3
votes
1answer
117 views

Free source of historical ETF units outstanding data?

I am looking for a free source of historical daily data of the number of outstanding units of ETFs and ETNs. On a Bloomberg, this would be "VXX.SO Index HP" or something like that. Does anyone know ...
2
votes
2answers
180 views

asian option – exotic option – real data, authentic examples?

I would be pleased if any of You can give me the real example of an asian option (or other exotic option) that is being traded or that is offered by some institution. I have been searching the whole ...
1
vote
1answer
74 views

Why is the volume of a product like SHV so high?

The ETF SHV has not moved much in the last five years. How is it that its volume is as high as 583609?
1
vote
1answer
100 views

Jump-Diffusion Processes

This last quarter of college for senior project, I will be doing research on the application of jump-diffusion processes to pricing derivatives. I was wondering if anyone could recommend any resources ...
5
votes
0answers
131 views

“Extract” the density of the underlying, given the implied volatility “surface”

Suppose given implied volatility quotations $\widehat{\sigma}(T_i,K_j)$ of call options on an underlying $S$ for various expiries $T_i$'s and strikes $K_j$'s. I am interested in the following problem ...
1
vote
0answers
91 views

Create Markets Bubble Indicator

I am trying to replicate a Bubble Indicator described here. The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the ...
-4
votes
1answer
128 views

Risk Neutrality Necessary for Dual Delta Calculation?

I have an option chain for a specific expiry date. Then calculate dP/dK numerically for each pair of strikes. My hunch is that this calculation is not risk neutral in the strictest sense of the word ...
0
votes
0answers
125 views

How to optimally hedge construction loans with interest rate swaps?

We are a borrower with a construction loan that is pay floating. At the inception of the loan, we entered into a pay-fixed/receive-floating interest rate swap with a growing notional profile that ...
2
votes
2answers
954 views

What does “convergence” in Monte Carlo simulation mean?

I have read about convergence in terms of MC simulation for derivative pricing, but I am not clear on what it exactly means. Let us suppose I price an option 100,000 paths twice and both result in the ...
0
votes
1answer
61 views

Simulating a GBM with martingale condition - Ito process moving downwards

I want to correctly simulate a $\mathcal{Q}$ - martingale $S$, which is a geometric Brownian motion and an exponential of a process $X$, \begin{equation} X_t = X_0 + \mu t + \sigma B_t = X_{t-\Delta ...
2
votes
1answer
154 views

Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model

Confused about the unconditional covariance matrix in a DCC GARCH model. Could anyone help me understand it? My understanding is that we get the unconditional covariance before based on the data sets. ...
3
votes
1answer
79 views

ETNs as bank funding

I've just read the article in the link below and would like to know if someone can elaborate on a statement. I have added the whole paragraph, but highlighted the part about the use of ETNs as cheap ...
1
vote
2answers
281 views

Implied Volatility Calculation

I want to calculate the implied volatility from the option data that I took from Bloomberg (call Option written on S&P500 index with the maturity of 19-Dec-2009 and strike of 1300), but volatility ...
2
votes
1answer
89 views

Relationship between ADR in USD and original stock in GBP - Drift in price

For tax reasons, I switched a position I had in the HSBC London GBP listing into the USD ADR. The ADR represents 5 shares of the GBP listing. My understanding was that since at all times 1 ADR = 5 UK ...
3
votes
1answer
84 views

What is the relationship between arithmetic versus geometric averages and simple versus logarithmic prices?

I know that the geometric mean is used in order to make percentage returns across time comparable. Similarly, I know that log prices make percentage returns comparable for example when prices are ...
2
votes
2answers
151 views

What is the legal difference between ETFs, ETNs and ETCs

I would like to understand how exchange traded funds (ETFs) can be classified in legal terms. According to Vanguard, there are five ETF structures Open-End Funds Unit Investments Trusts Grantor ...
1
vote
1answer
73 views

Call option pricing using CCR model - derivation problem

I'm viewing the following derivation of a Call Option price using the CRR model. There is one piece of the derivation which I cannot understand. \begin{align} C_0 &= e^{-rT} \sum_{i=0}^{N} ...
1
vote
3answers
233 views

Building custom indices; getting data from web; stats analysis; Python or R?

I would like to build a couple of custom indices. I would like to be able to enter ticker(s) into an input and have ohlc, volume, qualitative ...data downloaded from yahoofinance, google finance, ...
3
votes
1answer
198 views

Why future (forward) volatility smile is important to path dependent option?

I was wondering why future volatility smile is important to path dependent option and American type option such as Bermudan swaption. It would be best if someone could provide a reference article as ...
2
votes
1answer
221 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
1
vote
2answers
219 views

Semi-variance/Downside Risk, what about the rest of the covariance matrix?

I just bumped into a rather interesting article from wikipedia : http://en.wikipedia.org/wiki/Downside_risk where they define the semi-variance also called Downside risk, which bascially only ...
3
votes
1answer
139 views

Simulating Brownian motion with jumps

I am trying to improve my understanding of jump processes. As a first step, I want to simulate sample paths for the process $$dX(t) = dw(t) + dJ(t)$$ where $dw(t)$ is a Brownian motion and $dJ(t)$ ...
2
votes
2answers
147 views

Calculate efficient frontier using fPortfolio with incomplete set of returns

I want to calculate the efficient frontier for a set of 140 assets using returns from the past 10 years. However, some of these assets came into existence only more recently, so for some assets I have ...
9
votes
2answers
425 views

Best written quantitative finance papers

I have some writing experience, but I want to take my writing skills to the next level. I am particularly interested in writing quantitative finance papers for journals like Journal of Portfolio ...
0
votes
1answer
28 views

Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
3
votes
1answer
1k views

Difference between the two Bloomberg codes

Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can ...
1
vote
2answers
334 views

How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?

