# All Questions

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### How was the adj.close for RIG calculated after Transocen - GobalSantafe merge

Yahoo's algorithm for adj.close calculation is pretty clear, as explained in the link. Said that, however, the values for RIG till 2007-11-26 don't follow such rules, as shown here. Indeed, if one ...
14 views

### Modeling EOD ETFs price returns together or individually?

Let's say you want to model the next day price returns for a set of US equities large cap ETFs (a relatively homogenous group). Would you model all the ETFs as a single, 15 years data set, or each ETF ...
14 views

### negative yield (interest rate) and Option Pricing [duplicate]

If i have negative yield (interest rate) can I still proceed with Standard Black and Scholes or Simple Binomial Model? any Adjustment is required to the model? how does it effect the pricing model in ...
61 views

### Expert System for Credit Scoring

I am working on a credit scoring model for a credit without a garanty (consumer credit). I'm looking for a methodology for an expert system for credit scoring decision that doesn't base on ...
71 views

### What's the disadvantage of using linear programming for portfolio optimization?

I am a MFE student and we have project on the Markowitz portfolio optimization problem. i am wondering how much impact there will be, if I use a simpler linear optimizater instead of a quadratic ...
56 views

### French Data from daily to monthly returns

Ken French on his website publishes daily, monthly and yearly returns for the Fama-French 3 Factors model which are excess market (Rm-Rf), small-minus-big (SMB) and high-minus-low (HML) returns. I ...
36 views

### Values for Heston Model Parameters

Under the Heston model, the stock price and volatility follow the processes \begin{align*} dS & = \mu S dt + \sqrt{V} S dW^1, \\ dV & = \kappa (\theta - V)dt + \sigma \sqrt{V} dW^2, \\ dW^1 ...
104 views

### Compare events effect on stock prices from different time periods

I’m going to test for the effect corporate credit rating announcements have on stock prices through different economic climates (good times vs. bad times). I want to research whether or not the stock ...
77 views

### Is the Black-Scholes model price a bijection on the interval of static arbitrage free prices

Consider some stock with observed price $S$ and a call option on the stock with value $C$, time to maturity $T$ and strike $K$. Assume there is a constant, continuously compounded interest rate $r$. ...
39 views

### Identifiability of a state space model (Dynamic Linear Model)

Take a general linear Gaussian state space model (SSM)(aka Dynamic Linear Model DLM): $X_{t+1}=FX_t + V_t$ $Y=HX_t+W_t$ $V_t \sim N(0,Q)$ $W_t \sim N(0,R)$ I am interested in the ...
195 views

### Why do stocks fall so quickly? Technical explanations

Why do stocks fall so quickly? China's market is down 40% in the past month ,for example. But when you look at charts of individual stocks, you see many instances of stocks giving up months of weeks ...
61 views

### Probability of Closing Stock Price Over a Defined Period

I found this equation when I was reading "Paul Wilmots on Quantitative Finance" which calculates the probability that of a stock price ending/landing on a particular price (S'). So if the stock ...
42 views

### Calculate put price with Black-Scholes and one discrete dividend

I try to solve this exercise: a) Calclculate the price of a 3-month European put option on a non-dividend-paying stock with a strike price of 45 when the current stock price is 40, the risk-free ...
92 views

### Solving the Bootstrapping equation when matrix is non-square

I am trying to construct a Zero Coupon Yield curve for US Government Bonds from market data (coupons, face values, prices, months to maturity) via Bootstrapping. However, I am not too sure how I would ...
21 views

### Where I can find the conventions used in building an FX volatility surface?

Here are some conventions used in building the EUR/USD volatility surface. I need to validate these fields: Base Currency: EUR Term Currency: USD Spot Lag: 2bd Interpolation Variable: ...
71 views

### Black-Scholes formula with deterministic interest rate and dividend yield

Does any one have the Black-Scholes formula for a European call with time-dependent but deterministic interest rate and dividend yield ?
90 views

### How to use quantlib with excel?

I installed an quantlib on my mac, but have no idea, how to start using it with an excel. Please advise hoq to do it. I followed all instructions here: http://quantlib.org/install/macosx.shtml. I ...
58 views

### American put option and rising interest rate

Will a rise in interest rate always result in a lower price of an American put option?
29 views

### Test Log-Normality for LIBOR forward rates under the Libor Market Model

As far as I understand, under the Libor Market Model the forward rates are assumed to have a log-normal distribution. Given that I have constructed my LMM model and now have a matrix of: k different ...
56 views

