# All Questions

232 views

### how to compute daily skewness of S&P daily return timeseries under no other more high - frequency time series?

As we all know , return time series marked features: fat tail or negative skewness and peakedness. For a similar problem of variance computation, we can compute variance by garch model and other ...
847 views

### When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?

Under what conditions should the drift be real world and when risk neutral when simulating Delta Hedging option pricing trading strategy any other? For 2. it should be risk neutral. For 1., it ...
486 views

### Why are multiple custom curves (swap) built for one desk?

Currently in a journey of learning and getting my hands a bit dirty with Interest Rate Swaps. Why there are multiple customized curves built by many even within one desk? For e.g. Short Rates desk ...
404 views

### Why is USD LIBOR used for USD denominated securities?

I am just starting on Interest Rate Swaps & curve construction. While reading few materials on Interest Rate Swap, it's indicated for e.g. "Floating Coupon Index: 6 month USD LIBOR". LIBOR is ...
52 views

### Existence of a hedging portfolio and martingale property

Lets assume that the underlying follows a Brownian motion and the market has the standard properties of the Black Scholes setting. Is there a way to find a hedging portfolio for every discounted ...
1k views

### estimate implied volatility using newton-raphson in python

I am trying to calculate the implied volatility using newton-raphson in python, but the value diverges instead of converge. What is wrong with the code? ...
2k views

### What exactly is the OIS Black VOL?

While poking around in Bloomberg I stumbled upon the following data set: EUR SWPT BVOL OIS for various maturities. Obviously OIS must suggest OIS-discounting but how is it related to the ...
205 views

### The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?

What is the link between option Greeks (i.e. vega, delta, gamma, theta) and implied volatility surface (IVS) movements? Could you say that their 'information content' is the same. i.e. that out of ...
135 views

