2
votes
0answers
79 views

Any thoughts on how Warren Buffet's B of A warrants might be “marked-to-market” by either counterparty?

It's not too long since Berkshire Hathaway got its 10-year warrants in Bank of America alongside its \$5 billion purchase of preferred stock. At the time I saw some discussion about the value of ...
2
votes
0answers
115 views

How to Quantify Headwinds

What are some of the best ways to effectively measure headwinds for an open ended fund? Headwinds in this case refers to the amount of volatility contributed by a factor or a set of factors to a ...
2
votes
0answers
135 views

How to find the upper bound of a digital option given some market data?

Given the price of a call equals to 5 with Strike 100, please find the upper bound (sup) of the digital option with strike 105. I am not sure about the solution, but I write the condition like this, ...
2
votes
0answers
85 views

Good Environment, Social, and Governance Indicators to correlate with financial performance of PE

I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds. Are there any suggestions ...
2
votes
0answers
161 views

What is the highest frequency greek for options on futures on bonds?

I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
2
votes
0answers
453 views

What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?

Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
2
votes
0answers
144 views

Optimal stop-loss reinsurance

What are some methods for optimizing stop-loss reinsurance? I've found an article on the minimization of the variance. I also know about the method of average-at-range. Can we apply a method for ...
2
votes
0answers
129 views

Calculating stock weight for SEC13F filers

I am trying to evaluate weight of stocks in portfolio for an investor. For this purpose I use SEC13F filings for particular quarters and historical prices from Yahoo. There are stocks in portfolio ...
2
votes
0answers
268 views

vix futures vega per contract and tvix vega per share

How much vega in spx terms (straddle contracts) or dollar value is in 10 vix futures contacts and 10000 shares of tvix
2
votes
0answers
262 views

TA/Pattern algorithm analysis

I have been building a momentum pattern detection algo (essentially involves fitting curves in overlapping windows at different timeframes) and wanted to see if anyone has done/seen similar work. I ...
2
votes
0answers
204 views

Tian third moment-matching tree with smoothing - implementation

I was wondering if someone has an implementation of the Tian third moment-matching tree (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143) with smoothing in code (e.g. c++, vba, c#, etc.)? ...
2
votes
0answers
266 views

What does T statistics of Information Coefficient indicate?

Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
1
vote
0answers
17 views

Bloomberg implied volatility smile for equities

I was wondering if someone knows how Bloomberg does their computations for the implied volatility smile for equities. As far as I understand, they use a lognormal mixture to model the stock prices. ...
1
vote
0answers
8 views

number of trades - flaw in White Reality Check?

I went through Whites paper of the reality check for multiple strategy testing. To summarize at a simple example: I have 2 strategies, s1 and s2. s1 gives 2 signals and therefore 2 returns, s2 gives ...
1
vote
0answers
33 views

How to calculate yield spread?

I came across this multiple choice question on yield spread and I can't understand why the reasoning for the selected answer is correct.Can you confirm or clarify ? ( emphasis in the text is mine) ...
1
vote
0answers
22 views

Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...
1
vote
0answers
36 views

Historical calibration of Hull-White model

I have a question concerning 1-factor Hull-White model. For my master project I need to calibrate it to compute Counterparty credit risk metrics. I know that the model might be calibrated either for ...
1
vote
0answers
18 views

Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to ...
1
vote
0answers
31 views

How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
1
vote
0answers
23 views

R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
1
vote
0answers
27 views

Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these ...
1
vote
0answers
29 views

What does the cointegration coefficient represent in pairs trading when cointegrating log stock prices?

In Pairs Trading by Vidyamurthy, on page 83 (and throughout the book), the author describes an elementary example of trading with log prices. The long run equilibrium of the basic portfolio is given ...
1
vote
0answers
52 views

Financial theory

Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
1
vote
0answers
32 views

Correct form for State Space Equation for Kalman Filter for DNS

In this paper: http://www.ssc.upenn.edu/~fdiebold/papers/paper55/DRAfinal.pdf in eqns 3,5 the state eqn has the mean removed. $(z_t-\mu)=A(z_{t-1}-\mu) + \epsilon_t$ $y_t=C z_t + \delta_t$ ...
1
vote
0answers
33 views

More cache friendly linked list or alternative with optimal append, delete, and ordered traversal for limit order book?

