All Questions

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I am looking for any reference where the following problem was addressed: given the list of trades of a trader teach an AI to replicate that trader's strategy. There are several well-known results ...
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Roll convention applied to weekend swap maturity date

Suppose a swap is booked with maturity on June 19, 2016 (which is a Sunday). Accruals are adjusted according to the modified following roll convention and follow U.S. holidays. For the last cashflow ...
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Model reference price of Limit order book

first of all, the description of this Stackexchange forum says its for professionals or academics. I'm doing a lot of self studying and with that I was able to understand some white papers but still I'...
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Programming language to compliment Finance degree [closed]

I've read a few questions regarding this, but want some new (more recent) opinions. I'm in the process of pursuing a degree in Finance, complimented with some Math and a sprinkle of Computer Systems. ...
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Outlier removal, issue with TSO function

I'm trying to detect outliers within a financial time series which represents the ratio of cash distributions to equity holders as a percentage operating earnings for the period. Visual inspection ...
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The difference between the binomial model and monte carlo simulation

In my project I have focused on the least squares method by Longstaff and Schwartz to find the lower bound of the American put option. I also focused on the dual method to find the upper bound of the ...
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What is the most stable, non-trivial dependence structure in finance?

The highest rated answer to the question on What concepts are the most dangerous ones in quantitative finance work? is this one: Correlation Correlations are notoriously unstable in ...
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Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
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How to convert Jensen's Alpha from monthly to quarterly observations

I am being puzzled while calculating jensen's alpha for single stocks. I have monthly returns data and have calculated alpha for each stock on a monthly basis (used 36-month rolling window for beta ...
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How should I understand expiration dates?

The following is an excerpt from Introduction to the Mathematics of Finance by Roman: Expiration Dates The last trading day of an option is the third Friday of the expiration month and the ...
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Implied Expected Stock Return from European Option Prices

We can calculate the expected stock return (under the measure $Q$) from at-the-money ($K=S_t$) option prices as: $$E\left(\frac{S_T-S_t}{S_t}\right)=\frac{e^{rT}}{S_t}(C_t-P_t)$$ The result is ...
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NOK NOWA overnight day count

The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ...
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Kalman vs simple OLS

I am studying how some local and global variables (x and alpha) affects a local variable y have the following regression $y_{it} = \sum_{j} \beta_{ij} x_{itj}+\sum_j \delta_{ij}\alpha_{jt}+\epsilon$ ...
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What is the unconditional variance for a GARCH model?

I want to use a Matlab script to calculate Heston Nandi GARCH prices. I found an appropriate script online and it asks for the "unconditional variance" as an input. How do I calculate the appropriate ...
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Brexit implied probability

It is possible to bet on the Brexit e.g. on this page: https://sports.ladbrokes.com/en-gb/betting/politics/british/eu-referendum/uk-european-referendum/220800266/ The quotes are 8/15 for remain, and ...
Assuming my underline asset price follows the process: $$d\ln (F_{t,T})=-(1/2)\sigma ^2e^{-2\lambda(T-t)}dt+\sigma e^{-\lambda(T-t)}dB_t$$ How should I derive an option price formula?