-1
votes
1answer
44 views

Probability distribution and Stock Price Movement [closed]

How can we use normal distribution for finding the probability of a stock price offer where current price offer depends upon the last price offer. The price offer on some day can go 10% above (at the ...
2
votes
1answer
51 views

$\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$

How can I show that payment of $\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$ ? Where A is a deterministic ...
1
vote
1answer
80 views

How to calculate the probability of 2 options ending in money with different expiration dates?

Lets say I make a trade that consists of buying one put and 2 calls of the same underlying but with different expiration dates and different strikes. Example trade: ...
1
vote
2answers
183 views

Using Technical Indicators for forecasting Financial time series using Machine learning models

Hi I am trying to use financial technical Indicators for forecasting, using machine learning models. The usual approach in time series cross validation is to use a moving window or growing window. ...
0
votes
0answers
22 views

Impulse Response Function, VAR

I calculated VAR coefficients and got stability coeficients. But then I calculated Impulse Response function and it turned out to be spike-shaped function (like cos(x)*exp(-x) with acute extremuma ...
0
votes
2answers
42 views

Implied probability from CDS spread

I have two tasks: 1) Given country's CDS spread draw implied probability of default. 2) Given probability of default calculate CDS spread. If possible, refer to any papers. Thank you in advance.
4
votes
4answers
151 views

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
3
votes
1answer
69 views

Best simplified way to model volatility in returns of an investment in a risky fixed income asset

I am currently working on a project where I have analyzed a certain category of fixd income instruments, and I now have the gross aggregate yield as well as the theoretical gross-aggregate ...
0
votes
1answer
83 views

Key rate duration - Bond trading at par

I am reading the CFA L2 curriculum Bond Analysis section and it mentions that for a bond trading at par, the maturity-matched rate is the only rate that affects the bond's value and therefore the key ...
2
votes
0answers
22 views

Life annuity and the use of Gompertz-Makeham

The question goes as follows: Consider a life annuity contract that pays the holder a yearly fixed amount from a certain time until the death of the holder of the contract. (a) Suppose ...
0
votes
1answer
68 views

VIX options historical data

I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
1
vote
2answers
42 views

Multicasting with FIX

I have a scenario in which a FIX server will send to multiple clients. I have found examples in which this is done by sending to each session round-robin fashion however, is there any facility in FIX ...
1
vote
1answer
74 views

derivation of heston pde in gatheral

Following Gather (the volatility surface, chapter 2) we assume the following process: $$ dS_t = S_t(\mu_t dt+\sqrt{\nu_t}dZ^1_t)$$ $$ d\nu_t= -\lambda(\nu_t-\bar{\nu})dt+\eta\sqrt{\nu_t}dZ^2_t$$ ...
1
vote
0answers
65 views

Stochastic Volatility CIR estimation

would anyone have a code (pref. Matlab or R) for any type of estimation (QML, GMM) not using option prices of a stochastic volatility model driven by a CIR process described below? \begin{equation} ...
1
vote
1answer
113 views

short-sale constraint with nonpositive-definite matrix in portfolio optimization

I need help about portfolio optimization in R. I have inverted matrix and I want to use it as an input in portfolio optimization. It was non-positive definite before I have handled it. In portfolio ...
4
votes
1answer
95 views

How to price a futures spread option?

Let's say I have two futures contract $F_1(0,T)$ and $F_2(0,T)$ on two different correlated underlyings. If I assume that both underlying follow a GBM with volatility $\sigma_1$ and $\sigma_2$ ...
1
vote
0answers
42 views

Get: Historic S&P500 Market Cap

I need the market cap of the S&P500 components on 2.6.2013. It should be easily downloadable via Bloomberg, but I dont have this databank. E.g. you could use ...
4
votes
2answers
80 views

Distinction between “risk factor” and “market anomaly”

What are some of the general rules to decide whether a particular factor is a "risk factor" or "anomaly?" Naively speaking, can't you put any anomaly factor on the right-hand-side of the regression ...
2
votes
1answer
101 views

Ho and lee derivation for short rates model

A silly question that is bugging me. I am working my way through Baxter and Rennie (again) and I am getting my wires crossed on the short rate models in particular the straight forward Ho and Lee ...
2
votes
1answer
57 views

Exercise on American call option and dividends

Consider an americal Call option on an underlying paying dividends. Then it is often argued that it is only optimal to exercise right before the dividend is paid out, otherwise one will not exercise. ...
5
votes
2answers
159 views

Two correlated time series - driver and follower

Say that there are two time series of highly correlated stocks one of which is the driver and the second one follows the first one. What mathematical measure or formula would you use to identify ...
2
votes
1answer
135 views

Aren't Technical Indicators calculated on Adjusted Close Price?

I would assume that day to day movement in stock can be accurately compared with the Adjusted Close Price and not simply the Close Price, taking into account Stock Splits Dividends etc. ...
2
votes
2answers
84 views

VIX-implied Volatility calculator

Does anybody know any implied volatility calculator for VIX Options, possibily in Matlab? For Vanilla Options, I'm currently employing this function which is very fast and reliable (much more than ...
0
votes
1answer
29 views

How to use WACC for investment?

How to use a value of WACC? I have calculated WACC of company to be 7%. What if company had smaller or bigger WACC? Which one would attract investment?
1
vote
2answers
48 views

comparing modified VaR to ordinary VaR

What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also ...
-1
votes
1answer
23 views

How should I interpret MDD and ASD? [closed]

I'm studying hedge funds and I'm looking at two figures that I'm not sure how to interpret: The first is Max Drawdown, which I see scaling from 0 to -30ish. Is Fund A with a MDD of -15 more or less ...
0
votes
0answers
48 views

How do I track implied volatility of specific delta?

