# All Questions

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Call Option S=100 K=100 Payoff=1 (option is not available) How can i replicate this (payoff) with calls and puts with strike prices with multiples of 5$Thanks for help 5answers 4k views ### Free paper trading site with an API I've got a quanitative trading model I want to test out in the real stock market. Right now, I'm writing some code to pull "live" quotes from yahoo, feed them to my model, and keep track of the ... 2answers 765 views ### Market Data For Project I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ... 2answers 326 views ### Obtaining characteristics of stochastic model solution I want to use the following stochastic model $$\frac{\mathrm{d}S_{t}}{ S_{t}} = k(\theta - \ln S_{t}) \mathrm{d}t + \sigma\mathrm{d}W_{t}\quad (1)$$ using the change in variable$Z_t=ln(S_t)$we ... 2answers 209 views ### Reference material about Quantified Asset Allocation? I am looking for papers that would describe asset allocation with geometry, group theory, markov chains or things like that. Keeping asset allocation in a range is easy but to keep it more precisely ... 1answer 1k views ### Please Explain the Debt to China [closed] Can someone please explain to me how we are in debt with China? Every weblog, article, journal I read have people in the comments going insane about how we "owe China monies" and "China owns the US" ... 1answer 4k views ### Annualzing the log of daily returns riddle Two popular ways to measure returns are Arithmetic returns and Log returns. Let's define arithmetic (simple period) returns as: P(t) - P(t-1) / P(t-1). Let's define log return as Ln( P(t)/P(t-1) ) or ... 1answer 2k views ### Easiest and most accessible derivation of Black-Scholes formula I am preparing a QuantFinance lecture and I am looking for the easiest and most accessible derivation of the Black-Scholes formula (NB: the actual formula, not the differential equation). My favorite ... 2answers 2k views ### Market Value of a CDS I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem? ... 4answers 698 views ### What are the risk factors in analysing strategies? What do you think of strategies displayed on timelyportfolio.blogspot.com? I really like the fact that there is some code to reproduce the strategies, but they seem very elementary because he does ... 4answers 1k views ### Which data service to buy for redistributable data? This is a follow-up to my previous question regarding anyone whom wanted to 'donate' data. So far no one has stepped up (learning more about buying and selling data, I realize that I'm going to have ... 1answer 151 views ### Where can I find the standard discount curves for the standard CDS model? Where can I find the standard discount curves for the standard CDS model? In particular I'm keen to see if ZAR is a supported currency yet... 1answer 514 views ### QuantLib and exact numerical simulation I've just downloaded quantlib and started playing around with it, and it looks like it's designed primarily to use Euler discretizations for everything -- so far as I can tell, there's not even a ... 1answer 271 views ### Is there a standard / methodology to determine and grade the quality of OHLC data? Inputs are most important to any decision making. For strategy backtesting, the OHLC data is one of the most inputs. So to ensure the correctness and integrity of OHLC data, we have checks on the ... 3answers 14k views ### How to calculate expected return based on historical data for Mean Variance Analysis I've recently started reading some books on asset allocation and portfolio theory but I don't work in the field and don't have much knowledge yet. So I've been reading up on mean-variance analysis ... 2answers 247 views ### How to represent constraints for optimization problems in a data model? I am at the moment writing a program focusing on asset allocation and I am thinking about how I should represent my constraints in the data model. The first approach that came to mind was to define ... 1answer 366 views ### FX option history I am testing my model and I am interested in options prices on EUR|USD for Jan, 2011. The history can be even daily - but I have never had a deal with fx options, so I don't know where start to look ... 4answers 9k views ### Usage of NoSQL storage in Finance I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ... 3answers 3k views ### Papers about backtesting option trading strategies I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world ... 1answer 282 views ### Reading recommendation on using statistical analysis in online fraud prevention [closed] Can you please recommend good reads on statistical analysis related to online fraud detection and prevention of account abuse? 0answers 163 views ### Benefits of Diversification and Rebalancing with negatively skewed leptokurtic return distribution? I am missing tools to investigate this issue. I am trying to solve this question here. What kind of issues should you acknowledge over the naive diversification/rebalancing with normal distribution? ... 4answers 5k views ### Implementing data-structures in a Limit order book I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance. Using F# as an example, I need to consider a List versus Array for ... 1answer 438 views ### Comparing backtesting returns with real trading returns I have 10 years of backtested simulated performance of some trading strategy (using historical prices), and N months of actual trading performance. What statistical test can I do find out if I'm on ... 1answer 412 views ### What research exists regarding implementation of reverse stress testing? I need to implement a reverse stress testing model (definition here) I have searched around and cannot find anything substantial on the topic. Does anyone know of any good papers/references ... 3answers 1k views ### Optimality of Kelly criterion in non-normal environment It is a not so well known fact that the Kelly criterion is only optimal in a nice and well-behaved Merton-world. It is far from optimal when things are getting non-(log)normal (i.e. more realistic!). ... 4answers 556 views ### Variable Selection in factor models Let's say you have a dependent variable and many independent variables. What are the preferred metrics for sorting and selecting variables based on explanatory power? Let's say you are not concerned ... 1answer 176 views ### Quantifying Hedging Error Due To Expiration Day Range? Let's say I have two call option liabilities that I want to statically hedge with a single call option. Liabilities: Liab_Call_1: Strike: 100 Notional: 1000 DaysToExpiration: 20 Liab_Call_2: ... 2answers 808 views ### Diversification, Rebalancing and Different Means I have found many financial authors making generalizations about GM and AM but they are wrong in certain circumstances. Could someone explain their reasoning? My fact why they are wrong is based ... 2answers 490 views ### Change of measure discrete time Suppose I have a random walk$X_{n+1} = X_n+A_n$where$A_n$is an iid sequence,$\mathsf EA_n = A>0\$. How to construct a martingale measure for this case?
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The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It introduces a systematic bias to the data which can cause serious problems in analysis. What methods ...
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### Fixed income modeling

I am currently working on my research paper and trying to explain a two-dimensional variable: volume and instrument of corporate debt financing. Independent variables that I believe must be included ...
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### Hobbyist Quants [closed]

I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
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### How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?

I'm trying to come up with the implied volatility skew adjusted delta for SPY options. I'm working with the following formula: Skew Adjusted Delta = Black Scholes Delta + Vega * Vol Skew Slope. I ...
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### How to estimate a multivariate GJR or TARCH model in Eviews?

How do I specify the GARCH/TARCH equation in Eviews 6 in the variance regressors frame, if I want to find out whether there are volatilty spillovers from stock markets A and B to stock market C? P.S. ...