# All Questions

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Lets assume I want to normalize some stock data ( prices or log prices) to compare for different types of correlation for example. And here is the question how should I normalize: a) by subtracting ...
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### Replicating portfolio of a “delayed” call on zero-coupon bond

Let $T < T_2 < T+D$ and $B(t,T)$ the value at time $t$ of zero-coupon bond of maturity $T$. We suppose its volatility to be a deterministic function of $t$ and $T$. Let's consider a "delayed" ...
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### Determining swaption prices using the characteristic function

There exist multiple techniques to determine call option prices that make use of the characteristic function. These techniques boil down to some integral expression of the option price in terms of the ...
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### Identity given in Shreve volume 1

in a solution to a question about random walks (5.3 i), Part of the answer includes the identity: $$\ln \frac{1+\sqrt{1-4 pq}}{2p}=\ln\frac{1-p}{p}$$ note that $p+q=1$ and $0<p<1/2<q<1$. ...
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### How to understand the upward trend of currency hedged euro/japan equity ETF

The quantitative easing implemented in Euro zone & in Japan has resulted in two outcomes Massive inflow of money into market that raised the stock index, and The weakening of euro/yen compared ...
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### Stationary distribution for square root process

Consider the process, $$dX_t=(-aX_t+b(1-X_t))dt + \sqrt{X_t(1-X_t)}dW_t$$ How do I show that the stationary distribution for the transition density is a beta distribution? I tried expanding the ...
57 views

### bond price formula in excel

I inherited a excel spreadsheet that has the following code to price a bond given coupon and current yield ...
203 views

### CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
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### How to interpret the French-Fama SMB factor?

I regressed ten portfolios on the Fama French factors and get significant loadings on the SMB factor. However, if I look at the actual average market cap of these portfolios, the portfolios with the ...
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### How to properly assess the costs of replicating an index via futures contracts?

I would like to validate this sentence, coming from a WSJ article: The cost of holding a Eurostoxx 50 future, for example, has climbed from an average of 0.07% of the contract value since 1998, ...
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### Daily PnL Calculation with currency conversion and multiple trades at the same day

In my project I increase and decrease my position many times during the day and leave a part of the position open. Through these many trades the position can flip from long to short. At the end of the ...
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### How to compute the Coskewness Matrix in excel?

I'm triyng to compare two portfolio based on same sample of equities returns. And i want to know how to compute the coskewness matrix without using VBA, only in excel. Even a simple example with three ...
23 views

### scale alpha forecasts to align with covariance matrix

I have a set of monthly alpha forecasts and my covariance matrix has been annualized. I would like to do a mean variance optimization with a linear tcost penalty term. How do I rescale my alpha ...
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### Which bond corresponds to which curve?

Bond X has a coupon Bond Y is a zero-coupon bond (Maturity 2 years) Bond Z is a zero-coupon bond (Maturity 10 years) The following graph is given: X-axis: yield curve, Y-axis: price Question: ...
100 views

### Where can I get historical fundamental data for multiple companies in a single CSV file?

Summary I seek an explicit reference to a source that gives me a fixed URL, e.g. http://example.com/?isin=US1912161007 or ...
119 views

### How to evaluate a success rate of a trading strategy

In order to compare various trading strategies, I am trying to calculate the success rate (the ratio of winning and losing trades). While it is clear to me that this indicator is far from being an ...
31 views

### Invoice Discount pricing model

I was wondering whether there exist pricing models in particular for Invoice Discounting contracts and short-term financing solution where credit risk plays a major role. Specifically, assuming that ...
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### building stocks screener using R and Quantmod

I am trying out R and Quantmod, my aim is to scan whatever stocks which match MACD crossover let's say 12 and 26 period, then print the stocks code on one Window. I have couple questions: How could ...
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### Correlated Random Number Generation using Sobol?

There is a clear theory about generating correlated random numbers using Cholesky decomposition or PCA. I suppose if we apply above methods to random numbers generated using Uniform random numbers ...
46 views

### Raising money in IPOs

When a company goes into an IPO wouldn't they try to make as much money as they can? Then how come the Greenshoe option says that some would try to not issue additional shares just so their share ...
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### How to compute short interest real-time?

Is there a way to compute real-time short interest (at least daily) using Bloomberg for a given stock?
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### Limits on Short selling

When back testing an algorithm that relies upon short selling certain stocks, how to limit the short selling so that the back-test results still remain reliable? What kind of controls are generally ...
141 views

### Ito, Stochastic Exponential and Girsanov

This is a two-part question relating to the change of measure density used in Girsanov and secondly to the Stochastic Exponential. Whilst reading notes relating to Girsanov it is stated that the ...
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### Transformation into Martingale

If $f$ is some function of BV on $\mathbb{R}$ and $dZ_t = f(W_t)dW_t + \mu_t dt$ ($W_t$ is a $1$-dimensional standard Brownian Motion), then what choice of real valued function $F$ makes: ...
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### Why is rate of return on the stock normally distributed under GBM?

Let us assume the geometric Brownian motion, and we have $$dS_t= uS_tdt+\sigma S_tdz,$$ and $S_t$ follows a log-normal distribution, but why is $r_t$, the continuously compounded rate of return, ...
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### Transition densities in the Heson model

Knowing the Characteristic function $\Phi_{T,t} = \mathbb{E} [ e^{i u S_T} | S_t, V_t]$ (or equivalently, the Laplace transform) of an affine process, it's possible to know the distribution of the ...
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### Source for Normalized File of ETF Holdings [duplicate]

Does anyone know of a source for a data feed containing ETF Holdings for most ETF firms such as Ishares, Proshares, State Street? I know Bloomberg has this info, but I'm looking for a vendor that can ...
41 views

### Inferences with non-normal data

I have data of index closing values. I later will use to run some regressions on the percent changes. When examining the data, I find heteroscedastic residuals and that the distribution is non-normal. ...
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### Different ways to identify a co-integrated series?

I have been reading and trying out stuff until I am totally confused and back to square one. Could someone please explain the difference between the two methods suggested below? Suppose I have 10 ...
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### Time value of option not always leading to an increased option value

My understanding was that as you increase the time to expiry of an option, the value of the option increases. However, I have run a bunch of scenarios and have realized that if you assume a dividend ...