0
votes
1answer
51 views

Conversion factor for bond with coupon=yield

Please illustrate that a bond with maturity N years that has coupon equal to its yield is associated with the conversion factor of 1. I do this by writing out $$\frac1{100} \left( \sum_{t=1}^N \left[ ...
1
vote
1answer
149 views

How to compute the volatility for the Merton's Model for Private firm?

After one day of research i did not figured how to compute the input volatility for PRIVATE COMPANY in order to calculate the PD. My goal is to compute the PD of each of my company in my portfolio, ...
4
votes
1answer
85 views

Why are netted positions more volatile?

According to John Gregory, "netted positions are inherently more volatile than their underlying gross positions". Given the context, I think he's talking about close-out netting and not payment ...
1
vote
1answer
110 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 ...
0
votes
0answers
74 views

Discrete Hedging of Options

Assume that a stock $S_t$ follows simple geometric Brownian motion. Let's say we sold option whose payoff is $f(S_T)$. Now, we are only allowed to trade 2 times in the interval [0,T]. What kind of ...
1
vote
4answers
2k views

Stressed Value at Risk vs Value at Risk

Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?
0
votes
0answers
66 views

Practical Delta hedging under stochastic volatility models (e.g. SABR model)

I'm currently straggling with Delta hedging under SABR model (or other stochastic volatility models). As far as I know there are numerous Delta hedging strategies theoretically and practically such as ...
1
vote
0answers
47 views

Any idea of compound Poisson processes in betting? [closed]

Any suggestions on compound poisson processes in bets of a customer?
6
votes
2answers
174 views

Utility Theory and portfolio optimization - Proof of a lemma

I have a question on the following problem from chapter 9 of D. Luenberger, Investment Science, International Edition: (Portfolio Optimization) Suppose an investor has utility function $U$. ...
2
votes
0answers
121 views

Interpretation of “alpha” — industry vs academia

Disclaimer: I come from an academic finance perspective and hence I will definitely have my inherent biases in this question. How does one think about "alpha" in portfolio management? In particular, ...
1
vote
0answers
18 views

In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...
2
votes
2answers
115 views

The portfolio whose return is the stochastic discount factor

I am trying to construct a portfolio whose return is $a + bm_{t+1}$ where $a$ and $b$ are some constants for a certain investor. $m_{t+1}$ is the stochastic discount factor at time $t+1$. I am ...
1
vote
1answer
74 views

how are gaps usually handled in market data received with multicast?

Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the ...
2
votes
0answers
194 views

How can I use Thomson Reuters Eikon to get a list of large historical companies?

I am trying to use Thomson Reuters Eikon to get a list of historically large companies, for example, what were the 1000 largest companies by market capitalization in 1990? I would like to get lists of ...
3
votes
1answer
102 views

volume-returns cross correlation interpretation

I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
2
votes
1answer
123 views

Get institutional holdings of stocks programmatically

First of, I'm not sure if this is the right place for this question, but a search on Google for another programmatically related question regarding stocks led me here, so here it goes. Is there any ...
4
votes
2answers
222 views

is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?

I've read an answer here that say if your security has vega, then it has gamma and theta. is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?
2
votes
1answer
163 views

why is there a cancel/replace message in FIX?

Couldn't we just cancel existing order and enter new order? Is there any other reason apart from a communication overhead that now we need to send 2 messages vs just 1 message to cancel replace?
2
votes
2answers
333 views

Multivariate GARCH in Python

Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
3
votes
1answer
114 views

How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?

suppose $L(T_i, T_{i+1})$ is the LIBOR rate between $T_i$ and $T_{i+1}$, and $T_N$ is some time later than $T_{i+1}$. $E^{T_N}$ is the $T_N$-forward measure. I tried to work this out using John Hull'...
4
votes
2answers
128 views

Estimating an appropriate haircut for illiquid stocks

I am trying to determine an appropriate haircut for a basket of illiquid stocks that barely traded during the year. Can someone suggest me an approach to estimate the risk? My dataset has a lot of ...
0
votes
0answers
65 views

Number of simulations for Monte Carlo CVA

Assuming we are calculating CVA across a netting set with a Monte Carlo methodology: 1) How many future dates ("horizons") would be typical - or does that depend entirely upon the composition of the ...
4
votes
0answers
295 views

How to forecast high-frequency data?

Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example bid/...
3
votes
0answers
473 views

credit risk - How to calculate the probability of default (private companies)?

Part of my master thesis I am working with a company. I have the project to use their financial database with all the financials data (7 years) of approximately 3’000 companies. They have their own ...
1
vote
0answers
72 views

CVA for an inflation linked swap

I am trying to value an inflation linked swap and wish to calculate the associated CVA and DVA. I think the best way to approach this would be via a simulation. Suppose I wish to calculate CVA over ...
2
votes
2answers
106 views

Why t (time) in Black Scholes & Binomial defined as year?

