-1
votes
1answer
60 views

Why do two perfectly negatively correlated assets not return 0%? [closed]

So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you ...
0
votes
0answers
18 views

semiannual bond equivalent yield spot rates

I can't seem to find the answer to this question anywhere. This is for CFA study purposes. Semiannual bond equivalent yield spot rates...how do I know if they are annualised or not? I just saw an ...
4
votes
1answer
73 views

Why buy/sell a forward starting option?

More precisely, in equity markets, why would one prefer to buy a forward starting option over a vanilla option ? What about the selling side ?
0
votes
1answer
31 views

What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
0
votes
0answers
27 views

Negative probabilities - what are the two ordinary pgfs that correspond to the gf of a half-coin?

In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$: $$G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
1
vote
0answers
52 views

Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
0
votes
0answers
23 views

Obtain historical quotes programmatically

What do people use to get all the historical daily quotes (high, low, open, close) for all the stocks traded on an exchange during a period of time? So, suppose I want this info for all stocks traded ...
0
votes
0answers
7 views

Proxying returns for PE and Alternative Investments

The data for these asset classes don't go back very far. Anyone have any methods to proxy their "index" returns for analysis?
0
votes
0answers
10 views

is it necessary to make currency change in fama french

is it necessary to change the currency of return and market cap from Malaysian currency to dollar , before dividing the stocks in small medium large.
-1
votes
0answers
35 views

Python Calculating Drawdowns?

Simple question for a newb quant. I'm writing a program to calculate drawdown and duration for any given strategy. The problem is, if my cumulative returns start at zero and go negative immediately, ...
0
votes
2answers
14 views

'Anchors' for REER/PPP estimates

I'm having trouble trying to understand the concept of 'anchors'. I came across the term in a sentence that said "we use a relative purchasing power parity approach that is based on the longterm ...
0
votes
1answer
36 views

Can the net portfolio's beta be different from the sum of long and short betas of the portfolio?

The way I calculate it is summing up the weighted beta of long and shorts but I saw a table where this wasn't the case so I am wondering if this is not the correct way.
0
votes
1answer
26 views

Moody's, S&P, Fitch revenues FOR COUNTRY!

I need a variable which identifies the possible conflict of interests between credit rating agencies and countries, although they do not pay in order to be rated. Such a variable could be the ...
0
votes
0answers
28 views

Why is market cap in YQL other than on Yahoo finance web page?

I am trying to figure out what the market cap for Clearside Biomedical, Inc. (CLSD) is different when asking for it with YQL than on Yahoo finance. Correct is Yahoo finance: http://finance.yahoo....
0
votes
1answer
28 views

Extreme value theory expected value of GPD

We're using extreme value theory to model tail risks on our portfolio. After we choose the threshold, we fit generalized Pareto distribution to our data over the threshold. The expected value of GPD ...
1
vote
3answers
72 views

Is this type of currency index a thing already?

I was considering making some sort of free index data set that would basically attempt to estimate changes in the value of a currency against all other currencies. So I came to thinking if I took ...
0
votes
2answers
41 views

How to interpret my Four-Factor Model results?

I am currently writing my thesis using the Carhart Four-Factor Model. I got my results but I am not sure how to word them. Coefficient on my SMB is 0.22. Wording: if small companies returns are 1% ...
0
votes
0answers
29 views

How can I improve the pricing simulation of basket option?

I valuated the price of below basket option Underlying assets are three global stock index : Eurostoxx 50, S&P500, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months ...
3
votes
1answer
67 views

Overestimating or underestimating risk?

This question might be silly, but I want to be sure of myself. If one has Value-at-Risk forecasts and there are zero VaR breaches (i.e. no return value is smaller than or equal to the VaR value) then ...
0
votes
0answers
23 views

help with p&L vectors historical simulation

My question is about the calculation of the Value at Risk based on historical simulation. I have a table which contains the P&L-vectors of each day of one year. But I don't know what is contained ...
0
votes
0answers
98 views

Do Options and Other Derivatives follow any mathematical laws?

I'm interested in abstracting out some properties of options and other derivatives for software library I am implementing. I was wondering if options follow any sort of mathematical laws, for example, ...
0
votes
0answers
31 views

Credit Risk Modelling for Portfolio of Bonds and CDS's

I have a portfolio of bonds and CDS's. I want to compute some statistical measures (VaR, CVaR, CreditVaR) which may help access the risk of the portfolio. So far, I have used the CreditMetrics (...
0
votes
2answers
50 views

How to interpret Carhart Four-Factor Model?

I am reading up on the Carhart Four-Factor model. Let's say there a regression of stock returns on alpha, RM-RF, ...
4
votes
2answers
60 views

How to replicate a correlation swap using only vanilla options and underlying

Assume I have two assets A and B that are positively correlated most of the time. I'm trading a strategy based on this correlation. Is there a way to protect myself in the event that the correlation ...
0
votes
1answer
27 views

example regarding zero coupon bonds

This example is from Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by Carmona, René, Tehranchi, M R. I am wondering if the calculation is correct?, he says ...
1
vote
0answers
66 views

Estimate Volatility process

How can I estimate the process $\sigma_{t}$ given in the following paper: Spot volatility estimation for high frequency data. J. Fan, Y. Wang. Does anyone have an idea? Free source Edit: Iam very ...
0
votes
1answer
26 views

Yield Curve Movement: Risk/Reward versus Safe Haven Demand & Monetary Policy Expectations

UK leaves Europe, credit rating get's downgraded. High uncertainty, higher perceived risk - based on just risk/reward, would expect yields on UK debt to increase. They did the opposite. UK government ...
0
votes
0answers
32 views

Rblpapi-Getting different numbers than Bloomberg

I used the following code to pull day to day total returns (net dividends) from Bloomberg Terminal for a list of securities I have. When I compare my data using the GF function in Bloomberg, I am ...
1
vote
1answer
34 views

Why are the greeks for the underlying stock 0 with the exception of delta?

