# All Questions

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### Solving the Jamshidian Zhu (1997) PCA short rate model

This is my first time posting a question. I have very limited experience in the field of stochastic calculus and interest rate modelling. I have been tasked with implementing the short rate model ...
68 views

### Arbitrage Strategy Proof in Bjork

In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ this proposition Proposition 2.9 Suppose that a claim X is reachable with replicating portfolio h. Then any price at t=0 of ...
205 views

### Do quants need to know Accounting?

Do quants need to know Accounting? In my school's undergrad Quant program, we had Financial Accounting and Managerial Accounting, which were listed as prerequisites for our undergrad Finance ...
87 views

### Johansen-Ledoit-Sornette Model

im trying to predict crash time by using lppl model(JLS). My codes can run, but the error is to high....I try with some other initial values, but still can't reduce the error.....How i can reduce ...
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### Is the market really Normal. Is Implied Volatility Historically Correct?

Ok. So as of 6/10/2014's market close the SPY was 195.6 and the VIX closed at a ridiculous recent low of 10.99. Now because the VIX (IV) is the implied volatility of 1 month contracts on the SPX and ...
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### BInary Option implied volaltility

How is implied vol calculated if the quoted prices are out of the range for any possible volatility? E.g. Current quote on CBOE for options expiring on Aug 16, 2014 ...
188 views

### Is node.js being used in systematic trading software?

I have a project where I would like to track some tick data and create some indicators to follow it. I am thinking of using Node.js for this project, but I would like to know from those in industry if ...
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### VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
141 views

### PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab

I'm trying to use the Fourier inversion formula to plot the PDF of an Affine Stochastic Intensity Reduced Form Credit Model, given its characteristic function. The characteristic function of an ...
95 views

### calculate gamma value using finite difference method

I try to use the finite difference method to get the approximately gamma value, but there is an issue I can't solve. First, I set $h$ to 1 basis point of underlying asset value, but the result is not ...
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### Estimating the Hurst exponent in short terms in developed markets

In the Proceedings of the Estonian Academy of Sciences, Physics and Mathematics (2003), I saw the following sentence: Surprisingly, in the case of developed markets, short-term $H$ results showed ...
108 views

### Directional/Non-Directional Risk

Can someone explain to me what is direction/non-directional risk? Went through few sites but couldn't understand much.
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### Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

I am trying to determine a step-by-step algorithm for calculating a portfolio's VaR using monte carlo simulations. It seems to me that the literature for this is extraordinarily opaque for something ...
152 views

### Boundary condition for Asian Option under Black-Scholes model

I am looking at Kemna and Vorst's paper: A PRICING METHOD FOR OPTIONS BASED ON AVERAGE ASSET VALUES. see http://www.javaquant.net/papers/Kemna-Vorst.pdf Let \$\text{d}S_t = S_tr\text{d}t + ...