1
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2answers
38 views

Swap prices (preferably based on 3 month LIBOR)?

Where can I find a listing of forward swap rates based on libor. E.g. pricing on a swap of rates floating over 30 day libor for 3 year fixed, one year from now?
1
vote
1answer
25 views

Historical VaR on Commodity Physical Forward

Recently came across building Histroical VaR for commodity forward position. Understood from quants guru the best way to calculate VaR is using full re-valuation, Full reval is computationally ...
1
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1answer
42 views

Portfolio optimization - maximize variance with exposure to risk factors equal to zero

Optimize a portfolio such that the exposure to risk factors is zero and the variance is maximized (instead of traditional minimization problem). so the optimization problem look like: ...
1
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1answer
67 views

Static and Dynamic Hedging of Vol/Var Swaps

Why can a variance swap be perfectly statically hedged whereas a volatility swap requires dynamic hedging? Possible reference request to the corresponding literature.
1
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1answer
33 views

Who/What is a promoter of a company?

As Investopedia defines it: A promoter is an individual or company that, for a fee, helps raise money for some type of investment activity. Most often, promoters raise money for a company through ...
1
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1answer
34 views

Backtesting and dividend adjustments

I am backtesting a number of trading strategies using a feed of unadjusted data from Factset. Before I run the backtest my routines adjust the data for splits and for special dividends. One question ...
1
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1answer
48 views

Symmetric probability and subjective return

Let $\{Z_k\}_{k=1}^{N}$ be a sequence of i.i.d. random variables with the following distribution $$Z_k = \begin{cases} \alpha &\text{with probability} \ \hat{\pi}\\ -\beta &\text{with ...
1
vote
1answer
39 views

Greeks across different underlying

To monitor risk of a client portfolio, does it make sense to accumulate Greeks across different underlying? If yes, how can Greeks be normalized across different underlying?
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1answer
99 views

Pricing of Black-Scholes with dividend

Consider the payoff $g(S_T)$ shown in the figure below. Consider Black-Scholes model for the price of a risky asset with $T = 1$, $r = .04$, and $\sigma = .02$ and dividends are paid quarterly with ...
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1answer
97 views

Relations between Call and Put

I am trying to solve a question in finance but I am pretty much stuck and would need your help :) Suppose you know the following information about a market: Future is at 66 70 strike straddle is ...
1
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2answers
32 views

EUR issuance using forwards to hedge FX risk

Trying to think about the right way to hedge a EUR denominated issuance from FX risk only. Say I have an annual pay 20-year EUR bond and I want to hedge the FX risk but take the interest rate risk. I ...
1
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1answer
73 views

Discount factor

Suppose we have : $r$ - zero coupon rate, constant over time, $n$ - a number of years (an integer), $\theta$ - a fraction of a year $(\theta < 1)$ , calculated with the relevant day count ...
1
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1answer
83 views

Monte Carlo Option Pricing: Averaging Price Per Path

In Glasserman's book, he computes the price of an option by first computing the average price over each simulated price path. Once all the paths have been simulated, the average of all the payoffs is ...
1
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3answers
36 views

Swap curve and short maturities

Consider USD Libor 3M swap curve. There are different maturities: 2d, 1m, 3m, 6m, 9m, 1y, 18m etc. The values for 3m, 6m, 9m etc. time buckets are just swap rates for swaps with floating leg equal ...
1
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1answer
51 views

Put-on-call option confusion

So the question asks: Given a 3-steps Binomial Tree model with $S(0) = 50$, $U = 20%,D = 􀀀20%$, and $R = 5%$. A European call option has the strike price $X = 40$ and maturity time $T = 3$. Also, a ...
1
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1answer
23 views

Indexes and return spreads

First and foremost thank you for reading my question, I hope all if you have a Happy Holiday this weekend. On to my question: I am completing an assignment on global sovereign bonds, I've been ...
1
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2answers
122 views

Why is the term structure of the implied volatility surface non-monotonic?

Does this reflect expectations & uncertainty about interest rates (exposure to rho?), event driven concerns about the underlying, or something else?
1
vote
2answers
45 views

Asymptotic behavior property of geometric Brownian Motion proof

Online I found the asymptotic behavior property of geometric Brownian Motion $X_t$as: If $\mu$ (drift parameter) is $\ge$ $\sigma^2/2$ where $\sigma$ is the volatility parameter, then $X_t ...
1
vote
1answer
36 views

Disappear Standard Error in OxEdit/G@rch6 package

Hellow everyone, I'm new here. Please instruct me to do something. My problem is when I run FIGARCH(0,d,1), OxEdit still show me a matrix with variable names, coefficient, s.e, t-stat... like this ...
1
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1answer
75 views

Template for Bloomberg terminal [closed]

I'm working on my master's thesis and I need to extract data from the Bloomberg Terminal. I'm rather inexperienced when it comes to using the Terminals many features. The data I need is for the ...
1
vote
1answer
51 views

Parametric bootstrap in generating returns and hypothesis testing

I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
1
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1answer
50 views