In my textbook that I am self-studying from it is given that (assuming the Black-Scholes framework): $\Delta_{stock} = \partial S / \partial S = 1$ All other Greeks for the underlying stock = 0 I ...
3
votes
1answer
47 views

Expected number of days inside a corridor

Is there a simple (ish) approximation for the expected number of steps a random walk is within a set of bounds over a given time period? - in particular if i presume log normal and constant vol. If i ...
0
votes
2answers
47 views

Do yield curves only show market expectations, or is there more to them?

I am hoping to understand 'Brexit' impact on UK yield curves. Specifically, government liability yield curves (so yields based on UK government bonds - Gilts): The Background On 24th of June - the ...
1
vote
3answers
88 views

Stock Exchange Software

For weekends project, I would like to setup a "simulated" stock exchange on my dev server (windows/linux), ie. running my own NYSE server ? what options do I have, open source wise (can be c# or java ...
1
vote
1answer
50 views

Calculating the greeks for Quantlib Python Swaptions

So I have created a Swaption object and can get the premium with the NPV() function. However, I would also like to calculate the greeks (eg. delta, vega). From some searching, I found that vega can ...
0
votes
0answers
29 views

Estimating VaR (Value At Risk) with only 3 days of data

I've been given daily stock prices on Day 1, 2 and 3 for 10 stocks (hence 30 data numbers in total) and asked to approximately the 1-day 95% VaR (Value at Risk) on Day 3. I'm not allowed to use any ...
3
votes
2answers
196 views

GARCH models vs VIX

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. VIX (equivalents) ...
0
votes
1answer
32 views

Fame-French alpha for a single stock

I want to study the impact of corporate culture on risk-adjusted stock returns. After quantifying corporate culture I wanted to use panel methodology (I have a sample of 100 S&P500 companies over ...
1
vote
1answer
22 views

Finding optimal drift, importance sampling, least square monte carlo

I am working with Importance sampling for Least Squared monte carlo and have now problems understanding the implementation of the Robbins-Monro algorithm for finding the optimal drift for finding ...
0
votes
0answers
21 views

Binomial Algorithm proof by induction in bjork

I'm trying to proof proposition 2.24 from Bjork by induction, but I haven't been so lucky so far. Could anyone help me?
0
votes
1answer
27 views

How to get the average monthly percent excess returns for portfolios formed?

I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to ...
1
vote
0answers
40 views

Example Scalar Model Extended Kalman Filter

I have a simple question. I think not a question is, is a request. This month I have been studying how to understand and implement the Kalman filter algorithm for simple models such as the local level....
1
vote
1answer
18 views

How does this statement about the price of a prepaid forward on a stock follow?

I am self-studying for an actuarial exam on financial economics. This statement in the following problem/solution seems to imply that the prepaid forward price on a stock is the same as the prepaid ...
1
vote
2answers
134 views

A paradox about the American Put option price

Suppose a put option on a stock $S(t)$ following a Geometric Brownian motion is given, with strike $K$ and maturity $T$. Let us denote its price at time $t$ by $p(t,S(t))$. Now, by no-arbitrage ...
2
votes
1answer
61 views

What is the difference between OIS Swap vs Basis Swap?

What is the use of OIS Swap Curve vs. Basis Swap Curve?
3
votes
2answers
105 views

GARCH variance vs standard deviation for volatility

in my series of questions related to GARCH and volatility I finally think I've got a decent grasp on it. You guys have been great help clearing up my questions for me. My next question is just a ...
3
votes
1answer
120 views

How to price this basket option?

Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ...
4
votes
4answers
108 views

Compare two time series with different frequencies

Lets say I have two time series $X_t$ and $Y_{t,q}$. As an examples, lets say $X_t$ is a series that measures year over year changes in the level of output of a good (say number of widgets). So $X_t = ...
1
vote
1answer
25 views

Explain Four Basic Axioms of Maximising Expected Utility

I begin learn PRM , Someone help me understand Four Basic Axioms of Maximising Expected Utility most intuitive way .Thank you very much
0
votes
1answer
29 views

Transforming log return volatility into standard return volatility

If I have a forecasted volatility of the log returns of say, 0.03, this is obviously transformed relative to the log I took of the returns. It strikes me that I should raise ...
1
vote
1answer
66 views

Writing an Options Strategy Backtester

I've been doing some digging, and this question has been asked many times in various forms over the years - Backtesting Options Strategies in R Are there any good tools for backtesting options ...
1
vote
1answer
36 views

Show if Arrow price vector $\pi$ exists, then the law of one price hold

Now, the proof I have read goes like this: Take assets 1 and 2, entirely identical. By assumption there is a pricing vector, i.e. $\sum_s\pi_sd^1_s=q^1$ and $\sum_s\pi_sd^2_s=q^2$ where $d^i_j$ is ...

15 30 50 per page