# All Questions

46 views

### 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 ...
47 views

### CFA (Level 1) schedule after school and working a 9-5 job [closed]

I am graduating with a BS in math and obviously love math but everything changed when a buddy of mine invited me to an investment society in our school and I love every single experience. The part I ...
146 views

### Rich Volatility, Poor Volatility

I have been thinking very hard about properly pricing volatility. Outside of naive AR,ARCH,GARCH forecasting model which employs past data to forecast future vol, how does one "fundamentally" value ...
60 views

### Anyone know where I could find a free list of hedgefunds and their strategies…?

I am looking for a (free) list of hedgefunds with their strategies. I have found Barron's top 100 online but am having trouble finding a longer list. Any ideas of where to look?
47 views

### Basic questions on the yield curve

When people say "yield curve", do they mean yield/time curve, or yield/price curve? It seems that most of the time, people refer to yield/time curve, as wikipedia suggests. Though sometimes, people ...
98 views

### Price of an asian option with squared of average payoff

Is there a closed form solution of the following price formula? Assuming $dS_t=rSdt+\sigma S_t dW_t$ under the Q dynamics $e^{-r(T-t)}\mathbb{E}_t^\mathcal{Q}[(\frac{(\int_0^T S_u du)}{T})^2]$ I ...
75 views

### Calculating time value of an option

Can someone provide me with a robust way of calculating the future time value of an option or point in the direction? I have been reading a lot about the factors that affect it and about betas and ...
125 views

### How to write a home task report which is part of the interview process for a quant position in a trading firm

I recently appeared in an interview for a quant research post in a trading company. As part of the interview, I was given a home-task to solve in a week. The inerviewer gave me a dataset consisting of ...
192 views

### Book recommendation: math toolkit for quantitative finance and statistics

I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics. Please note, I do not mean a book which would explain how math is applied ...
43 views

### Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
73 views

### Sharpe Ratio vs Net Profit vs max drawdown

When evaluating the performance of an algorithm, what should hold more importance? Sharpe Ratio , Net profit or max drawdown? For instance, I have two algorithms one performs very good on Stocks with ...
38 views

### Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...
51 views

### On the existence of a perfect market with no arbitrage that contains a forward contract

Consider the following theorem from p. 31 of Steven Roman's "Introduction to the Mathematics of Finance Arbitrage and Option Pricing" (Undergraduate Texts in Mathematics, 2012), giving the forward ...
42 views

### Does anyone know where I can find a free efficient frontier tool, or an informative and legitamate/academic graph of the efficient frontier?

I'd like to build a portfolio based upon modern portfolio theory and I'd like to find a tool I can use to calculate the proper mix of asset classes. Can anyone help with this? I think a good ...
107 views

### HFT Architecture

Im an undergrad student trying to become more familiar with how HFT works. In specific, I was wondering what kind of hardware they use and how each piece contributes to the system. I've been led to ...
54 views

### Difference between GARCH and Heston Volatility model

I know that the difference between the GARCH and the Heston model is volatility vs variance in the stochastic part of the volatility sde. However,from my solutions, there is only ever a 2 - 10 cent ...
23 views

### Historical Daily NAV for Closed End Funds

Does anyone know where to get historical, daily net asset values for closed end funds from the date of inception to the present? Yahoo finance has daily opening, high, low, closing values, but no NAV ...
39 views

### MLE estimate of normal distribution

Probably a naive question. I am quoting this from Greene's econometrics book: "The occasional statement that the properties of the MLE are only optimal in large samples is not true, however. It can ...
10 views

### Consumer (Borrowers and Lenders) risk free curve

I was thinking about this topic: how to construct a "risk free" curve for the generic consumer. Imagine we want to price a debt security done by a private, lended by another private (say, normal ...
25 views

### Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: ...
18 views

### SRRI calculation for absolute return funds

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...
130 views

### Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
79 views

### What is the difference between these two Expected Shortfall definitions?

I have come across different ways expected shortfall is defined. e.g. $$ES_a(X)=\frac{1}{1-a}\int_a^1VaR_b(X)db$$ and $$ES_a(X)=\frac{1}{a}\int_0^aVaR_b(X)db$$ e.g. on Wikipedia's article. Are these ...
51 views

### Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
101 views

### Can you explain me these comments on high frequency data?

I was reading some slides on high frequency data and i came across these statements: data discreetness induces high degree of kurtosis and Non synchronous trading and risk premium are ...
125 views

### How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
76 views

### What are pros and cons of mean absolute deviation portfolio optimization?

In this question a paper about mean absolute deviation portfolio optimization is mentioned and in the answer a spreadsheet with an implementation is attached. What is the use of this procedure? Does ...
68 views

### How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel

Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)
109 views

### What are the properties of Max and Min functions?

I am having trouble understanding the transition from the third line to the fourth line. I see how it works through cases, but is there a general property that allows this?
54 views

### What are recent important papers on credit portfolio risk modeling?

I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I ...
21 views

### What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...