I used a simple market model (Black 76) to price an american swaption. It's a formula similar to B&S, with another numeraire and forward rate as underlying. I used the SDE: $$dF = \sigma * ... 1answer 251 views ### What is PCA and how does it relate to eigenvectors and eigenvalues? What are the principal components? How they are calculated? What is their relationship with eigenvalues and eigenvectors? This is a lead-in question to explain PCA basics. EDIT: PCA is implemented ... 1answer 163 views ### Forex Fundamental Data Sources [duplicate] What are the best sources to find free Forex historical Fundamental Data in a .csv format? 2answers 100 views ### Implied Correlation using market quotes Is there a way to retrieve the implied correlation between stock price and zero coupon bonds? 3answers 415 views ### List of Stocks by Sector Does anyone know where I can find a list of all stocks traded on the NYSE in a table that also includes what sector they are in? I want to look at some data using info both from the individual stock ... 1answer 138 views ### After PCA on original factors, how to tell which original factors are dominant? When doing the PCA analysis, you end up with eigenvalues which are ordered by how much variance they explained for each eigenvector. Say, the eigenvectors since they are orthogonal, do not represent ... 1answer 195 views ### Create optimal portfolio by Treynor and Jensens Alpha I would like to know which formula to use in order to optimize a portfolio based on highest Treynor and Jensens Alpha. I am aware that usually one optimize a portfolio by highest Sharpe ratio (the ... 2answers 2k views ### How can I calculate Fama-French betas for a particular stock? For a particular stock, what's the simplest way to calculate betas for the Fama-French factors SMB and HML? 4answers 327 views ### Intermarket analysis - related time series? I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ... 0answers 170 views ### Which are the popular free/open-source charting controls? Recently i've tried SciChart and VisiBlox - beautiful charting tools. Is there any free or open-source tools for visualizing charts on C#? Thank you for answers. 0answers 232 views ### “Stable-Floating” model for non-maturing deposit for FTP purpose Non-maturing deposits (NMD) is a deposit without maturity date. The deposit rate is normally low. Banks could adjust the rate at any time. The customer can withdraw without penalty, however, in real ... 3answers 818 views ### Databases for storing and querying high frequency tick-level data? My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field. 0answers 74 views ### volume augmented garch(1,1) model in matlab Actually I want to add volume traded of a stock in my Garch(1,1) model to forecast the volatility.In Matlab I can specify the model as garch(1,1) and then use estimate and forecast commands.But I am ... 2answers 357 views ### Trend estimation techniques What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe? 1answer 377 views ### Source of Quandl Open Data I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ... 1answer 456 views ### How to price zero coupon bonds with short term rates model? I want to find the price of Zero coupon bond given a short rate model. I think about Merton, Vasiceck, CIR, Ho & Lee models. 1) Given a simulation of r_t how can I calculate  P(t,T) = ... 1answer 144 views ### How to derive equivalent martingale measure using Ito's Lemma Can someone explain how to get equation 27.14 below? I understand the first usage of Ito's Lemma to get d(\ln f-\ln g) but I do not understand how to use Ito's Lemma to go from d(\ln \frac{f}{g}) ... 1answer 186 views ### Derive instantaneous forward rate Given that P(0,T)=e^{-RT}, how does one get the formula for the instantaneous forward rate below? Specifically, how does one get to the partial derivative in the formula? I'm sure the answer is ... 3answers 779 views ### Implied Probability of Default from Bond Prices I am trying to build out a probability of default model for a bond. Given the current price of a bond and the current risk free rate, I am trying to calculate the probability of default. So assume a ... 1answer 131 views ### Replicating the short part of a long-short trade using inverse ETFs I devised a pair trading strategy going long XXX and short B*YYY. B is the quantity of shares of YYY I need to short. The problem is I can’t go short on YYY, but there is an inverse ETF for YYY ... 1answer 76 views ### Making portfolios better than others for a 16 week portfolio game? [closed] I'm going to participate in a game of making portfolios. The objective of the game is to make the portfolio with the bigger ROI over 16 weeks. Over each week every player can see the ROI of each ... 4answers 311 views ### How to model hedge fund returns? I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher ... 1answer 57 views ### The role of micro credit in finance The concept of micro credit has been around for a while. Recall that Muhammad Yunus together with Grameen Bank were awarded the Nobel price in this context. I don't have references at hand but I ... 0answers 53 views ### Effect of kernel smoothing on correlation Instead of deriving correlation matrix on standardized returns (z scores) would it not be more accurate to kernel smooth the cdf and then norminv the cdf values for the return z score and then ... 3answers 325 views ### Difference betweem martingale property and adapted filteration What is the difference between a random process that is adapted to a filteration and one that had the martingale property. It seems the two notions are quite similar and would be helpful to construct ... 1answer 3k views ### What is the equation for Garman-Klass volatility? I want to calculate realized/historical volatility for the underlying products of various options using the Garman-Klass estimator, but I can't see to find an equation, although I know it involves ... 1answer 225 views ### How to interpret negative asset volatility numerical results in Merton model? I am currently working on my thesis where I discuss the Merton default probability model. I have a huge sample of US firms for the period 1990-2010. I use both numerical and complex iterative approach ... 1answer 159 views ### Is there an easily implementable alternative to lognormal growth (something with fatter tails)? I have a toy model in Excel for the growth of a investment portfolio. I assume iid lognormal annual growth factors: =EXP(mu+sigma*NORM.S.INV(RAND())) where mu and ... 2answers 109 views ### Calculate alpha (CAPM) in “cross country-portfolio” Assume I wanted to compute the alpha (in CAPM sense, i.e. r_i - r_f = \alpha_i + \beta_i(r_m - r_f) + \epsilon_i) of a stock. So I take, say, monthly returns of a stock i for 1 year. Subtract the ... 1answer 297 views ### Forex trades: what time zone are trade and value dates specified in? When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ... 1answer 1k views ### What is Prompt Date Structure? In LME website Prompt Date Structure is explained as this. Why there are prompt dates? LME trading calendar isn't universal to all other calanedars found in the market. So how do "Non-tradable dates ... 5answers 132 views ### What is the motivation for index benchmark? I know that many funds have local index (i.e., SPX in US) as their benchmark. Why are investors interested in such kind of returns instead of absolute returns. From the first glance I'd think one ... 2answers 247 views ### Why does Futures contract credit and debit a position daily, if it has “locked” the price? I thought I had understood futures contract. But it seems the daily settlements betray my understanding. Futures contract provides price & product safety to involved two parties. E.g. Wheat ... 0answers 69 views ### Order 1.5 strong SDE integration methods for systems with diagonal additive noise I'm looking into simple-to-implement and efficient order 1.5 strong SDE integration schemes for my system. My noise is diagonal and additive (possibly time-varying). Thus methods designed for either ... 2answers 613 views ### Relationship between Large Cap and Small Cap Volatility Relative value of large cap volatility. We all track the VIX as a measure of volatility, but we often forget that the VIX is volatility indicator for the large cap index within the SP500. We can ... 2answers 135 views ### Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits? I've been trying to access the papers that state that kind of problem, but most of them need payment for access and I am on a student budget. I know that maximizing profits=maximizing stock value in ... 2answers 2k views ### Forex brokers with free API compatible with Node.js I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ... 1answer 104 views ### Where can I buy historic raw recording of an exchange Say I want to buy historically recorded raw feed from an European exchange (say LSE). Is there a vendor that would sell me this data ? EDIT: By raw feed I mean the order by order feed (or equivalent) ... 0answers 96 views ### rugarch and rolling estimation I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations. I am trying to understand the ugarchroll method. However even if I can find plenty of ... 1answer 52 views ### Hansen-Jagannathan bounds derivation: last step is not clear Pennachi's "Asset Pricing" chapter 4 derives:$$ \frac{E[R_{i}-R_{f}]}{\sigma_{R_{i}}}=-\rho_{m_{01},R_{i}}\frac{\sigma_{m_{01}}}{E[m_{01}]} $$Then, he states that the fact that -1\leq ... 2answers 2k views ### Calculating Bollinger Band Correctly My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here ... 4answers 4k views ### Are Futures exactly Delta One? Delta of Future is exactly one I thought. This post here, says otherwise. However, quoting John Hull again:$$f = \text{Value of Future contract} = S_{t=0} - K \exp(-rT) where $S$ it the spot ...

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