# All Questions

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### 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 ...
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### $\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ 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 ...
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: ...
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. ...
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 ...
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.
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
74 views

### derivation of heston pde in gatheral

Following Gather (the volatility surface, chapter 2) we assume the following process: $$dS_t = S_t(\mu_t dt+\sqrt{\nu_t}dZ^1_t)$$ $$d\nu_t= -\lambda(\nu_t-\bar{\nu})dt+\eta\sqrt{\nu_t}dZ^2_t$$ ...
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? ...
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 ...
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 $\sigma_2$ ...
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 ...
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 ...
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 ...
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. ...
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 ...
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. ...
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 ...
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?
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 ...
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 ...
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 ...
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 ...
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 ...
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: ...
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: ...
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 ...
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### 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 ...
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 ...