0
votes
0answers
31 views

Most recent work on American option **ANALYTIC** pricing

I am studying American options and inquisitive on why they lack an analytic pricing formula. I found a paper by Kim,1990 on analytic valuation of these options and then Byun,2005 paper which studies ...
3
votes
1answer
96 views

Question in “Computational Methods in Finance” by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques"

Reference: "Computational Methods in Finance" by Ali Hirsa - Chapter 2: Derivatives Pricing via Transform Techniques" - Page 37* Background: The author prices call option using the Fourier Transform. ...
0
votes
1answer
32 views

Imposing MLE restrictions by logistic mapping

I am doing some Maximum Likelihood Estimation with a density that has time-varying parameters. I am using the fmincon function in Matlab, but I do not know how to ...
0
votes
1answer
48 views

Volatility of monthly performances, where the last month is short

I'd like to calculate the vol of a return series of, say, 25 months. However, the last of those months is not completed yet. The last data point only refers to the first 21 days of the month (say, ...
-1
votes
1answer
23 views

Why is it cheaper to repay monthly loan at the start of the month [closed]

Assuming I borrow $50000 from the bank where the details are as follow ...
4
votes
1answer
577 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
1
vote
0answers
46 views

How was this probability of negative U.S rates by end 2017 calculated?

http://www.bloomberg.com/news/articles/2016-01-26/bets-on-negative-u-s-rates-by-end-2017-jump-above-10-chance Options markets show some investors are taking out protection in case rates instead ...
6
votes
1answer
162 views

R Backtesters: Quantstrat vs SIT

I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ...
1
vote
1answer
41 views

How to get the the final % return in backtesting?

I'm learning how to do backtesting in Python using Pandas. I'm learning how to use Moving Average Crossover. I've generated signals to buy or to sell already. But I'm not sure where to go from there? ...
1
vote
1answer
66 views

SABR Implied Volatility and Option Prices

I am trying to understand SABR model. I am having difficulty to understand how to calibrate ABR a) the initial variance b) the volatility of variance c) the exponent for the forward rate d)the ...
4
votes
1answer
178 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
3
votes
2answers
119 views

What's the name of this nearly-brownian stochastic process?

1) Does the following algorithm (my question is math, not programming-related): ...
9
votes
2answers
237 views

Historical Volatility vs Implied Volatility Performance in Pricing Options

I consistently read on academic papers, when pricing options, using implied volatility is better than using historical volatility. Because, market is more "forward-looking" and historical data is ...
0
votes
2answers
64 views

How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
0
votes
0answers
20 views

wishart stochastic volatility models

Stochastic volatility models assume that volatility follow a random process.In the emerging market the volatility tend to be high. why is it that the wishart stochastic volatility model fit well the ...
1
vote
1answer
19 views

Historical volatility from non-uniform samples

The way I compute historical volatility is that I take two parameters $dt$ and $T$, get a list of stock prices with the step of $dt$ over the window $T$ (so $T/dt+1$ samples in total), compute $T/dt$ ...
0
votes
1answer
64 views

Derivatives (Forex Forward) [closed]

Good day, Please, consult me about Forex Forward Swap (Ex. pair USD/RUB). I am trying to calculate and cant understand, how it works. For example: I have: USD/RUB Fwd points 3M - 19650/19950 IR - ...
3
votes
1answer
799 views

What happened to the French franc value in August 1969?

I stumbled onto a bit of a mystery. A strange financial blip in a historical database crossed my path and I was wondering if anyone could explain its meaning/cause for me? If this is not the right ...
1
vote
1answer
83 views

quantlib python : missing methods?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and tries to "convert" it to Python. It seems to me that some C++ possibilities aren't available in python. ...
0
votes
1answer
50 views

out of the money time value versus in the money time value

For an out of the money option the time value is entirely positive, then if it moves into the money the time value has a negative impact on the new intrinsic value, ok, but it looks like the negative ...
8
votes
4answers
6k views

How to create charts in WPF finance applications?

How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ...
3
votes
1answer
55 views

Why the diff of signal is called positions and what does it mean in backtesting?

I'm trying to learn Backtesting 101. I found this example which is very simple but I do not quite understand some of the terms. I understand Moving Average algorithm which is to measure trends or to ...
3
votes
1answer
70 views

What is mathematically rigorous way to estimate floating swap cash flow in the future?

