2
votes
1answer
148 views

Square-root-of-time and autocorrelation

My question is that when we have autocorrelation in daily volatilities can we scale daily volatility to annual basis using square-root-of-time rule? Does it breach the main assumption of the rule ...
1
vote
2answers
101 views

Is there a formula for future value of a growing annuity with yearly payment growth and monthly payments?

My example is saving for college: assume a start of 0 balance deposits of 200 made monthly, every year they increase by (g) 2% to account for salary increases, first deposit made at the end of the ...
1
vote
1answer
35 views

Yield to Maturity

For a bond with market price $P_t$ and fixed payments $c_n$, I'm told the yield to maturity is given by the solution $Y$ to the equation $P_t=\sum_{n=1}^N c_n e^{-Y(t_n-t)}$. Firstly, I'm not great ...
1
vote
0answers
93 views

Why is “full” Yield Curve (term structure of interest rates) 3 component based?

I am trying to understand bond-valuation and construction of yield curve. I don't have any exposure to bootstrapping or what-so-ever as of now. So it's appreciated to have an example but not too ...
0
votes
0answers
90 views

High correlation will help detect spurious regression over cointegration?

I'm analyzing two financial time series with Johansen method. A high Correlation coefficient using the Pearson method will help me to detect spurious cointegration models to avoid? If this is not ...
2
votes
3answers
183 views

Please advise on the choice of an automated trading framework

I'd like to start automating my trading strategies. I'm not looking for a fast and easy solution, therefore the programming language is not important for me, I am ready to spend an extra year to ...
6
votes
7answers
304 views

Are the sin, cos, tan functions used in some financial calculations?

I ask because those functions are on the TI BA II Plus financial calculator.
0
votes
0answers
40 views

Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement

Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
0
votes
0answers
10 views

Question about allocating value among different class in capital structure

I come across a task regarding alloation of value among different class in capital structure. I took reference from ...
3
votes
1answer
119 views

Why does regression capture differences in volatility?

I read the following statement in the book python for data analysis, chapter 11, and I was wondering if someone could give me intuition about why regression has this effect? The purpose of the ...
0
votes
0answers
58 views

America option early exercice boundary via Monte Carlo simulation

I am trying to calculate an american option price via the simulation of the early exercise boundary using the method presented in this document: Monte Carlo Method For pricing a put Option. I have ...
0
votes
1answer
29 views

Adjusting open, highs and lows for past monthly stock prices?

I'm looking into modelling monthly stock prices and want to start off by using data from Yahoo Finance. I know that the closing prices given there are adjusted for stock splits and dividends, but ...
0
votes
0answers
28 views

Sketching payoff diagrams- Straddle and Butterfly (when t tends to 0)

I want to sketch a straddle and a butterfly payoff diagram when t tends to 0. I have searched and have been able to sketch both a butterfly and straddle diagram but fail to proceed when t tends to 0. ...
1
vote
3answers
157 views

Calculate correlation between two sub portfolios and the combined portfolio

I have two sub portfolios (lets call them portfolio a & portfolio b - a portfolio is just a vector of weights that sum to 1) that combine to create a total portfolio. I also have a 2 x 2 ...
1
vote
1answer
66 views

Where can I find implementations of the time-varying copula (BBX) in Matlab or R?

I want to construct some time-varying BBX copulas, however, I found that patron's package does not contain time-varying BBX copula. Anybody know where I can download them?
0
votes
0answers
72 views

Calculating the VaR from a GARCH(1,1) with Student-t innovations

I'm self-studying several questions on Ruey S. Tsay's teaching page. I'm experiencing some difficulty getting the correct answer for final exam 2013 Problem B Question 3. Given a Student-t GARCH ...
0
votes
0answers
22 views

Nominative financial datas

For a study I am looking for financial datas about trades in double auction markets. It would typically be transaction history containing the name of the participant (buyers and sellers) and the ...
2
votes
2answers
126 views

What is the price pressure?

What is the definition of price pressure and what does it imply? In a number of paper I read that the price pressure can influence the portfolio returns; can you explain why and in which way it can do ...
1
vote
3answers
97 views

What does “true”volatility mean in volatility comparison?

In Sinclair's book, wee need to compare standard deviation with "true volatility" to check the power of the model suggested, close -to-cloce, or Parkinson formula, etc. What do we mean here by "true" ...
0
votes
0answers
37 views

Where can I find ADF library in c#

Where could I find an ADF library or source code in c# for cointegration test?
2
votes
1answer
102 views

Valuation of Cox-Ross-Rubinstein Model

We have a Cox-Ross-Rubinstein model with parameters $u$ ("up"), $d$ ("down") , $r$ (interest rate) and $q$ (equivalent martingale probability) $(q=(1+r-d)(u-d)^{-1})$ . We have a contingent claim with ...
1
vote
1answer
107 views

Given a correlation martrix, calculate portfolio's correlation with its assets

Find correlation vector like $[ d e f ]$ where d, e and f represent correlation of P(portfolio) with its assets A, B and C respectively. The assets A, B, C can be another portfolio. In order for ...
2
votes
0answers
105 views

What's the practical difference between the Johansen vs Engle-Granger tests for cointegration?

