# All Questions

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### justification of square root process

In finance, many stochastic processes $X(t)$ are defined via $$dX = \text{(some drift term)} dt + \sigma X^\gamma dW_t$$ with $\gamma = 1/2$ (for instance the Heston model ...
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### What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory?

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory by kerry back? I wonder how come a beginning graduate textbook is so ...
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Is there any places (like EDGAR) that I can download Earnings Conference Call transcripts in bulk? Thanks.
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### Computation of Expectation

This question has so long preoccupied my mind.Please help me to solve it. Question: Assume $X_t$ described by the following stochastic differential equation dX_t^{\,\alpha}=\alpha X_t^{\,\alpha} ...
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### How to get list of all symbols in fred database?

I am trying to query every single series in the fred database using r. I have checked out both the quantmod and fImport packages, and they work fine, though it seems that quantmod fits my use a bit ...
139 views

### Intuitive Explanation for Volatility Smile for Equity

I am trying to understand the intuitive reasoning for why volatility is more for deep OTM/ITM put/call then ATM..(why Simles for equity) Why ATM will not have more volatility as deep OTM/ITM option ...
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### Why square root of volatility in Heston model?

Why do we model it as sqrt root of v(t)? Is that because we don't want the volatility to go negative? If this is the case, can we model it as square of v(t)?
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### What P&L netting should one use when a strategy has trades in two different geographic locations?

I am familiar with the FIFO methodology of netting buys and sells to obtain a realized P&L and outstanding position. Suppose there's a strategy which runs in two different places A, and B and ...
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Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
40 views

### Approximating the IV of an underlying from Individual Options IV

Is it possible to get a calculation of IV from the volatility on components of the options chain? EG I have this data: ...
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### Evaluation of the semi-closed Heston pricing formula for call options

I'd like to know, how the integral part of the semi-closed Heston pricing formula for call options can be simulated for a given set of model parameters. Monte Carlo simulations shoud work for this ...
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### How does one estimate the probability of the Fed increasing its benchmark rate based on Fed funds futures?

How was this 67% probability calculated from Fed funds futures? Fed funds futures show a 67 percent chance the central bank will increase its benchmark rate by year-end from virtually zero, ...
130 views

### How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
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### Does it make sense to interpret autocorrelation and box test on 5 data points?

I am trying to see if after I trade a stock the price movements at 2, 5, 7, 10, 30 and 60 seconds after exhibit any autocorrelation. Below I have the returns from my trade price to the trade 2,5,7,10 ...
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### Monte Carlo, convexity and Risk-Neutral ZCB Pricing

I've built a simplistic Excel monte carlo model to price a zero-coupon bond, but it came up with a slightly unepxected result so I wanted to confirm whether my maths is just a little rusty or my model ...