I have mean reverting data (Difference of 2 stock prices, that I want to do pairs trading on). I want to simulate my own mean reverting data as similar as possible to the real data that I have. The ...
1
vote
2answers
213 views

Put-Call relationship for Option on Forward

The forward price of a forward contract maturing at time T on an asset with price St at time t is, $$ F=S_te^{(r-q)(T-t)} $$ where $r$ is the risk free rate and $q$ is the continuous dividend rate ...
0
votes
1answer
471 views

Portfolio optimzation : efficient frontier with respect to risk aversion parameter with R

I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter. The problem I have is that by increasing the risk aversion parameter I think ...
1
vote
1answer
83 views

Hedging behind the decomposition of american put options

Now I'm reading a paper:"alternative characterizations of american put options" , the authors are Carr,Jarrow,Myneni http://www.math.nyu.edu/research/carrp/papers/pdf/amerput7.pdf After theorem 1 ...
1
vote
1answer
38 views

What is the gross accounting relation of Cobb-Douglas function?

We have Cobb-Douglas function like this $Y=AK^\alpha L^{1-\alpha}$, in one of the book, it deduce like this: How can we get this formula? $$\frac{\Delta Y}Y = \frac{\Delta A}A+\alpha\frac{\Delta ...
1
vote
2answers
116 views

Value a structured note with Black-Scholes

Apologies in advance if this seems like a straight forward question but I'm really unsure how to go about it. Say I have the payoff for a structured note benchmarked against an index and I have a ...
1
vote
2answers
93 views

Garch for covariance matrix?

I have seen plenty of literature about GARCH on estimation volatility. how about covariance? There are plenty of risk models depending on the covariance matrix. I guess we can assume the correlation ...
0
votes
1answer
183 views

How to forecast bond price with time series

I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
1
vote
3answers
267 views

Implied Vol vs. Calibrated Vol

Consider the Black-Scholes model, in which the log stock return over a time period $\Delta t$ is given by $$ \log(S_{i+1}/S_i) = (\mu - \sigma^2/2)\Delta t + \sigma \sqrt{\Delta t} Z_i, \qquad Z_i ...
2
votes
0answers
122 views

How can I do a dynamic GARCH model using extended Kalman filter in R?

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
2
votes
1answer
72 views

Effect of massive volatility on BS formula

I am experimenting with very high volatility on the standard Black-Scholes formula. I set risk free to zero, time to expiry to 1, volatility to 1 (=100%), and underlying to 1. Then I simulate the ...
1
vote
1answer
320 views

How to fit a SARIMA + GARCH in R?

I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model. I'm using rugarch: model=ugarchspec( variance.model = ...
0
votes
1answer
155 views

Can I do a GARCH model to forecast a time series?

I read this paper https://research.aston.ac.uk/portal/files/240393/AURA_2_unmarked_Energy_demand_and_price_forecasting_using_wavelet_transform_and_adaptive_forecasting_models.pdf the two authors ...
16
votes
3answers
2k views

Please give a step-by-step explanation on how to build a factor model

Factor models such as Fama-French or the other ones that are partially summarized here work on the cross-section of asset returns. How are the factors built, how are sensitivities/coefficients ...
1
vote
1answer
53 views

Lease Accounting / FX Embedded Derivatives [closed]

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate ...
0
votes
1answer
90 views

What are good online resources for credit portfolio managers?

I am aware that this question is not the typical quant.SE question, BUT I couldn`t find any site/forum/wiki, where credit portfolio managers hang out to share their experience and their methods. ...
1
vote
1answer
116 views

What are the different Credit Portfolio Management models and what are their advantages?

CreditMetrics, RiskMetrics(Algorithims), etc. are all different risk methodologies used by many banks. However, what are their advantages/disadvantages? I would appreciate your replies!
0
votes
1answer
642 views

How do I get a list of yahoo tickers for NYSE

I use Yahoo finance to get financial data. How do I get a list of all the ticker symbols in NYSE, NYSEMKT and NASDAQ stock exchanges. (Or even just one of the exchanges)
1
vote
0answers
68 views

About OpenMAMA, OpenMAMDA and OpenMDM

In the Linux Foundation are hosted the OpenMAMA and OpenMAMDA (found in that link too) projects and I'm wondering if has someone worked with those projects and if he/she could give me a more detailed ...
3
votes
1answer
728 views

What is the difference between a benchmark yield curve, funding curve and a basis spread curve?

I am trying to understand why these curves are important, and what they are used for in the industry today (if not at all).
2
votes
1answer
119 views

Effect of vol smile on risk neutral probability of ITM

I was asked in an interview about how the vol smile affect the price of a binary option, which is essentially the Prob(ITM) under risk neutral measure. My thought is that the implied vol at spot ...
0
votes
0answers
41 views

Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
1
vote
1answer
81 views

binomial option pricing model - problem with risk-neutral probability

I have a little problem: in the binomial option pricing model, the price of a european derivative security $V_{n}$ satisfies: $V_{n}=[1/(1+r)]*[\tilde{p}*optionUp +\tilde{q}*optionDown]$ where: ...
2
votes
0answers
45 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...

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