm an absolute beginner to trading and am in the process of learning the fundamentals. Currently I'm trying to model a (10-day) SMA backtest in ...
2
votes
3answers
132 views

How to understand nonrandom/random process in Shreve book?

I have been reading Chapter 4 of Shreve's Stochastic Calculus for Finance II. It is easy to understand the simple process, $\Delta(t)$, defined on Page 126, which is just a constant inside a given ...
1
vote
1answer
80 views

S&P 500 and Dow Jones from Google API

How can one query the Google Finance API for Dow Jones and S&P 500 values? The queries for Dow Jones and S&P 500 will result in error: http://www.google.com/finance/historical?q=.INX&...
3
votes
3answers
164 views

Computing loss of Call / Stock Purchase

A seller of an European Call, can, subjectively have unbounded losses. This loss may be mitigated by buying the stock (covered call). In this case,, the loss will be bounded at A. How would one ...
1
vote
1answer
25 views

Data of Credit Migration Matrices

Please advise that how to get the data of credit migration matrices There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis. https://www....
2
votes
2answers
191 views

How to get historical fundamental data in Bloomberg suitable for backtesting?

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
5
votes
1answer
86 views

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

The problem: Let $T >0$, and let $(\Omega, \mathscr F, \{ \mathscr F_t \}_{t \in [0,T]}, \mathbb P)$ be a filtered probability space where $\mathscr F_t = \mathscr F_t^W$ where $W = \{W_t\}_{t \...
2
votes
1answer
56 views

Modeling transaction cost with single-counted turnover ratio

Why do people use "Single-Counted" turnover ratio when modeling for transaction cost. I read a paper (Factor Investing in the Corporate Bond Market) which uses only the purchase side as turnover ...
0
votes
2answers
44 views

Correlation of Asynchronous Brownian Motion

I am trying to use the closing prices of the S&P 500 and the Nikkei Index to see how they are correlated (assuming they are exactly 12 hours apart). In order to test my method, I have generated ...
0
votes
0answers
35 views

Calculation of option Greek (sensitiviety) theta via finite difference

I am able to get good approximations for delta, gamma, and rho via finite difference method, but not theta. I believe my issue is the value of h. Theta is basically the difference between the price ...
0
votes
1answer
33 views

How to fit a skew normal/t copula to data

I want to use either the skew normal copula or the skew t copula with a time-varying correlation matrix. But so far I haven't found any way to implement this either in R or Matlab. Would anyone be ...
6
votes
5answers
9k views

Data source for historical Share Outstanding totals for individual stocks?

Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
4
votes
1answer
74 views

Interpretation of Risk Premium for Schwartz one-factor model

I have to deal with this one-factor model: \begin{equation*} \begin{cases} dS_t = \alpha \bigl(\mu - \log(S_t) \bigr)S_t \, dt + \sigma S_{t} \, dW_t \, , t \geq 0,\\ S|_{t=0} = S_0 > 0, \end{...
1
vote
1answer
77 views

Standard Stochastic Volatility Models VS Moving Average Stochastic Volatility Model

Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only ...
3
votes
2answers
138 views

Confusion on stationarity vs deterministic trend

Sorry for the newbie inquiry but I'm having a little trouble making sense of stationarity and how a the presence of a time trend impacts this. I'm working on a model for operating margins and as a ...
3
votes
1answer
365 views

ARMA+GARCH prediction with package rugarch (R)

I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework). I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast (...
0
votes
1answer
62 views

what % of stocks with +$1b market cap will double in 3 years on average historically?

If I'm looking to pick stocks that will double in 3 years, how do I figure out what is the likely universe that I'm choosing from? I just want a rough estimate of the universe given the market cap ...
4
votes
0answers
47 views

Questions on Kelly criterion

I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino). ...
0
votes
2answers
67 views

Asset Pricing: What happens to the Risk-Free rate and the Equity Premium?

What would a standard asset pricing model predict for the risk-free rate and the equity premium, if the volatility of consumption growth fell? My gut feel is that the equity premium should fall, but ...
0
votes
0answers
14 views

Book Value of Equity

I want to calculate Book equity to market equity ratio. Market equity can be calulated by multiplying number of shares outstanding with price of share. Now as far as Book values of equity is ...
0
votes
0answers
89 views

Computing the Coefficients for the Unemployment, Inflation, Trade Balance Equation

Based on S. Nickell's theory on how to relate trade deficit, unemployment, inflation, I tried to fit the data to the formula Nickell presents, $$ [ \alpha_1 + \delta_1 \alpha_{12}]u + \alpha_2 \...
1
vote
0answers
45 views

Code for quasi-Gaussian model (Cheyette model)

I'm looking into the quasi-Gaussian model with linear local volatility as explained by Andersen and Piterbarg (Interest Rate Modeling, Volume 2). I'm trying to calibrate this model and implement it. I ...
3
votes
1answer
235 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
3
votes
1answer
162 views

Negative adjusted strike in Levy's Asian option approximation?

In Edmond Levy's 1992 paper, he introduced a moment-matching method to approximate the price of an Asian option assuming GBM for the underlying. It suggested that, if some monitor points are already ...

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