3
votes
1answer
55 views

Do Regional Central Banks have API's?

Do Regional Central Banks such as the Federal Reserve and ECB have API's to access their Statistics? I've been searching all day and haven't been able to find them. They seem to provide most of their ...
0
votes
0answers
6 views

FInding the Delta in margin based on Pricing, Unit Types, Product Mix, and Sale Types

Is there a way to find the change in margin based on the the changes in pricing, unit types, product mix and sale types? Is there a standard formula we can use? We have tried ...
3
votes
2answers
80 views

Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica

I'm a full time undergraduate student from Peru, and I'm trying to use the Geometric Brownian Motion example used in the help section from Wolfram Mathematica in order to forecast future stock ...
0
votes
1answer
58 views

API that provides Zero Coupon Bond Yield Curves?

Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to ...
3
votes
2answers
60 views

American put for negative interest rates

It is often explained, that the rule of thumb for exercising American options is to check when the benefit from the interest rate (sell the stock earlier, get the cash, put in the bank) is higher than ...
3
votes
1answer
64 views

Simulate (imaginary) asset prices using random numbers that follow a Frank Copula

My goal is to make up some imaginary asset prices. I generated random numbers that follow a two-dimensional Frank Copula with student-t and normal margin, respectively. I do not understand how to ...
2
votes
4answers
194 views

How to short an option?

It appears to me that retail investors can only buy calls and puts, but not short them through any standardized way (except maybe borrowing the option from a friend ;) ). Is that correct, or how can ...
0
votes
0answers
27 views

Black Scholes with Dilution

I've seen two ways to account for dilution when valuing a European option using Black Scholes. I'm not sure which is the correct way and why these methods differ. The two ways I've seen are: 1) ...
0
votes
0answers
7 views

Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
1
vote
1answer
45 views

Calculating Fees (Kane, Marcus, and Trippi)

Having read a chapter in Bodie, Kane and Marcus' Investment, I came across a formula I do not quite understand. It states that the percentage fee in excess of what an index fund would charge on active ...
0
votes
0answers
26 views

Return volatility or Price Volatility [duplicate]

Which is a better method to calculate volatility - Price variance or return variace or is it subjective to the use of volatility figure?
3
votes
2answers
72 views

Higher expected value and same variance implies weak dominance?

In his book Risk and Asset Allocation, Meucci writes (last paragraph) Indeed, since all the indices of satisfaction $\mathcal{S}$ discussed in Chapter 5 are consistent with weak stochastic ...
1
vote
1answer
22 views

EGARCH formulation

I am a bit confused about the formulation of the EGARCH(1,1) model. First, we have the error term: $\epsilon_t=\sigma_t*\zeta_t$, where $\zeta_t$ is white noise. Now the EGARCH(1,1) should be: $$ ...
2
votes
2answers
60 views

Binomial representation of stochastic processes

It is common knowledge that a random walk can be represented in the form of a binomial process. Is it possible to represent any generic stochastic process (including non-linear) of the form ...
1
vote
2answers
66 views

where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the ...
0
votes
0answers
18 views

How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
0
votes
0answers
22 views

Analyst vs firm claims on beta and return

The excercise and it's solution: Sunshine Mutual Fund is boasting that its expected return is much higher than the market portfolio. While the expected return of Sunshine’s portfolio is 14%, the ...
5
votes
3answers
198 views

Greeks: Why does my Monte Carlo give correct delta but incorrect gamma?

For a vanilla European call, my Monte Carlo method gives the right option price and delta but the wrong gamma. In particular, the value of gamma varies wildly each time I run the method. I estimate ...
0
votes
0answers
22 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
0
votes
1answer
27 views

Diebold-Mariano test

I am trying to use the Diebold-Mariano test but it doesnt work for some reason. Here is my code: dm.test(maegarch14,maeegarch14,h=126) where ...
4
votes
1answer
96 views

Why the difference between SPY and ^GSPC?

Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since ...
1
vote
1answer
78 views

Covariance Matrix vs. Volatility Matrix

Consider a general multidimensional market model in which each of $m$ stocks is driven by $d$ Brownian motions (as in Shreve II, p. 226), viz. $$ dS_i/S_i = \alpha_i dt + \sum_{j=1}^d \sigma_{ij}dW_j, ...
0
votes
1answer
58 views

Calculate the realised volatility from a time series

Does anybody know how to calculate the realised volatility from a series for a certain time frame? For example, I am looking at 5 days, 21 days, 63 days, 126 days and 253 days. thanks
1
vote
1answer
15 views

Measure difference between estimations and historic returns

For every day in a year, I have the return on an asset and the CAPM estimation for the return. I want to measure the average difference between the set of returns and set of estimations. So far, I ...
1
vote
1answer
62 views

What is the distribution assumption of the black scholes model

As per wikipedia the Black Scholes assumption is: (...
0
votes
1answer
49 views

Do I need simulink to model the risks of an option portfolio

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it. So I am guessing I will need : Stochastic calculus Linear algebra Stats/Probability Some ML ...
-3
votes
1answer
54 views

Constant decreasing volatility, GARCH forecasting

I am trying to forecast the volatility using GARCH modelling in R. I fit an ARMA(1,1)-GARCH(1,1) model, but my sigma predictions are constantly decreasing. Anybody know why? ...
0
votes
1answer
50 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
6
votes
1answer
115 views

What's Risk-Neutral in an Interest Rate Model?