In vanilla swap, the FL payments is fixed on one date and paid on the next reset date. So the next payment is known. However, the payment after that is not known. What would be the best estimate of ...
0
votes
1answer
66 views

Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
0
votes
1answer
42 views

Calculating annualized continuous dividend yield

What would be a formula for calculating the annualized continuous dividend yield of a stock? Given the quarterly or annual dividend
1
vote
1answer
59 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
1
vote
0answers
44 views

Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
0
votes
0answers
35 views

Mark-to-market cross currency basis swap

Given everything is the same we have a cross currency basis swap (non MTM) and another which is MTM. Should the PV of both swaps be the same and why ? Consider the case when there is no counterparty ...
1
vote
0answers
30 views

Mean Variance spanning test

Is there any r code for performing Mean Variance spanning test. This test is used to check if the return from K+N assets are significantly different from K benchmark assets return. Huberman and Kandel ...
0
votes
1answer
39 views

What is the difference between par delta and zero delta?

I was looking at different methods of calculating delta for Interest Rate Swaps(IRS) and came across the words par delta and zero delta. I am not sure of the difference between the both and when to ...
3
votes
0answers
50 views

Downloading IB futures data and then making a datapump to another program

I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ...
3
votes
2answers
76 views

Mathematical definitioln of Potential Future Exposure

I have come across a risk measure called "Potential Future Exposure" and I have not really understood the meaning of it. Knowing that this has to do with counterparty credit risk, I read different ...
0
votes
0answers
32 views

Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
1
vote
1answer
69 views

Timesteps in Vasicek model

When simulating stocks one can easily use GBM with only one random variable per simulation to create a new stock price in say 5 years, you don't need to create the whole asset paths if you don't need ...
0
votes
0answers
23 views

How to adjust Black-Scholes price in function of liquidity?

Black-Scholes pricing formula assume a lot of thing, included perfect liquidity : One can buy/sell any fraction of Stock at any time and buy/sell prices are equal. The cost of the option reflect the ...
3
votes
1answer
50 views

Basket Default Swap (BDS)

I would like to understand better the $n^{th}$ to default pair spreads of a basket default swap containing $m>n$ entities. For example, consider 2 single name CDS's with same spread and same ...
0
votes
0answers
29 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
2
votes
0answers
26 views

Subclass Tracking Error

I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question: How to find out the correlation structure of the passive (=second ...
4
votes
3answers
1k views

How to implement a long-term trade on oil?

I believe that one of the most compelling case of long-term trade is the long position on oil. Fundamentally, it seems quite clear that demands is going to grow in the future as emerging markets start ...
1
vote
1answer
76 views

$E[F_T] = F_0$, $p = \frac{1-d}{u-d}$ --> Which implies which?

From Ch 12 in Hull's OFOD, we compute the risk-neutral probabilities for a futures contract: Later in Ch 17, futures options are valued, and we have the same result: In relation to ...
1
vote
1answer
77 views

Prove $Y_t$ is a martingale by considering $dZ_t$ and $dL_t$

Suppose we are given a filtered probability space $(\Omega, \mathscr{F}, \{\mathscr{F}_t\}_{t \in [0,T]}, \mathbb{P})$, where $\{\mathscr{F}_t\}_{t \in [0,T]}$ is the filtration generated by standard ...
0
votes
0answers
47 views

Analytical solution to the Black-Scholes equation with time-dependent volatility

I am stuck with the following exercise and I would appreciate any help with it. I have to calculate the analytical function for the price of a call option given the following process for the ...
0
votes
0answers
36 views

How is a second-sensitive MACD calculated?

I am trying to get the specifics on the calculations of a MACD line that is calculated every second, as can be seen by using Bloomberg or Interactive Brokers or something of the like. I am assuming ...
0
votes
1answer
30 views

what is the meaning of the differential of an arbitrary adapted random process?

I was working on the definition of the self-financing portfolio. Say $V=\phi_tS_t+\psi_t A_t$ where $S_t$ and $A_t$ are the stock price and the money market price at time $t$, resp, and $\phi_t$ and ...
0
votes
1answer
64 views

Log daily returns of multiple securities for multiple time period in R

I have dataset containing daily closing prices of 5413 companies from 2000 to 2014. I want to calculate daily log returns for the stocks as according to dates as log(Price today/Price yesterday). I ...
0
votes
1answer
18 views

Scaling of probability mass function

Given a histogram and the probability mass function values for each observation, when plotting the histogram and the curve (this is bell curve since the data is assumed to be normal) on the same ...
2
votes
1answer
77 views

Pricing homogeneous Basket Default Swap

Consider a basket with $K=10$ names. Default times of the names, $\tau_k$, are i.i.d. random variables with distribution $P(\tau_k \leq t) = 1 - e^{-\lambda t}$. Suppose that each name in the ...
3
votes
4answers
1k views

Copulas simply explained

I try to understand the basic idea of copulas, however I am still struggling and hope that someone can help me. I understood that in general a copula is a function which links several marginal ...
1
vote
1answer
97 views

Function A(t,T) in one-factor Hull-White model

I am struggling with Hull-White model now and have the following question: in the lecture notes under the link below I see how A(t,T) and B(t,T) are being derived. This requires the solution of ...
1
vote
1answer
55 views

garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...

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