I am trying to implement a stock matching engine/order book in C++, and am searching for a more cache friendly architecture. Currently, my data structures are as follows: An intrusive rb-tree for the ...
1
vote
0answers
42 views

Fed Funds Rate: longer maturities

FFR published by Fed Bank of NY is the average rate US banks charge each other for the overnight loans of their reserves required by the Fed regulations. Since Fed acts similar to a clearing house ...
1
vote
0answers
35 views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
1
vote
0answers
40 views

soft vs hard contraints in portfolio optimizations

Consider two sample portfolio optimizations: Optimization 1: $\begin{matrix} \\ \min \frac{1}{2} w'\Sigma w \\ w'\mu = r \\ Aw = 0 \\ w_l \le w \le w_u \end{matrix}$ Optimization 2: $\begin{matrix} ...
1
vote
0answers
50 views

Long-term proportion of convex and concave strategies in artificial financial markets

In their classic paper "Dynamic Strategies for Asset Allocation" Perold and Sharpe state: "That convex and concave strategies are mirror images of one another tells us that the more demand there ...
1
vote
0answers
36 views

Texts on the Generalized Method of Moments

I was looking for a book that could explain me well the Generalized Method of Moments, its mathematical nuances, and even have a look to the empirical side, maybe with some guided exercises with Stata ...
1
vote
0answers
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 ...
1
vote
0answers
49 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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
12 views

How do I calculate what % of price hits R1 before pivot

I am trying to calculate what % of times the price touches R1 before the pivot level. I have the data for the last 10 years and know how often it touches the R1 one and pivot point but I don't know ...
1
vote
0answers
21 views

In this scenario could gamma be higher for OTM options?

Let's say there is a $1 stock, with say 1 day to expiration. The 1.5 strike call, is probably a 0 delta at this point; however, a 1 point increase would mean the stock would be at trading at 2 ...
1
vote
0answers
37 views

Time discretisations, FDM vs FEM

I am interested in adaptive mesh methods for numerical solution of PDEs with applications to finance. As part of a school project, I have been pricing vanilla European call and put options using 2D ...
1
vote
0answers
10 views

Calculating rate of renewal for Certificate of Deposit

I am trying to calculate the rate of renewal for a large stock of Certificates of Deposit. These contracts are given on a fixed amount of time and some of them get renewed every time they reach ...
1
vote
0answers
26 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
1
vote
0answers
27 views

How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : ...
1
vote
0answers
36 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: ...
1
vote
0answers
19 views

how does a bond maturing affect the pricing of the corresponding CDS?

if a bond matures, and there is no other existing bond from the legal entity that has not matured. Then how does that affect the CDS that corresponds to that bond?
1
vote
0answers
23 views

Disaggregating stock performance and dividend yield

I modeled the performance of several portfolios with adjusted close data and would now like to understand how much of it is driven by changes in stock price and dividend payouts. I have all the data ...
1
vote
0answers
62 views

Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?

This may be seen as a follow up question for the previous discussion on time-series vs cross-sectional factor models: Which approach to estimating fundamental factor models is better, cross-sectional ...
1
vote
0answers
35 views

Initial values for Heston Model calibration

I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes ...
1
vote
0answers
56 views

Zero rate vs. yield on coupon bearing bond

in Hull's solutions manual of Options, Futures & Derivatives (8th edition), there's question 4.7, in which is asked to put the following in descending order: a) the five-year zero rate, b) the ...
1
vote
0answers
116 views

GARCH modelling and forecasting

I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling the log return of oil spot prices using various GARCH models: GARCH, ...
1
vote
0answers
75 views

Multivariate Itô's lemma

Hey guys I'm looking for worked examples who show how to apply Itô's lemma in several variables, starting from the very basics. Thank you in advance!
1
vote
0answers
28 views

Hypothesis Testing for Portfolio Weights

Investigating international diversification is an ongoing topic in portfolio allocation literature. Britten-Jones and Kempf-Memmel , for example, use derived properties of the distribution of ...
1
vote
0answers
46 views

Variance of a stochastic integral

Ok guys, I'm new to stochastic calculus and I did an exercise that I don't know if it is correct, so I need somebody with more experience to check if it is true. Compute the variance of the R.V. ...

15 30 50 per page