# All Questions

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### 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 ...
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### 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 ...
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### Finding the Interest Compounded with Bank Advertising Yield

A bank is advertising 9.5% accounts that yield 9.84% annually. How often is the interest compounded. Answer is Quarterly. I've been trying to look for the formula for this; it doesnt seem to be ...
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### Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
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### Why $W_{t}^3$ is not a martigale?(by Definition)

If $W_t$ be a wiener process then,how can i show that $W_{t}^{3}$ is not a martingale by definition?
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I'm having trouble with the Ho-Lee model for short rates and differentiating between how to find the values for the free parameter λ versus using the model to predict future rates. The Ho-Lee model ...
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### How can I calculate $Cov\left(\int_{0}^{s}W_u\,du\,\,\,,\,\int_{0}^{t}W_v\,dv\right)$

How can I calculate? \begin{align} Cov\left(\int_{0}^{s}W_u\,du\,\,\,,\,\int_{0}^{t}W_v\,dv\right) \end{align} Thank you for your attention.
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### Are there references about liquidation, transaction, market impact costs in portfolio optimization

I am looking for some references treating of what I would call liquidation cost market impact cost transaction cost(*) in the usual "portfolio optimization problem under linear constraints". Let ...
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### Pricing employee stock options

ESOs are typically priced using the black-scholes model, but with an additional parameter for for the employee turnover rates . An example ...
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### order routing for a fill [closed]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
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### If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?
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### How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : ...
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### Why there are almost no book for revenue analytic?

Why there are almost no book for revenue analytic? By revenue analytic, it is meant to be predicting the revenue of a firm in the future
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### Arbitraging upward sloping yield curve

I read from various sources that yield curve is normally upward sloping. If that's the case, if we borrow short term and lend long term, won't we always make money on average? Let's say 1-year ...
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### VaR calculation accuracy/comparison/effectiveness through different R packages

My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me. 1st method: ...

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