# All Questions

71 views

### Risk factors for derivatives on dividends

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are the main risk ...
201 views

### Call options portfolio: what would the underlyings' moments to be maximized?

Let you have only three underlyings, like SPY, TLT and GLD, and you want to buy $n_{1}$ Call options on SPY, $n_{2}$ Call options on TLT and $n_{3}$ Call options on GLD... with a limited budget, that ...
59 views

### Problems with exact Heston simulations

I am just wondering if there is any problem with the so-called "exact" Heston simulations? So far what I have seen are the good things about it, what are the disadvantages? Because if it is so ...
174 views

### Data feed that shows individual orders

Does anyone know how I can obtain time and sales data for a stock? Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume. I ...
320 views

### How to calculate the Transfer Pricing from the FTP curve?

According to some articles, Fund Transfer Pricing procedure is setting the FTP curve. First it's to select instruments and grid points, namely overnight to 1 week: rates from interbank money ...
282 views

### R ARMA-GARCH rugarch package doesn't always converge

I'm trying to compute the standard ARMA(1,1)-GARCH(1,1) as shown in this answer for an entire index,just to store in a database to quickly lookup values for back ...
88 views

### What to do with linear regression or regression splines outside of the training range?

This is a cross-post from here In my question on a load forecast model using temperature data as covariates I was advised to use regression splines. This really seems to be a/the solution. Now I ...
98 views

### Eurdollar Futures

Trying to understand the Eurdollar market a little better. I understand it's the market for dollar denominated deposits outside the US (not just in Europe). They are unregulated and not subject to ...
38 views

### How does a covered bond characteristics compare to a mortgage security for credit enhancement?

I need help with understanding how does a covered bond characteristics compare to a mortgage security for credit enhancement?
120 views

### Pricing a Power Contract derivative security

I'm trying to price a "power contract" and would appreciate guidance on the next step. The payoff at time $T$ is $(S(T)/K)^\alpha$, where $K > 0$, $\alpha \in \mathbb{N}$, $T > 0$. $S$ is ...
127 views

### How to calculate a the PFE for a Swaption?

How do you calculate the Potential Future Exposure (PFE) for a swaption? Do you incorporate the dynamics of implied volatility when you are running your simulations? Is there a standard way to ...
147 views

### Backtesting benchmark / control test design

I am designing a backtesting system to test an algorithm. I'd like to have a benchmark / control test results to compare to the results of a custom algorithm. A limited "set" of stocks is selected ...
103 views

### How is a quanto priced?

How would one price a derivative denominated in EUR that pays in USD?
441 views

### Oscillatory time-series forecasting

I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term? ...
73 views

Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution? And how could that distribution be exploited to enter trades?
189 views

### VaR backtesting with overlapping time intervals

Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...
150 views

### Modeling asset performance to Bitcoin revenue

I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community. Question Is there any model, or research being done that tracks "hashes per second" ...
57 views

### Neglect the positive values in negative interest rates modelling?

The magnitude of the negative interested rate should vary correlated with the increase in fixed assets prices and with cross-currency basis spreads. Could their volatility / correlation ...
117 views

### Is there a general format for various sources of futures market-data?

I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
370 views

### Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
141 views

### what is a typical way forex brokerages can provide cheap leverage for their customers?

I'm not very well read in the area of high finance but I'm curious how forex brokerages are able to provide the backing for leverage that they can provide to customers. Is it possible to do this ...
85 views

### how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
45 views

### Performance of 1X0/X0 funds vs. traditional benchmarks?

Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like. What is the empirical ...
11 views

### Wiener process analytic expression from geometric brownian motion

The solution to the SDE $dx= -kx\ dt + cx \ dW$ is $x(t) = x_0 e^{(c - k^2/2)t}e^{-k W}$ with mean $\langle x(t) \rangle = x_0 e^{(c - k^2/2)t}$ where $W(t)$ is the Wiener process. Im ...
28 views

### BS Implied Volatility under Normal returns

If I use theoretical prices under a normal valuation model, and I estimate their implied volatility using BLACK SCHOLES implied volatility, do I'll get corresponding log normal volatility?
7 views

### any introduction on beta adjustment for basis risk?

On beta adjustment for basis risk, I could only find an online definition: Gap reports modified to mollify the errors caused by basis risk. The essential concept of beta-adjusted gap is that all ...
17 views

