3
votes
2answers
375 views

Is there a way to adjust R PerformanceAnalytics function VaR with EWMA or GARCH method?

Is there a way to upgrade R PerformanceAnalytics function VaR with more risk sensitive approaches like EWMA or GARCH? Or is there another R package which can handle the issue?
1
vote
0answers
250 views

Asian option numerical pricing method generates a negative time value

I use R to write a function which simulates price path and calculates the value of an arithmetic Asian option. I found sometimes the value of the option can be lower than its intrinsic value, i.e., ...
1
vote
1answer
141 views

Calculating returns for a mutual fund with dividends

I'd like to calculate returns for a given mutual fund (in this case, PRWCX from troweprice). When I look at their published performance, it says the Calendar Year Total Returns for 2013 is 22.43% but ...
3
votes
1answer
442 views

Bootstrapping Sharpe Ratios

A similar question to this was asked here: How do i test the significance of Sharpe ratio of a strategy using bootstrap I have bootstrapped the original time series (using block bootstrapping) and ...
2
votes
0answers
123 views

Scale of Market Quakes Computation

I would like to reproduce the results in the paper "The scale of market quakes", from T. Bisig, But I am getting stuck at the computation of the Fourier Coefficients in equation (4). They are defined ...
2
votes
2answers
124 views

Algo's Shadowing Limit Orders

So I was trading the option contracts on NLY (Annaly Capital Managment) today. The stock took a big dip today which piqued my interests in selling some OTM puts. Since the options market on this ...
2
votes
1answer
351 views

Pricing a bond contract from the yield curve

When giving a particular class in financial mathematics for a student I saw a problem in a list of exercises that says: How to calculate the price at 15 December 2010 of a bond paying a coupon of 11....
0
votes
0answers
307 views

Calibration Problem in the LMM-Skew (Shifted Diffusion) Model

I have implemented the LIBOR market model (LMM) and I am quite satisfied with the results. I have now added a skew to the model as described in 10.1 of Brigo/Mercurio. That is, I have replaced the SDE ...
2
votes
2answers
5k views

Where can I download intraday series for DAX and S&P500 Index?

Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
7
votes
0answers
215 views

For which instruments performs SABR/LMM better than LMM?

For which class of instruments the SABR/LIBOR Market Model does perform better than the classical LIBOR Market Model? The LIBOR Market Model The LIBOR Market Model — also known as Brace, Gatarek, ...
2
votes
2answers
508 views

Is there a good closed-form approximation for Black-Scholes implied volatility?

While the solution for IV can certainly be reached using numerical search methods, I wonder if a high precision closed-form approximation exists. For example, there is a very robust (precise within ...
2
votes
0answers
109 views

Beta distribution - Holding period

Let's say I have a risk factor that is defined between [0,1], such as recovery rates. Assuming I have daily data, I can estimate the "daily VaR", i.e. the tails over 1 day period, since the data is ...
1
vote
1answer
1k views

What is Base- vs. Implied Correlation of a CDO tranche?

What is the difference between Base Correlation and Implied Correlation for a CDO tranche?
7
votes
2answers
335 views

Filtration and measure change

I asked this question in math stackexchange but to no avail. So i'm trying the luck here. I'm reading Steven E. Shreve's "Stochastic calculus for finance II", and find myself not really understand ...
0
votes
1answer
136 views

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
1
vote
1answer
50 views

MPT and the connection to asset prices / initial capital

I have some question about MPT. Suppose we want to build a portfolio given $N$ assets: $A_1,\dots,A_N$. At time $t$ we build the portfolio using MPT, which yields some weight vector $w_t=(\lambda_1,\...
1
vote
2answers
187 views

How can one find an area of research in quantitative finance appropriate to write a masters thesis on? [closed]

I am in the first semester of a MS in mathematics. A requirement for the degree is to write a masters thesis. Here a thesis means writing on a current area of research in finance, but an original ...
0
votes
1answer
459 views

Hedging future USD cost using different IR and forwards

I am facing a problem where I suppose an expense in 6 months from now of 2,500USD. My home currency shall be EUR, and I am trying to hedge given the following information. ...
2
votes
2answers
235 views

Option Prices under the Heston Stochastic Volatility Model

I was wondering if anyone has come across a more straightforward derivation of the semi-closed form solution for the price of a european call under the Heston model than the one proposed by Heston (...
0
votes
3answers
161 views

Calculation of weekly P/E ratio

The P/E-ratio is defined as $$ \frac{\text{Market value per share}}{\text{Earnings per share (EPS)}} $$ I have weekly observations of stock prices, but what measure should I use for EPS? Should it ...
2
votes
1answer
241 views

Predicting stock returns - in a panel data specification or by using portfolio formation strategies?

