2
votes
2answers
99 views

How to compute the conditional expected value of a geometric brownian motion?

I'm working on a project, and I have to use the cumulative and conditional expected value of the variations of a stock following a Geometric Brownian Motion. I know that the cumulative is as follows ...
1
vote
0answers
50 views

How to measure interest rate risk of an equity?

What is the best method to measure interest rate risk of an equity? For example: I am looking to determine the change in price based on a change in yield. I currently have a position in XLU and ...
1
vote
1answer
78 views

Fitting transition matrices in R by solving for coefficient

I'm using various matrices to impute a fitted transition matrix for credit ratings by solving for a variable [S]. Essentially the idea is to determine a base matrix and stress matrix to compare to a ...
1
vote
0answers
43 views

Investing in all assets with positive expected return and allowing for positive correlation

How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ...
1
vote
0answers
117 views

Bootstrap yield curve with QLNet / Quantlib

I am trying to grasp QLNet (C# version of Quantlib, all the functions of Quantlib have the same name and work the same way, so if you just know Quantlib, you can still help me), especially for pricing ...
0
votes
0answers
13 views

Cross-post on the prediction mean squared error of a model

In accordance with what discussed in the meta here I am cross-posting this question from cross-validated. Suppose my model is $y_t = \alpha + \beta t + \epsilon_t$ the l-step-ahead prediction is ...
0
votes
1answer
61 views

Fama French 3 Factor Data

I have a trading strategy that uses the Fama and French 3 Factor data. It's provided on French's website up until the previous month or so. And indeed, this is a great source of data. The only ...
1
vote
0answers
62 views

Tangent portfolio weights without short sales?

Consider a mean-variance investor in a world with a risk-free asset. Let $R_f>0$ be the return of the risk-free asset, $\mathbb{E}(R_i)>R_f$ the expected return of the risky asset $i$ and ...
2
votes
0answers
48 views

Calibration of Hull White One factor model in F.C.Park paper

I want to ask a question with reference to a paper from below link http://www.cmpr.co.kr/asset/research_material/implementing_interest_rate_models.pdf Minimization specified in Page 14: Mean ...
1
vote
0answers
49 views

CFA (Level 1) schedule after school and working a 9-5 job [closed]

I am graduating with a BS in math and obviously love math but everything changed when a buddy of mine invited me to an investment society in our school and I love every single experience. The part I ...
8
votes
1answer
160 views

Rich Volatility, Poor Volatility

I have been thinking very hard about properly pricing volatility. Outside of naive AR,ARCH,GARCH forecasting model which employs past data to forecast future vol, how does one "fundamentally" value ...
1
vote
1answer
60 views

Anyone know where I could find a free list of hedgefunds and their strategies…?

I am looking for a (free) list of hedgefunds with their strategies. I have found Barron's top 100 online but am having trouble finding a longer list. Any ideas of where to look?
0
votes
1answer
47 views

Basic questions on the yield curve

When people say "yield curve", do they mean yield/time curve, or yield/price curve? It seems that most of the time, people refer to yield/time curve, as wikipedia suggests. Though sometimes, people ...
4
votes
3answers
98 views

Price of an asian option with squared of average payoff

Is there a closed form solution of the following price formula? Assuming $dS_t=rSdt+\sigma S_t dW_t$ under the Q dynamics $e^{-r(T-t)}\mathbb{E}_t^\mathcal{Q}[(\frac{(\int_0^T S_u du)}{T})^2]$ I ...
2
votes
2answers
78 views

Calculating time value of an option

Can someone provide me with a robust way of calculating the future time value of an option or point in the direction? I have been reading a lot about the factors that affect it and about betas and ...
1
vote
2answers
127 views

How to write a home task report which is part of the interview process for a quant position in a trading firm

I recently appeared in an interview for a quant research post in a trading company. As part of the interview, I was given a home-task to solve in a week. The inerviewer gave me a dataset consisting of ...
3
votes
2answers
195 views

Book recommendation: math toolkit for quantitative finance and statistics

I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics. Please note, I do not mean a book which would explain how math is applied ...
1
vote
1answer
47 views

Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
0
votes
3answers
75 views

Sharpe Ratio vs Net Profit vs max drawdown

When evaluating the performance of an algorithm, what should hold more importance? Sharpe Ratio , Net profit or max drawdown? For instance, I have two algorithms one performs very good on Stocks with ...
1
vote
1answer
40 views

Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...
1
vote
1answer
52 views

On the existence of a perfect market with no arbitrage that contains a forward contract

Consider the following theorem from p. 31 of Steven Roman's "Introduction to the Mathematics of Finance Arbitrage and Option Pricing" (Undergraduate Texts in Mathematics, 2012), giving the forward ...
2
votes
2answers
43 views

Does anyone know where I can find a free efficient frontier tool, or an informative and legitamate/academic graph of the efficient frontier?

