# All Questions

0answers
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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 ...
2answers
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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 ...
1answer
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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 ...
1answer
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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 ...
2answers
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My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\... 1answer 33 views ### Consensus Forecast Data for NFP Does anybody know where I can get historical consensus forecast data for Non-forma Payroll (NFP)? Or any forecast data for NFP. Thanks, 1answer 65 views ### How do I calculate the probability of a short option position expiring worthless? I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?... 0answers 58 views ### How to calculate the theta of a bond? For calculating P&L from interest rate risk, we often use PV01 to estimate the day over day P&L by multiplying PV01 with a change in curve. Is there any approach to calculate theta P&L in ... 0answers 42 views ### Problems in computing VaR with GARCH-GPD-copula approach I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ... 1answer 41 views ### Choosing an exchange rate in a macroeconomic panel data set I am constructing an investor sentiment index to determine the impact of investor sentiment on stock market crises. I am following the methodology in this paper, http://121.192.176.75/repec/upload/... 0answers 20 views ### How to measure practically the performance of Venture Capital backed tech firms following an IPO? I am currently writing a thesis about whether the fact that a tech firm backed by venture capital companies achieves higher returns following an IPO (Horizon of 3 years). I have about 800 tech ... 1answer 141 views ### How PCA is performed in the paper “Markov Models…” can anyone explain in a bit detail on how PCA is performed in the paper "Markov Models for Commodity Futures: Theory and Practice" by Leif B. G. Andersen. I'm not clear on how the high dimension ... 2answers 118 views ### Cross Currency Swap pricing I have seen two methods for calculating the value of a xccy swap - 1) Convert the future foreign payments to the base currency using forward FX rates, net with the base currency payments and ... 1answer 37 views ### Trinomial model for stock options with deterministic interest curve I am implementing a basic trinomial model with constant volatility right now. I want to do an extension that does not take a constant riskfree rate as input, but interpolates between different given ... 1answer 195 views ### kalman filter update equation Assume that futures price$F(t,T)follows the Ito process as described by the following stochastic process $$ln F(t,T)=lnF(0,T)+(Z_1(t)e^{-k(T-t)}+Z_2(t))-(1/4k)[(1-e^{-2kT})(h_1^2+h_2^2))+4h_1h_0(1-... 1answer 121 views ### Probability of Brownian motion particle touching barrier given path starts at X_0 and ends at a known X_t I have been reading Su and Rieger's paper on barriers and from there have been able to work out the unconditional probability of the process dXt = μ dt + σ dWt touching a down barrier α to be \... 1answer 16 views ### 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 ... 1answer 54 views ### 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'... 0answers 47 views ### 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. ... 0answers 45 views ### 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 ... 0answers 57 views ### 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 ... 0answers 92 views ### 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 ... 0answers 40 views ### 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 ... 1answer 56 views ### 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 ... 1answer 48 views ### 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 ... 1answer 49 views ### 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)$$The result is ... 1answer 29 views ### NOK NOWA overnight day count The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ... 0answers 57 views ### Kalman vs simple OLS I am studying how some local and global variables (x and alpha) affects a local variable y have the following regression y_{it} = \sum_{j} \beta_{ij} x_{itj}+\sum_j \delta_{ij}\alpha_{jt}+\epsilon ... 0answers 53 views ### What is the unconditional variance for a GARCH model? I want to use a Matlab script to calculate Heston Nandi GARCH prices. I found an appropriate script online and it asks for the "unconditional variance" as an input. How do I calculate the appropriate ... 2answers 254 views ### Brexit implied probability It is possible to bet on the Brexit e.g. on this page: https://sports.ladbrokes.com/en-gb/betting/politics/british/eu-referendum/uk-european-referendum/220800266/ The quotes are 8/15 for remain, and ... 