# All Questions

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### Kenneth R. French data base on momentum and size: construction and how to use it concretely with momentum only

So, you can find all the data bases on this site. More explicitly, I would like to take the "Developed Market Factors and Returns" part. Even more explicitly, let us take the "25 Portfolios Formed on ...
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### Lipschitz condition in mathematical finance

I am interested in a rigorous explanation on why the Lipschitz condition plays a major part in stochastic calculus, most significantly in mathematical finance. To be specific, suppose we want to ...
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### What are Sell Imbalance-Only Orders?

I am reading the 2014 SEC filing against Athena, a HFT firm. (http://www.sec.gov/litigation/admin/2014/34-73369.pdf) At point 29, they describe the behavior of Athena moments before market closing ...
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### Calculating Greeks using BinomialTree in Matlab [closed]

section 1. Calculating sensitivity of the price of derivatives American or European option using binomial tree model section 2. Calculating first order greeks the code compiles till this point ...
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### When to adjust portfolio weights?

In portfolio allocation literature there is lot of effort made in obtaining 'better' portfolio weights, for example via improving parameter estimates, introducing Bayesian approaches, incorporating ...
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### Dividend as a function of stock

Let's say I have a stock that pays dividend once a year. I know how much did it pay in 2014, and at which level was stock trading when the dividend decision was made. I'd like to use these data to ...
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### Black-Scholes under stochastic interest rates

I'm trying to implement the Black-Scholes formula to price a call option under stochastic interest rates. Following the book of McLeish (2005), the formula is given by (assuming interest rates are ...
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### Initial values for Heston Model calibration

I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes ...
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### Why using the swap curve as riskfree rate and no longer gov bonds?

I recently had an interview where I was asked what to use as risk-free rate. In all my textbooks it was always the US treasury yield curve. But they said no its now the "swap curve". Why is the swap ...
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### Calculate single cashflow at maturity for a Total Return Inflation swap (zero coupon)

I'm a newbie to the world of swaps. If I have a Total Return Inflation Swap (Receive CPI, Pay Fixed Zero Coupon) Based on CPI Index starting level = 236 Notional = 100,000 Term = 5 Years How can I ...
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### Compound Interest Calculation (Years + Months)

My question is with regards to the calculation of "Compound Interest". I have the formula below where I would get an answer to the total value of the investment over a period of "years". $A$ = ...
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### Using Spot Rates to construct Zero-Coupon Bond Yield Curve

I am just trying to get an explanation as to why Spot Rates can't be used to create a yield curve for Zero-Coupon Bonds? Or if they can, would it involve Bootstrapping? Thanks
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### Combining modern portfolio theory and Kelly betting?

I'm using modern portfolio theory to compute the frontier of efficient portfolios. I'd like to pick the best one in the spirit of Kelly betting, ie. maximising expected growth. I'm looking for a ...
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### Export security description data from bloomberg into excel

I have the cusip of about 300 bonds. I want to retrieve the security description from bloomberg and then export it into excel. Does anyone have any tips as to how to accomplish this?
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### Option arbitrage with dividends?

If a stock pays a discrete dividend, the stock price falls by the amount of the dividend. There is no arbitrage opportunity from this predictable jump, because the investors receive the same amount of ...