# All Questions

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### Fitting a non linear AR + GARCH(1,1)-M model

I want to fit the following model to a time series: $$y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}$$  ...
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### Credit spreads vs default events dependence

Reading this note it strikes me that credit spreads and defaults seem not to be commonly modeled jointly (e.g. more or less directly in structural models), but at best with some kind of "ex post" ...
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### how to represent financial data as a spatial process

Does any one have a good tutorial , introduction or overview on the web for different ways of representing financial data as a spatial process? Such as those spatial processes often used in ...
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I was looking at this video today: http://www.cmegroup.com/education/interactive/webinars-archived/implied-price-functionality.html on implied pricing. And am aware that implied orders/pricing ...
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### Monty Hall Model

Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level. Hedge ...
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### Estimating two normal random numbers with one equation

Subtitle: Estimating the correlation of the shocks driving two commodities in two multi-factor models I am fitting two 2-factor models to electricity and gas futures, respectively. In order to ...
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### How does one estimate theta in the Ho-Lee model from a yield curve?

I have a yield curve constructed using linear interpolation with data points every 3-months for US treasuries. I would like to use that calibrate a Ho-Lee model, but I can't wrap my head around how ...
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### Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries

A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...
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### How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
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I am interested in the formula LendingClub provides as their measure of "Net Annualized Return": $\big(1 + \frac{\sum_{i=1}^N{((I_i + L_i - S_i - C_i + R_i) / P_i) ... 0answers 59 views ### How does one simulate intraday strategies which don't end up flat at the close? I ran into this trying to simulate trading interlisted names between the NYSE and the TSX. Depending on my strategy parametrization it would sometimes end up with a significant short or long dollar ... 0answers 74 views ### Simulation of Heston process I am currently working on implementing Heston model in matlab for option pricing (in this case I am trying to price a European call) and I wanted to compare the results I obtain from using the exact ... 0answers 86 views ### Problem with Naive Bootstrapping (US Government Bonds) I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ... 0answers 22 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 ... 0answers 66 views ### Fitting High Frequency Indicators I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ... 0answers 59 views ### Hedging - calculating option prices using implied volatility surface To hedge a strategy is it accurate "enough" to price an option using an implied vol curve vs moneyness (strike/spot) assuming sticky delta? The moneyness can be read off the chart, its corresponding ... 0answers 20 views ### The difference in sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model. The question is that I want to know whether there is difference in the applying of sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model. In the ... 0answers 32 views ### Yield for valuation of illiquid corporate bond I am trying to value a illiquid corporate bond issued at a discount to face value by a privately held company in India. The corporate bond is a sinkable bond (amortizing principle) with coupon rate of ... 0answers 36 views ### Residual Covariance Matrix, and MVO for Residual Variance and Alpha My overall goal is to find an efficient frontier using QP in terms of$\alpha$and residual variance ($\omega^2$) for a portfolio$P$given a benchmark$B$. We know the equation for residual variance ... 0answers 33 views ### replicating strategy three step binomial I am having some trouble setting up a replicating strategy for a call option with a three step binomial model (discrete). I have no trouble doing this in a two step binomial model by backward ... 0answers 38 views ### What are your list of concept or model in standard textbooks that are always reliable to used in working? What are your list of concept or model in standard textbooks that are always reliable to used in working? As opposed back to this: What concepts are the most dangerous ones in quantitative finance ... 0answers 43 views ### Bond yield: is it martingale with respect to risk-neutral probability measure of some numeraire? Let$t$mean current time, let$T_0, T_n$mean two times such that$T_0\le T_n$, and let$y_t[T_0, T_n]$mean the forward swap rate of a swap starting at$T_0$and ending at$T_n$. (I am ignoring ... 0answers 116 views ### Bloomberg scripting language (BLAN) Did anyone work with Bloomberg scripting language (BLAN is the name I guess). If so is it really flexible and is it competitive with other valuation services (say Super Derivatives). Does it enable ... 0answers 37 views ### Value-at-Risk Calculation with respect to the Capital Requirements I want to calculate the Value-at-Risk at date$tin such a way that I minimize the capital requirements given as \begin{align} \text{CR}_{\,t+1\,:\,t+250} = \sum_{h=0}^{249}\max\left( ... 0answers 85 views ### Modeling market sentiment and pricing options by volume, open interest Are there any empirically-proven methods/formulas for weighting IV surfaces, pricing a discount/premium in an option, and/or adjusting any of the 1st- or 2nd-order Greeks for the magnitude (volume or ... 0answers 55 views ### Comprehensive List of Regime Switching/ Change Point Models I am looking for a comprehensive list of regime switching/change point models/techniques which can be used to model different regimes / change points in financial time series. What I found so far are: ... 0answers 100 views ### Modified duration in multi-currency portfolio I was thinking about how to figure aut duration for portfolio of bonds denominated in different currencies… I would like to compare sensitivity of portfolio to shift of yield with competitive ... 0answers 44 views ### Time between end of use of ticker symbol by one company and beginning of use by another? I have a CRSP stock dataset that goes up to december 2013. I'm trying to append yahoo finance data to it in order to bring it up to the current day. However, there are ticker symbols that once ... 0answers 47 views ### How to calibrate volatility surface for Interest Rate Cap&Floor pricing I'm using Black model to do interest rate Cap & Floor pricing. The volatility is determined by using the bootstrapping methodology. However, afterwards, how should I do the calibration, or ... 0answers 76 views ### Calibration of Heston version of CIR I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ ... 0answers 88 views ### Empirical distribution function of overlapping time series data If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ... 0answers 60 views ### Intraday versus daily volatility in slippage estimation On page 21 of http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Almgren has the formula\displaystyle{\text{Slippage} = ...
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can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
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### How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
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### Calibration of Hull White One factor model in F.C.Park paper

I want to ask a question with reference to a paper from below link http://www.cmpr.co.kr/asset/research_material/implementing_interest_rate_models.pdf Minimization specified in Page 14: Mean ...