I'm working on an empirical analysis where I try to predict stock returns using weekly data. Ideally, I would like to use a panel data model like the following: $$ Y_{it}=X_{it}'\beta+\varepsilon_{it}...
3
votes
3answers
382 views

Validity of CAPM

I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard: ...
-1
votes
1answer
106 views

conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
1
vote
0answers
20 views

Standard errors clustered along the time dimension in pooled panel logit model

I'm trying to estimate a logit model on pooled panel data set (unit of observation is firm-year). My dependant variable is default indicator and I have several macro variables as independant variables....
7
votes
2answers
2k views

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

I have a question about the function Return.portfolio/Return.rebalancing from the Performance Analytics package in R. I take ...
2
votes
1answer
277 views

Basic question on LIBOR-OIS swap

I'm just starting a pricing class and am a little confused by a statement in a class reading (a fed report). It goes something like this: "A bank borrowing at the 3-month LIBOR rate of 2.10 percent ...
6
votes
4answers
351 views

Efficient Markets Paradox

Basically all Quant Finance theory is build on No-Arbitrage presumption and Efficient Markets Hypothesis. The known Grossman-Stiglitz Paradox says: if one can't make money from trading, one wouldn't ...
1
vote
0answers
58 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
4
votes
5answers
1k views

Would this extremely simple strategy make money?

Find a diversified set of financial instruments by whatever method you like. Every day, buy each instrument at the open price. Historically, the open price is almost never the high. Sell immediately ...
4
votes
2answers
194 views

Back-testing Value at Risk with a WML investment strategy

I'm currently taking a course in Financial Econometrics and there is a question in the lecture notes regarding back-testing of VaR which I'm have difficulty with. First of all the procedure for back-...
2
votes
1answer
1k views

How to draw a binomial option tree graph?

I am writing a paper and need to create a png or jpeg file for binomial option price tree. In the past I would have used the tikZ package in LaTeX, but that won't work in this case. So I want a ...
0
votes
1answer
127 views

What is the required Risk/ Reward ratio in Forex? [closed]

It is usually taught in forex training courses that the risk:reward ratio should be 1:2. My question is: why is it 1:2 but not other ratio? Also, I am new to forex trading. To what level of technical ...
1
vote
0answers
68 views

Cross-Currency Inflation-Linked Swap

I am trying to find any references to cross-currency inflation-linked swaps. Have anyone encountered them and can describe how they work and how they differ from standard year on year inflation swaps?
2
votes
0answers
40 views

How can I break down the change in value for an inflation-linked bond

I am trying to decompose the change in value of an inflation-linked bond into two constituent parts: 1) That due to changing nominal rates on the issuer's non-linked bonds 2) That due to changing ...
3
votes
3answers
213 views

Convergence of GBM mean after simulation?

As a follow up of my previous question, I am now simulating the GBM step by step for $n$ steps. I am using the following implementation for the simulation: $$S_{t+1} = S_t \exp \left[ \left(\mu-\...
0
votes
1answer
104 views

Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
3
votes
1answer
152 views

What is wrong in this GBM simulation?

I am trying to generate a few samples of GBM using the following very simple MATLAB code: ...
1
vote
0answers
79 views

Rule of Thumb for minimum length of time series for AR(1) estimation

I have a data set of 350 points, I want to estimate the lag 1 auto correlation for different sub-sets of the data. More precisely I want to take non overlapping windows of length 1,2,3....n and ...
4
votes
1answer
167 views

Literature on Empirical Option Pricing

When I started combing through the literature I was astonished about how little the option pricing models are tested against market data and benchmarks are limited. The main barrier is of course ...
3
votes
1answer
536 views

Pricing Callable Floating Rate Note

I have a question concerning pricing of a callable floating rate note (FRN). I have not found a lot of literature concerning callable FRNs (although a lot for callable bonds). With my understanding, ...
3
votes
1answer
83 views

Copula- AR simulation

I am estimating different copulas for bond factors that i also fit AR(1) models on. Now i would like to test and compare durations and VaRs with my model vs empiric. But how can i simulate AR(1) ...
1
vote
0answers
49 views

Intensity Function of Stochastic Processes

I'm fitting some financial data to a model based on a stochastic process and evaluating the fit of it by looking at the compensator. However, I cannot understand well what does it mean to take the ...
3
votes
1answer
84 views

Sovereign Credit Rating

I am working on the determinants of sovereign credit rating. I am looking for the historical rating data-set for euro-zone ...
5
votes
3answers
456 views

Option on a dice game

I am sligtly confused by this problem, although it should not be difficult. Let us roll a sigle dice. If the dice shows $n$, I receive $n$ dollars. I can buy an option to roll the die again. What is ...
1
vote
2answers
114 views

Different interim balances when calculating annual compound interest different ways

Something interesting that doesn't quite make sense to me. When calculating compound interest using P(1+r)^t, I'm calculating in two ways - one using the day 1 principal balance, and the other using ...
2
votes
2answers
396 views

What is the best way of updating data while using Empirical Mode Decomposition to analyze

I have a question about EMD updating new data points. For an entire time series, from beginning to the end, the EMD preforms quite good using the cubic spline function. The problem happens when new ...
6
votes
1answer
234 views

When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?

I think: when Fed stops QE (Quantitative Easing), Treasury Futures prices will go down. Question 1: Am I right? So... buying LEAP Puts (in Treasury Futures) would be a good idea. Question 2: Am I ...
2
votes
2answers
77 views

Is this a reasonable approach to determine the relative importance of valuation factors?

I am trying to come up with a measure of relative importance of a number of valuation factors. I am wondering whether correlation coefficients can't be used for determining this. More on the issue: ...
1
vote
1answer
131 views

Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
1
vote
2answers
66 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...

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