### Calibration of non-mean-reverting OU process

I'm looking for some reference on how to calibrate a non-mean-reverting Ornstein-Uhlenbeck process to historical data using MLE or OLS. The model has the following SDE: ...
75 views

### how do I loop through all the stocks with quantmod and ttr?

I just started with quantmod package. If I want to select stocks based on their recent performance, then I need to loop through all the stocks in, say, NYSE. So I need: get all the stock symbols ...
35 views

### How to construct a cointegrating vector using more than 2 price series in R?

I use now this code from hier Why does the following data fail my cointegration test? with slightly modification of possibility to load something directly from Dropbox file storage . ...
71 views

### What are Barra style factors useful for?

I'm reading the paper's summary of: Beckers, Stan, and Jolly Ann Thomas. "On the persistence of style returns." The Journal of Portfolio Management 37.1 (2010): 15-30. about how some of these ...
50 views

### Asian Option with Geometric Averaging

Can someone point me to any notes on how to derive the closed form formula for Asian geometric average option with payoff $\text{max}\left(\text{log}\left(\frac{A_T}{K}\right), 0\right)$ where $A_T$ ...
16 views

### Complex yields occur for some sets of cash flows

My question is not inherently related to Matlab but if there is a solution using Matlab that would be great. I have inherited some Matlab code that uses the function bndyield to get the yield of some ...
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163 views

### Getting ETF data from google finance

I hope this is on-topic. I want to set-up a set of investment rules and back-test it on a mix of asset-classes. Thus I thought that using ETFs for the back-test would be a good idea (time series could ...
32 views

### convert three months interbank rate into monthly rate

I have a time series of the three month interbank rate each month and I suppose that the rate is has yearly frequency. I need these interbank rates to be on a monthly basis because I want to us these ...
48 views

### PDE vs TREE vs MC vs Analytical

One what basis the pricing model can be differentiated for particular trade pricing. For exapmle why PDE or Binomial tree or MC or Analytical method will be consider for pricing any trade. Question ...
82 views

### Quantitative Real Estate Investment Finance

I'm wondering if there is an application of quantitative finance to real estate investment? Specifically I'm wondering about models for pricing small neighborhoods (or even single houses) that take ...
42 views

### Recording Google/yahoo finance data streams

Is there any way to record or piggyback with an app, code or excell goggle finances' (or yahoo even) data stream? Ideally i need tick by tick data, as in every price change of the day. All the ...
144 views

### how we can derive $PIDE$ of double exponential Jump-diffusion model (we know as kou model)?

I'm working in double exponential Jump-diffusion model (we know as kou model) with following form , under the physical probability measure $P$: ‎\frac{dS(t)}{S(t-)}=\mu‎‏ ‎dt+\sigma ...
50 views

### Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
396 views

### Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
117 views

### How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
124 views

### Beta between stock and option

In Black Scholes model I would like to compute $$\beta_K = \frac{\mathrm{cov}(C_{K,T},S_T)}{\mathrm{cov}(S_T,S_T)} = \frac{\mathrm{cov}((S_T - K)^+,S_T)}{\mathrm{cov}(S_T,S_T)}$$ with respect to say ...
762 views

This question might appear trivial to many (considering the questions on this site), but I think it reflects something fundamental that I am missing. To keep things simple, assume everyone is ...
43 views

### Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
67 views

### Estimating correlation using EWMA

I am using an EWMA model to evaluate the correlation between yearly time series. I know Riskmetrics uses $\lambda=0.94$ for daily data and $\lambda=0.97$ for monthly data. Is there a value ...
66 views

### Applying Time Delay Neural Network to financial events

I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect ...
34 views

### Forced to exercise gap options

I was reading a textbook and came across some surprising stuff in the section about gap options. Let $X$ be a payoff function such that \$X=\Big\{\matrix{0 \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ ...
51 views

### Implied volatility and nonconstant volatility

John Hull states in his text that "AS the maturity of the option is increases the percentage impact of nonconstant volatility on (option) prices becomes more pronounced, but its percentage impact on ...
77 views

### How to use Halton sequence in monte carlo simulation

Does anybody know how to use the Halton pseudo random technique in monte carlo simulation. I'm able to generate the sequences and I know they are correct. I checked a couple of numbers from different ...
74 views

### VaR calculation methods of options

I am a little bit confused about VaR in Options and I need a clarification for. I collected the following formulas, can you suggest what is the best formula and explain me why, please?
219 views

### How to do a Brownian Bridge with quasi-random numbers in the Heston model?

I'm required to use the Euler Monte Carlo method to compute the option price under Heston model settings. I know from some paper that the convergence is volatile for the Heston model with a plain ...
29 views

### Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...