For the two-variable case, what are the practical differences between using the Engle-Granger procedure versus the Johansen test for cointegration? Is one universally more powerful than the other? ...
5
votes
2answers
170 views

Non-negative matrix factorization for factor analysis of stocks

I stumbled over the term Non-negative matrix factorization in presentations such as Application of Machine Learning to Finance and this Big Data in Asset Management. The basic idea is to decompose a ...
4
votes
2answers
270 views

Looking for C# library that provides/contains performance analytics

I am looking for a C# .Net library that provides trade performance analytics similar to R-PerformanceAnalytics. Basic return statistics, draw-downs, risk-adjusted returns, risk (variations), ...
0
votes
1answer
99 views

Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
0
votes
1answer
57 views

Where can i find tick data for futures contracts [duplicate]

Looking for places which can give me historical tick data for free or for the cheapest price. Don't really need it to be live , can be delayed too. What are my options. Mainly looking for tick data ...
1
vote
1answer
87 views

Calculating Variance Explained from PCA Loadings

I have a return history for a universe of risky assets and I've run a principal component algorithm and obtained a loadings matrix (num_factors by num_assets) for the first 5 factors. I have a ...
2
votes
1answer
55 views

What are the assumptions of portfolio optimisation with higher moments?

I was wondering whether there are a set of assumptions for portfolio optimisation with higher moments (including kurtosis and skewness) as there are for regular mean-variance optimisation?
4
votes
3answers
226 views

Why are factor models so popular for risk analysis of portfolios?

As titled, my question consists on asking for why in the most of academic papers one almost always finds that when you try to model asset returns, one needs to adjust for risk factors before analyzing ...
0
votes
0answers
39 views

Bond pricing by Monte Carlo methods

Im trying to calculate monthly ZCB bond prices with a fixed maturity T, over a period of months via Monte Carlo methods. Here is my attempt: For the first month, the price is $P_{t_0}(0,T) = ...
2
votes
0answers
92 views

What equation will convert implied yield volatility to implied price volatility?

I am trying to figure out how to turn implied yield volatility of a short-term interest rate into implied price volatility. Is there an equation to do this? I have come across the equation for a ...
1
vote
1answer
26 views

How to reason about leverage in terms of elasticity

Return of an investment for a given period is by definition: $$r = \frac{P}{W_0} - 1$$ where $P$ is the price of the investment at the end of the period, and $W_0$ is the initial investment. I want ...
2
votes
1answer
85 views

Partition assets into minimally correlated portfolios

My question covers a more or less classical portfolio optimization situation with a twist: How to partition assets into minimally correlated portfolios, with and without asset overlap. I have $N$ ...
0
votes
0answers
58 views

calculation of parameters in Stochastic Volatility

I want to compare volatility models from constant volatility, implied, time-varying (ARCH, etc) and stochastic volatility. I can find the process to calculate constant, implied and ARCH and GARCH ...
0
votes
0answers
56 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
0
votes
0answers
20 views

how to obtain the optimum debt-equity ratio while maintaining a minimum debt service coverage ratio of 1.1

the assumptions are -that the NOI for year 0 is 6500000 -loan term is 8 years and issued at a fixed rate of 3% + libor (in 2008) -equity yield is 15%
1
vote
0answers
53 views

Capital Allocation for Portfolio of Multi-Strategy and Multi-Instrument

I would like to know if there is a way (or theory) to manage a multi-strategy, multi-instruments portfolio that would calculate the optimal weight to allocate capital for each combination of strategy ...
0
votes
1answer
34 views

how market makers set the time factor to calculate option greeks on the expiration day?

how market makers set the time factor to calculate option greeks on the expiration day? does they set time equal 1/24or 2/24 when only 1hour or 2hour left? what frequency market makers update new time ...
1
vote
2answers
95 views

Beta arbitrage in CAPM

i'm following the "Computational Investing 1" course at Coursera.org, I was affascinated by the Beta arbitrage of CAPM Video: https://class.coursera.org/compinvesting1-002/lecture/view?lecture_id=119 ...
0
votes
0answers
42 views

Conversion of quarterly growth rate to annual growth rate

If a macro data like Consumer Price Index or Real GDP growth rate is expressed in quarterly year-on-year basis. Anyway to get precise annual growth without using approximations? For example: Cars ...
2
votes
1answer
95 views

What is the hedging underlying of MBS

I am working on hedging agency MBSs using treasury bonds. So my question raise as which treasury bond should more likely be a hedging underlying of a MBS. What is the matching criteria usually for MBS ...
1
vote
0answers
34 views

Calculating the Hedge Ratio

Suppose we have an index whose value is calculated by a weighted geometric mean. Now we want to recreate the index using its underlying components. How would we go about calculating the hedge ratios ...
3
votes
0answers
80 views

Pre- Versus post-2008 Crisis Rates Modeling

Modeling for interest rate derivatives (such as bermudan swaptions) is said to have undergone significant changes since the crisis. Prior to the crisis, counterparty default risk was often ignored, ...
2
votes
1answer
197 views

What features does q /KDB provide for HFT use?

It appears q/KDB is being using for Time series analysis for HFT. What are some of the advantages of using ...
-2
votes
1answer
79 views

Elliott wave priciple applied to any Time Series

I'm strongly interested to computing Elliott Wave to any given Timeseries. Does anybody tried? Is there any phython library to do that? I'm looking for an algorithm taht if I give to it a time ...
2
votes
0answers
48 views

What is the main reasons to use Miltersen & Schartz (1998) model for commodity futures options

versus a standard Generalised Black and Scholes model (if there are any?) I have read the paper but I am not to sure about its practical implications as would people with more experience using this ...
3
votes
3answers
171 views

What should I put on a math finance cheat sheet?

What are the most useful results that I should put on a mathematical finance cheat sheet? Am I missing anything important: https://github.com/daleroberts/math-finance-cheat-sheet
1
vote
4answers
140 views

How can I calculate Value at Risk?

Is it possible calculate Value at Risk on an asset without a time horizon? What kind of variables do you need? Variables that are on the table are value, standard deviation, beta, market return, risk ...
-1
votes
1answer
62 views

Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE?

If so, is there a derivation anywhere that shows this? I was told that this could be done in a class but I don't see how it's possible.

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