1answer 109 views ### How to derive an option price for an asset with these dynamics? Assuming my underline asset price follows the process:$$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? 2answers 31 views ### I need a low volatility asset that gives an interest/dividen [closed] I have some cash that needs to sit on an account for some time (less then a year, where I will withdraw an amount every month). I need them in a fixed price/low volatility asset that gives an interest ... 1answer 46 views ### CBOE Index Minute Data I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ... 1answer 51 views ### Calculating required funds on Futures trades I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ... 2answers 76 views ### How is the Chooser Option's value computed in this example? In preparation for my finals, I am attempting a question on chooser options. One question asks A European chooser option on an index ETF paying a yield of 3.0% with strike \64 has a maturity of ... 1answer 40 views ### How to understand this Risk Parity Algorithm? I am trying to understand an optimization algorithm to achieve risk parity in a portfolio. I need some help figuring out the notation in the following formula: I found this on THIS paper. I ... 1answer 59 views ### Drift irrelevance on high frequency data Let's assume that price of a certain asset follows Brownian Semimartingale process with a drift term and a Brownian-driven continuous part (no jumps for simplicity). In literature it is often stated ... 2answers 79 views ### Does LIBOR in USD reflect short term interest rates in the U.S.? The London Interbank Offered Rate (LIBOR) is an indicative average interest rate at which a selection of banks (the panel banks) are prepared to lend one another unsecured funds on the London money ... 2answers 120 views ### Carr-Madan Formula Really new to financial Maths. I am currently having problems with the Carr-Madan Formula.$$f(S_T)=f(F_t) + f'(F_t) (S_T - F_t) + \int_0^{F_t} f''(K) (K-S_T)^+ \ d K + \int_{F_t}^{\infty} f''(K)... 1answer 25 views ### Data of Credit Migration Matrices Please advise that how to get the data of credit migration matrices There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis. https://www.... 1answer 50 views ### How to get all securities in an asset class from IBPy (Interactive Brokers python API) Would like to know how to request all securities in an asset class using IBpy, the python wrapper for the Interactive Brokers API. For example getting all currency pairs in the class forex ('CASH'), ... 1answer 75 views ### How to create a synthetic put? I have been reading into Hull's section on portfolio insurance through synthetic puts. My understanding is that in order to replicate a put we should replicate it's delta. Proceeding, Hull states ... 1answer 87 views ### Question regarding volatility forecasting using High Frequency Data Hi guys this is my first question on the Quantitative Finance section of the Stack Exchange network. I am currently reviewing the paper by Professor Alan E. Speight and David G. McMillan 'Daily FX ... 0answers 28 views ### US Treasury interest rate swaps I know that Bloomberg will give me the swap rates for Treasury 30's-5's, but I don't have a Bloomberg. Can anyone direct me to a source? 1answer 305 views ### How were these SDE derived? Can anyone give me a detailed explanation of how below equations (3) and (4) are derived from (1) and (2)? \begin{align*} \frac{dF_{t,T}}{F_{t,T}} &=\sigma e^{-\lambda(T-t)}dB_t, \tag{1}\\ \ln(F_{... 1answer 170 views ### What is the benefit of having proximity to the Bloomberg datacenter? I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ... 0answers 28 views ### Levered beta with changing equity/debt ratios I know how to calculate a bottom up levered beta for a privately held and not publicly traded company with Hamada (Proof of Hamada's Formula (Relationship between levered and unlevered beta)) and ... 0answers 29 views ### Calibration of intensity model I could use some advice on calibration of stochastic intensity models. I am thinking that the CIR model is most suitable, as it can not take negative values (when feller condition is satisfied). I ... 0answers 58 views ### Stock market cash flow I want to understand better cash flow of stock market and it's participants, but could not find any reasonable information online, hope more experienced people here could help. Money IN flow: (1)... 1answer 101 views ### Understanding Vega calculation in black Scholes model I am attempting to calculate the Greeks, and I understand their derivation. However when it comes to actually implementing Vega I am a little lost. Vega is defined analytically as:\$ SN'(d_1)\sqrt{T-...

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