# All Questions

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### How is possible to relate volatility with risk?

I read that equallying voliatility with risk is one of the hardest critics on Quantitative Finance and that this is -indeed- the fundamental base of Quant. This question is analogous considering that ...
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### Market microstructure by Mark B. Garman (J. Financial Economicss 3, 257-275, 1976)

Link: http://www.sciencedirect.com/science/article/pii/0304405X76900064 In Garman's inventory model, buying order and selling order are poisson process with order size = 1. Buying price and selling ...
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### Why closest weekly options have enormous Implied Vol.

I know weekly expiration cycle's Implied Vol. explodes prior to earnings, that is due to Theta and Expected move. But why does it happen on stocks that don't have earnings? ( let's say earnings will ...
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### How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option ...
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### DAX - company's weights

How often are company's weights being changed on DAX? Where can I find historical data of DAX weights?
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### x13 Arima analysis with negative values

I'm running x13 Arima analysis on a US GDP series to get the "trend" component. ...
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### S0602 - whether to report Quantity (C0130) or Par Amount (C0140) for Money Market Funds?

We have several positions in a money market fund (CIC IE43) to report in the S.06.02 QRT, and we receive source data for both Quantity & Par Amount. These are actually identical. Which one ...
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### Unemployment data and bond futures

All other things being equal, why would rising unemployment data lead to (a trend) of increasing bond futures? Is the line of thinking that bond futures prices have the same relationship with ...
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### Papers on temporary price impact

Can anyone recommend papers that model how long temporary price impact last when you buy / sell a trade? This would fall under the TCA realm (Trade Cost Analysis). Thank you.
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### Calculating the CVA of a Forward Contract

I am having trouble calculating the CVA of a forward contract. The question is presented below Question: There exists a long forwards position underlying on gold with 2 years remaining. The ...
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### How to apply the CAPM to 6 stocks from different markets?

I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
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### Monte Carlo and PDE results are different for a Call Option!

Okay so this might be a fairly trivial question but I'm having an issue with valuing a call option using both a Monte Carlo method and a PDE method. When I started I first used the parameters: Spot =...
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### How does financial institutions value European options in practice?

I am a little bit confused, or uninformed more truthfully, regarding how option pricing (Europeans only in this case) are handled in real life. Up to now I have acquired some theoretical knowledge of ...
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### Block bootstrap to synthesize asset prices

I have a few basic questions on block bootstrapping on a financial time series ('TS'). Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
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### Is it possible to defend a Computer Science master thesis by writing a project about quantitative finance?

What are features and examples of computational finance (financial computing) problems (for thesis project in Master in Computer Science)? Is it possible to defend Computer Science master thesis by ...
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### How was money made from bond yield convergence?

I'm currently reading a book which provides examples of how hedge funds employed a global macro trading strategy in the past to generate significant returns. Once such example is the convergence of ...
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### How to compute 30/60/90-day Implied Volatility?

I want to calculate the 30/60/90/180 day 100% moneyness implied volatility for a stock. I think I know how to do it but would like to share my thought processes with the group to verify I'm on the ...
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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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