What's the logical/scientific explanation for Black Scholes & Binomial using year rather than second (SI standard for time) ?
3
votes
0answers
49 views

Is there any index calculation methodology that is suitable when constituents change frequently?

Trying to create a custom stock sector index, however adding/dropping of the constituents will be frequent. Which kind of index calculation methodology (e.g. Price Weighted, Equal Weighted, Cap ...
-2
votes
1answer
56 views

what is the cost for rolling 5 year german future?

im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it ...
5
votes
2answers
343 views

How to calculate volatility on intraday data?

I have several weeks of minute-by-minute stock data (start and end prices, volume). Everything I've read so far leads me to believe there isn't a standard method for volatility, which is leaving me ...
2
votes
1answer
40 views

Futures Holiday Schedule

I am trying to find a place where I can get S&P Emini contract trading days. I would like to get the contract first appearance (September 9th 1997) until today. I can get Holidays but nothing ...
3
votes
1answer
66 views

What is the tail index for NIG and/or VG?

...as a function of NIG (Normal Inverse Gaussian) or VG (Variance Gamma) parameters, obviously. I've read that the NIG $\alpha$ is related to the $\alpha$-stable tail parameter, which conversely maps ...
6
votes
1answer
237 views

Density forecast of a GARCH model

I am currently working on developing a series of density forecasts and I am encountering some problems. I am working on weekly S&P 500 returns and the returns process is described as $r_{t} = \...
6
votes
1answer
321 views

How to use physics models in Time Series Analysis and Forecasting.

I have been studying methods of Technical Analysis for several years and I am disappointed. I actually do not consider it useful. I have not met anyone who can constantly win in the market using these ...
1
vote
0answers
173 views

Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: http://www.sec.gov/Archives/edgar/data/320193/000119312515259935/aapl-...
3
votes
2answers
157 views

How to user GARCH(p,q) to identify most volatile sector?

I would like to ask help concerning the utilization of GARCH(p,q) models to identify volatility. Suppose that I have daily closing prices of 6 financial sectors spanning several years, and I am ...
0
votes
0answers
52 views

Modelling commodity price uncertainty with brownian motion - time period impacts

background I have two separate models of a metals resources company. Each model produces a series of accounting and cashflows forecast for different assets, and consolidates these to a overall ...
1
vote
1answer
549 views

Calculate and plot historical volatility with Python

I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is: ...
1
vote
1answer
160 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
0
votes
1answer
1k views

How to calculate Credit VaR?

(source John Hull, Options Futures and Other Derivatives 8th edition) I can't follow why Hull calculates Credit VaR in the following manner. I thought CVaR was Unexpected Loss$_{confidence}$ - ...
0
votes
0answers
17 views

Calculating Portfolio Risk with different assets [duplicate]

I want to calculate the risk of a portfolio (for a certain year) that includes several assets. Therefore, I want to calculate the standard deviation of each specific asset. I will calculate the ...
1
vote
1answer
23 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
1
vote
1answer
173 views

Utility Theory - Certainty equivalent approximation formula derivation

I have a question on an exercise from chapter 9 of D. Luenberger, Investment Science, International Edition, where I suspect there may be a typo. Exercise 8 (Certainty approximation) There ...
0
votes
1answer
59 views

What is the correlation of stock options?

I want to calculate the VaR of two correlated option positions, and I know the correlation between stock price returns. I want to separately calculate $Var_1$,$Var_2$ for option 1 and 2, and then use $...
0
votes
1answer
459 views

Gamma Imbalance Explanation

Can someone please give me an explanation as to what put-call gamma imbalance specifically refers to (imbalance of what?), and why they may exacerbate volatility from a market perspective, and why the ...
7
votes
2answers
2k views

Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
1
vote
2answers
252 views

Why QuantLib computes the fixed-leg swap rate by this formula?

I'm trying to understand how QuantLib creates (bootstraps) a yield curve from a vanilla swap at the source level. I have the following test code: ...
3
votes
1answer
88 views

Why the negative sign in modified duration relationship

If $P$ is price, $D$ modified duration and $y$ yield then we have the relationship, $$dP=-D \cdot P \cdot dy$$ Why is there a minus sign and what does correspond to?
1
vote
1answer
65 views

What is this ratio: expected returns on stock divided by risk free rate?

So this ratio has come up in some work I'm doing and I can't seem to figure out if it is attested in the literature. Here's the setting: Given a risk free rate $r(t)$ and a stock price which follows ...
1
vote
1answer
30 views

Modeling credit utilization and stock market growth

I relatively new to financial mathematics but I am wondering if at all there exists a relationship between credit utilization (the rate at which the public accesses credit from financial institutions) ...
2
votes
1answer
184 views

Utility Theory - How to show that this exponential utility function is wealth-independent?

I have a question on the following exercise from chapter 9 of D. Luenberger, Investment Science, International Edition. Exercise 2 (Wealth Independence) Suppose an investor has exponential ...

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