### (Free) end of day historical data source for FTSE 350 sector indices

I have been searching for a free EOD data source for FTSE350 sector indices. I remember coming across a site on msn finance a few years back, which provided several years worth of this data (no volume ...
32 views

### Yahoo Finance API

Have been looking for ways to down load stock price data using Yahoo Finance on Chinese Stocks. Symbol that ends with .SS = stock listed in Shanghai, .zz = stock listed in Shenzhen This link ...
41 views

### Price comparison of a call-like derivative with a call option under Black-Scholes' model

This was an exam question at Cambridge University. Let $S_t = S_0\exp(\sigma W_t + (r-\dfrac{1}{2}\sigma^2)$ and a bank account returns a continuously-compounded rate of interest $r$. Consider the ...
12 views

### How to get company ids (like CIK)

I need company ids and jurisdiction codes for all the companies all over the world. So that I can use it to extract information from opencorporates. Any idea where I can find the information
53 views

### Need 24 hours a day real time/slightly delayed prices of futures contracts on US and non-US

I'm looking for a data provider to get real-time/slightly delayed data for futures contracts on US and non-US indexes 24 hours a day. Can you recommend anything for a person, who can't afford ...
28 views

### Fair interest of mortgages

May be a stupid question, but I don't know the answer. Suppose someone asking me money for a mortgage for buying something. If I know the chance (mean value of payments and variance of payments) that ...
54 views

### Bloomberg interest rate interpolation

I have question about the linear interpolation of interest rates. I am unable to reconcile the Bloomberg methodology for calculating risk-free rate between maturities. In theory it is a straight-line ...
63 views

### VIX intraday data

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
63 views

### Log returns and time

In calculating realized/historical vol for fx spot, my samples/fixings are currently every minute. I need to be able to calculate and plot historical/realized vol on demand from spot prices. ...
26 views

### How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
23 views

### How to calculate the negative compound interest when the present value is below zero?

I'm having difficulty understanding how to calculate the negative compound interest when the present value is negative as well. For example, let's say that a company had earnings of £10,000 5 years ...
67 views

### How does Interactive Broker's historical data compare to other alternatives?

Has any of you stumbled with shows stopper problems like it having survivorship bias?
25 views

### OF-B1 report - cell A1

Pretty basic question - what is the SIGN that should be used in cell A1 of the EIOPA Solvency II OF-B1 report? So should share capital be displayed with a positive or negative value? CP-13 extract: ...
31 views

### Proper way to calculate a total return time series for a CDS index from a protection seller perspective

Need to account for the following: rolls defaults, recoveries on the run series E.g. CDX NA IG
47 views

### US Treasury off the run trading

Between CME, Brokertec and eSpeed one can trade the vast majority of CTDs, on-the-run and treasury futures contracts electronically. How does one trade off the runs and old bonds? Is there an open/ ...
42 views

### pricing barrier options

Is there an easy derivation of this? I don't understand page 13 http://www.math.uchicago.edu/~may/VIGRE/VIGRE2010/REUPapers/Turner.pdf u(0, τ)=0 This problem has now become that of the ﬂow of ...
32 views

### Binary options and European option is similar?

European options and binary (digital) options is similar? How apply the Black & Scholes formula on binary option?
17 views

### Index Price Simulation Volatility Bands

I am building a simple stochastic model for learning purposes in excel. I took daily data for the SPY since 1/1/1993. I computed the daily log returns and found that the SPY has had an average daily ...
39 views

### I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation

Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the ...
37 views

### Mapping Futures Data Into Mantas

Can anyone please help me figure out how to map 'Futures Data' into Oracle Mantas. I believe 'Futures Data Feed' will have a different 'Format' from the one acceptable to 'Mantas' risk management.
59 views

### Analysing FX Data

When analysing currencies, the data always comes in pairs so it is hard to normalise a multivariate time series of data e.g. if I have GBPvsUSD, EURvsUSD and CADvsUSD then changes in the US economy ...
57 views

### UAC- Unbiased Average Correlation for a Matrix of stocks

Once I have computed a correlation matrix for a portfolio of stocks, how do I calculate the UAC for the correlation matrix? ie, how do I strip out any auto correlation among the names?