I'd like to build a portfolio based upon modern portfolio theory and I'd like to find a tool I can use to calculate the proper mix of asset classes. Can anyone help with this? I think a good ...
2
votes
1answer
112 views

HFT Architecture

Im an undergrad student trying to become more familiar with how HFT works. In specific, I was wondering what kind of hardware they use and how each piece contributes to the system. I've been led to ...
2
votes
1answer
61 views

Difference between GARCH and Heston Volatility model

I know that the difference between the GARCH and the Heston model is volatility vs variance in the stochastic part of the volatility sde. However,from my solutions, there is only ever a 2 - 10 cent ...
0
votes
0answers
25 views

Historical Daily NAV for Closed End Funds

Does anyone know where to get historical, daily net asset values for closed end funds from the date of inception to the present? Yahoo finance has daily opening, high, low, closing values, but no NAV ...
1
vote
0answers
39 views

MLE estimate of normal distribution

Probably a naive question. I am quoting this from Greene's econometrics book: "The occasional statement that the properties of the MLE are only optimal in large samples is not true, however. It can ...
0
votes
0answers
10 views

Consumer (Borrowers and Lenders) risk free curve

I was thinking about this topic: how to construct a "risk free" curve for the generic consumer. Imagine we want to price a debt security done by a private, lended by another private (say, normal ...
1
vote
0answers
27 views

Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: ...
0
votes
0answers
19 views

SRRI calculation for absolute return funds

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...
2
votes
2answers
153 views

Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
1
vote
1answer
80 views

What is the difference between these two Expected Shortfall definitions?

I have come across different ways expected shortfall is defined. e.g. $$ES_a(X)=\frac{1}{1-a}\int_a^1VaR_b(X)db$$ and $$ES_a(X)=\frac{1}{a}\int_0^aVaR_b(X)db$$ e.g. on Wikipedia's article. Are these ...
1
vote
0answers
53 views

Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
1
vote
1answer
106 views

Can you explain me these comments on high frequency data?

I was reading some slides on high frequency data and i came across these statements: data discreetness induces high degree of kurtosis and Non synchronous trading and risk premium are ...
0
votes
1answer
130 views

How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
1
vote
3answers
83 views

What are pros and cons of mean absolute deviation portfolio optimization?

In this question a paper about mean absolute deviation portfolio optimization is mentioned and in the answer a spreadsheet with an implementation is attached. What is the use of this procedure? Does ...
0
votes
1answer
72 views
1
vote
2answers
109 views

What are the properties of Max and Min functions?

I am having trouble understanding the transition from the third line to the fourth line. I see how it works through cases, but is there a general property that allows this?
3
votes
1answer
86 views

What are recent important papers on credit portfolio risk modeling?

I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I ...
0
votes
0answers
22 views

What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...
2
votes
1answer
104 views

Local volatility SVI parametrization

In this paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$ for each slice $k \mapsto w(k,T)$: $$ w(k) = a + b\{\rho (k-m) + ...
2
votes
4answers
91 views

Local volatility surface corresponding to the implied volatility surface

In Derman/Kani/Zou paper about local vol they rebuilt a local vol surface from an implied vol surface. Each implied volatility depicted in the surface of the "implied Vol" is the Black-Scholes implied ...
0
votes
1answer
30 views

Exponential weighting of returns

I am looking for a procedure to compute an exponential weighting of returns given a half life parameter. I ran accross a wikipedia article, can I take it unchanged an assume N(t) is the return at ...
-2
votes
1answer
40 views

Fix protocol and Bars

I am newbie in fix protocol. I would like to know how I can work with bars (candles) in the fix protocol? I mean subscription to bars from client-side and what type of message I can use to send bars ...
0
votes
0answers
6 views

Do you include negative changes in Working Capital in an uFCFF analysis?

I am running a uFCFF analysis for two different scenarios. In one scenario working capital goes down. Do I include this negative number in the "Change in WC" line? Wouldn't this represent that I am ...
0
votes
0answers
33 views

Stochastic Volatility in current market environment

Some price exotics with stochastic vol, some use other models such as local vol. What is the impact/advantage/disadvantage of using stochastic volatility in the current market environment? In other ...
0
votes
1answer
42 views

Are “American” option strategies traded OTC?

Is there such a thing as an American butterfly spread? For a European butterfly spread simply buying 1 put with strike price X+a, 1 put with strike price X-a and shorting 2 calls with strike price X, ...
1
vote
2answers
242 views

Is it statistically valid to ignore “irrelevant” stock prices during backtesting?

As an amateur trader, I have reasonable success with my current end-of-day trading systems. All my systems are based on at least ONE year of "in-sample" data for backtesting, followed by 6-months of ...
0
votes
2answers
114 views

Pricing of Binary or Digital Options or more generally options with discontinuous payoffs using PDEs

I am trying to find references (books, papers, etc.) for calculating $\mathbb E f(X_T)$, where $X_T$ is a diffusion and $f$ is a real function that is not continuous, by means of solving a PDE or ...
2
votes
1answer
78 views

The role of Gamma in replicating a put

I am analyzing portfolio protection by replication of a put. Having my portfolio with value $V$ I could buy put giving me the payoff $P$ resulting in a call like pay-off scenario $C=V+P$. Say, I ...
0
votes
2answers
36 views

How to adjust historical data highs/lows for splits and dividends?

When I download historical data from yahoo finance, only the closing price is adjusted for dividends/splits. Is there a way of figuring out the factor by which lets say the highs/lows have to be ...

15 30 50 per page