I'm a newbie with respects to volatility trading and options. I recently purchased a book on the topic called "Trading Implied Volatility -An introduction" by Simon Gleadall. It's been one of the most ...
4
votes
1answer
108 views

Historical Financial Statement to Backtest in R

I would like to preface this by saying I am preparing for an upcoming internship this summer so I am extremely new to Quant Finance. At my university we have access to Datastream by Thomson Reuters ...
3
votes
1answer
43 views

Why Beta Distribution for Credit Migration

When modelling credit migration probabilities (e.g. AAA to AA), research has indicated the use of the Beta Distribution simply because it fits empirical data. My question is; What are some other pros ...
2
votes
4answers
192 views

Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?

I use R to estimate a seasonal ARIMA(8,0,0)(5,0,1)[7] model for the seasonal differences of logs of daily electricity prices: ...
1
vote
0answers
49 views

Ibrokers: reqMktData extremely slow when adding tickers

I am trying to snap prices in R for the latest price for a list of stocks (around 150). When I snap them for 2 stocks, it's almost instantaneous: ...
1
vote
2answers
111 views

Which risk free rate is assumed by market when pricing american options?

I'm just started with finance, so maybe my question is dumb or answered elsewhere. Please guide me to relevant materials. According to put-call parity more time to expiration means more difference ...
1
vote
1answer
45 views

Median value for geometric brownian motion simulation

I'm trying to simulate stock prices using GBM. I am using the following formula, and MATLAB function, to determine the stock prices: $\nu = \mu - \frac{\sigma^{2}}{2}$; $S = S0*\text{[ones(1,nsims); ...
1
vote
1answer
66 views

Log returns and GARCH models

I try to model currency rates volatility using GARCH models through the RUGARCH package in R. Starting from the observed currency rate series, I compute the log-return through: ...
2
votes
1answer
67 views

Do we need Feller condition if volatility process jumps?

It is fairly known that in affine processes, as Heston model \begin{equation} \begin{aligned} dS_t &= \mu S_t dt + \sqrt{v_t} S_t dW^{S}_{t} \\ dv_t &= k(\theta - v_t) dt + \xi \sqrt{v_t} ...
3
votes
1answer
81 views

What are the empirical limitations to testing market efficiency?

I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...
2
votes
2answers
77 views

Free access to official real-time and intraday data for exchanges [duplicate]

Where can I obtain all official real-time and intraday data for exchanges — NASDAQ, NYSE, AMEX, OTC, CME, etc? I feel like the raw data is out there to be consumed and parsed at no cost (except the ...
1
vote
1answer
47 views

How does Reuters quote caps?

I'm wondering which curves should I use when passing from the Implied volatility to prices. When I read an implied volatility (for instance 3Y Cap strike 0.5%) the discounts and forward rate ...
0
votes
0answers
76 views

What is the best real time data feed - IQFeed, kinetick.com, etc?

This is my first post, and I know of quant's vast knowledge base of the users. Thanks in advance for any assistance. Any quantitative testing, benchmarking, expected lag, true numbers comparing all ...
1
vote
1answer
64 views

What are the units of the variables appearing in a standard stochastic differential equation for a Wiener process?

The Black Scholes model assumes the following form for the Wiener process describing the evolution of the stock price S: $dS=\mu S dt + \sigma S dX$ Clearly $S$ ...
1
vote
1answer
174 views

Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
1
vote
1answer
61 views

Am I in a long or short position in this case? (Cross hedging)

An airline expects to purchase 2 million gallons of jet fuel in 1 month and decides to use heating oil futures for hedging. The variance of the heating oil futures price is 1,5 times bigger then the ...
0
votes
1answer
52 views

Is this process predictable or not?

Consider a market model with two assets which are modeled as usual by the stochastic process $S^0$ and $S^1$, that is adapted to the filtration. Can anyone tell if this process is predictable or ...
1
vote
1answer
84 views

Technical Analysis in FX: literature on effective methods

I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I ...
1
vote
1answer
47 views

Geometric Return & Performance Results for Quarterly Rebalancing

I have a Portfolio that is rebalanced every 3-months. The portfolio is made up of assets that have daily log-returns. I am a bit confused when charting the results using ...
6
votes
1answer
56 views

Calibration of nested pricing models consistently on two different classes of derivatives

Hi everyone, I'm programming in MATLAB and I have the following optimization problem in calibrating several nested specifications of pricing models. Summary: I have two pricing models ($1$ and $2$, ...
0
votes
1answer
39 views

Critical Appraisal of Approaches countering Parameter Uncertainty in Portfolio Optimization

It is very hard to come up with legit and solid advantages and drawbacks of the various approaches wich are trying to counteract parameter uncertainty in portfolio optimization procedures. In my ...
0
votes
1answer
34 views

Yahoo currency api

I've had a currency widget made for me which is based on http://query.yahooapis.com/v1/public/yql?q=select I am wondering if I can use it on my site, which even though it not more than a hobby could ...
1
vote
1answer
74 views

If the risk neutral probability measure and the real probability measure should coincide

Sorry if this may be a stupid question. I have not had that much mathematical finance, I've only learned about discrete time models. But lets for the argument say that you have a stochastic process ...
3
votes
2answers
195 views

Arbitrage and dominant strategies

If there is no arbitrage there is no dominant trading strategy, but there may be arbitrage opportunities even if there are no dominant trading strategies. Could you explain this statement and bring ...

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