In Shreve II, on p. 265 he states the Hull-White interest rate model as $$ dR(u) = \left( a(u) - b(u)R(u)\right) dt + \sigma(u)d\tilde{W}(u), $$ and then mentions "...$\tilde{W}(u)$ is a Brownian ...
2
votes
1answer
33 views

What is the borne function mentioned in this paper?

On page 16, first paragraph of this paper, the authors introduce a function called "borne", which divides the normal distribution into n ranges of equal size, without citation. The definition is clear ...
0
votes
1answer
21 views

Residuals in the Ljung box test

does anybody know what type of residuals is used in the Ljung box test in R? raw or standardized? Because basically when I fit a GARCH model using garchFit, the summary() function gives me all the ...
1
vote
0answers
41 views

Zero rate vs. yield on coupon bearing bond

in Hull's solutions manual of Options, Futures & Derivatives (8th edition), there's question 4.7, in which is asked to put the following in descending order: a) the five-year zero rate, b) the ...
1
vote
1answer
72 views

Tradeable => Satisfies pricing equation?

In Wilmott's third volume, on p. 857, he tries giving an insight into the market price of risk by showing what it is for traded assets. For this he constructs a portfolio of two different options: ...
0
votes
2answers
32 views

Corporate finance exercise book

I'm preparing a corporate finance exam and I need a book with illustrated exercises that make you really understand the subject, since the written exam is not much mechanical, but more similar to ...
2
votes
1answer
44 views

Zero rates coupon bond calculation

In order to do cash flow mapping I need zero rates for corporate bonds , where to find or how to find the o rates ?
0
votes
1answer
36 views

Apply CAPM using returns on a foreign currency as the market returns

I want to analize Bitcoin returns using the CAPM. I was thinking if it makes sense to compare returns of (BTC/USD) against (EUR/USD), taking the latter as the market returns. However, since EUR is ...
0
votes
1answer
36 views

How do I interpret yield curve data points given by the US Treasury?

Given the Daily US Treasury Yield Curve Rates for a specific date I will fit the curve with the cubic spline method, but first I need to know how to use the data points given by the Treasury. For ...
2
votes
1answer
45 views

Beta Constrained Markowitz Minimum Variance Portfolio - Closed Form Solution

This question is related to recent rule changes in the Quantopian Open. I am trying to figure out a closed form solution to a beta constrained minimum variance portfolio problem but it doesn't seem ...
1
vote
1answer
23 views

Why is “Deferred revenue” a non-monetary liability?

Why is "Deferred revenue" treated as a non-monetary liability during temporal method FX translation while "Accrued Expenses" is treated as a monetary liability?
1
vote
1answer
61 views

Forecasting using GARCH in R

I am using the predict and ugarchforecast functions in R. When I fit my models and try to forecast, I get either only increasing or decreasing values for sigma, does anyone know why? Thank you ...
0
votes
2answers
82 views

Uses of Volatility models

I'm reading about volatility analysis here http://vlab.stern.nyu.edu/doc?topic=mdls. There are many variations of GARCH. My question is: rather than trial-and-error approach, is there any systematic ...
1
vote
1answer
28 views

importing columns of returns data into python from excel/csv [closed]

I'm fairly new to the quant finance space, and I was hoping to get some guidance. Say I have a csv/excel file with columns of daily returns data for various asset classes or securities (one column per ...
0
votes
1answer
29 views

European option and American option are equivalent in this case?

This is Question No.11 from 2007 May MFE Exam. For a two-period binomial model for stock prices, you are given: (1) Each period is 6 months. (2) The current price for a nondividend ...
0
votes
1answer
39 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
0
votes
1answer
26 views

Compute cross-gamma

I am trying to use delta-gamma method with montecarlo simulations to calculate the VAR of a portfolio consisting in options and equities. To use the method I need to compute a gamma matrix, that has ...
2
votes
1answer
51 views

One state variables implies perfect correlation of returns?

In Vasicek's seminal 1977 paper "An equilibrium characterization of the term structure", he states the bond price $P(t,s)$ is a function of the spot rate $r(t)$, $P(t,s) = P(t,s,r(t))$. He then ...
2
votes
1answer
136 views

Quantitative Finance Programming Language

Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
1
vote
1answer
65 views

Transaction costs on option trades

It looks like the commissions alone for a non-index option trade is around 2-5%. For example, a BAC June ATM Call is currently trading at \$0.20; Interactive Brokers charges $0.7 per contract, which ...
5
votes
4answers
209 views

Why is $C(t,S_t)/B_t$ a martingale?

In the derivation of the Black-Scholes formula given by Joshi (extract below), he says $C(t,S_t)/B_t$ is a martingale. Why? I understand this can be deduced from the Black-Scholes PDE since the drift ...
4
votes
2answers
89 views

Derivation of Stochastic Vol PDE

A couple questions regarding stochastic vol PDE derivation. Following Gatheral, a general stochastic vol model is given by \begin{align*} dS(t) & = \mu(t) S(t) dt + \sqrt{v(t)}S(t) dW_1, \\ dv(t) ...

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