Events effect on intraday volatility and large outliers

I have an event that takes place over a period of a few days, and I want to estimate the effect it has on market volatility using intraday data with one minute frequency. The problem is, that e.g. ...
1
vote
1answer
53 views

Error when trying to estimate a Markov-switching Var model in R

I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...
1
vote
1answer
33 views

Calculate total risk [closed]

I have a question regarding how the risk is calculated, if I have only the returns. I think the risk premium (rp) is just the average of the returns and the sharpe ratio is the risk premium divided ...
1
vote
1answer
56 views

How to convert bond options strikes to future prices

CME, 10 year Note Call Strike 1300 How to convert this strike to future price? (today's open at 131'100) For example we can take current prices EOD data for example chart on CMEgroup: ...
1
vote
1answer
61 views

the difference between forward price and future price

In Hull's book 'Options, Futures and Other derivatives', author said that when price of underlying asset S is strongly positively correlated with the interest rate, future price is slightly larger ...
1
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1answer
80 views

how to calculate RMSE, MAE, given ugarchforecast results?

Given S&P500 returns for the past 20 years I fitted an ARMA(1,1)-GARCH(1,1) model using the rugarch package, so using ugarchspec() and the ugarchfit(), with different innovations distributions, ...
1
vote
1answer
28 views

What is the difference between group and inequality constraints in Matlab?

Sorry if this seems stupid. I was wondering what the difference between a group and inequality constraint is in Matlab. As far as I can tell they are the same: From Matlab ...
1
vote
1answer
38 views

Effect of different maturity options in delta-gamma-hedging

I read about hedging with options and think i got it. However there is a case am not sure how to handle. Is there any exception in the delta-gamma-hedging-(calculaton-)technique? - say: solve an set ...
1
vote
1answer
62 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
1
vote
1answer
20 views

instantaneous forward rates vs forward LIBOR rates

HJM describes the behavior of instantaneous forward rates while BGM describes the behavior of forward Libor rates. From concept perspective, I understand forward libor rate are like forward Libor rate ...
1
vote
2answers
71 views

Does a Poisson process converge to an Ito process in long term?

I have heard that a Poisson process "converges" to an Ito (diffusion) process in long term. However I do not see how the characteristic function of the form morphs into that of the latter. In what ...
1
vote
1answer
49 views

By swap valuation, is accrued interest calculated?

If I treat the 2 legs as bonds, and I want to calculate the present value somewhere between 2 payment date, should I calculate accrued interest?
1
vote
2answers
63 views

How to price jumps in payoffs

I specifically want to know how to model a jump condition while valuing a derivative.Example :- the jumps which are observed in digital product payoffs, or barriers and knockouts. Although a ...
1
vote
2answers
112 views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 ...
1
vote
1answer
58 views

Faster way to backtest/Walkforward

I am currently using Ninja Trader to program and test my strategies and the forward testing in very time intensive. I am thinking of writing my own code in either c++ or c#. The question I have is ...
1
vote
1answer
48 views

method/technique for finding arbitrage

I was able to solve this problem and find the arbitrage but only after spending a long time on it and trying out different possibilites, is there a method or technique that can help me find the ...
1
vote
1answer
34 views

Is an FX forward with delayed settlement still a derivative?

As an example: Trade date: 1/1/16 Maturity date: 2/29/16 Settlement (exchange of currencies) 3/31/16 Is the instrument between 2/29 and 3/31 still deemed a forward? The forward rate is determined so ...
1
vote
1answer
123 views

Which studies should be replicated?

In psychology voting on which studies should be replicated is established on a website. For economics, including financial economics, the ReplicationWiki (that I founded) offers a voting option but it ...
1
vote
1answer
29 views

Are Variances generally stable for any given instrument?

My hesitation, as I look at getting into forecasting based on observed variances, is the nagging question - if variances are not constant per-instrument, is it any good to use the last month or year's ...
1
vote
2answers
32 views

Is using Fama and French factors data screening dependent?

Fama and French (1993) three factors are available in Kenneth French's data library. Some papers use them as they are provided there and others calculate them again. If Fama and French (1993) used ...
1
vote
1answer
78 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
1
vote
1answer
25 views

binomial - parameters at which american option hits early exercise possibility

I am looking for a set of parameters (d,u,r,So,K, N=?) for pricing an american call using binomial where the call hits the early exercise possibility. Do you have any exemplary set?
1
vote
1answer
84 views

option time value in the pricing models

option price = intrinsic value + time value where intrinsic value (in other words payoff at N) is defined generally as difference between the underlying asset price and strike price (order depending ...
1
vote
1answer
50 views

Is there any package in R for conditional autoregressive range model (CARR)?

I am working on a project which requires volatility estimation using range based volatility. Is there any package in R which helps me in estimating the CARR model proposed by Chou (2005).
1
vote
1answer
71 views

Options and bond related to convexity

Relevant definition: Assumption 2.1 (No dominance). If the payoff $P$ of a financial instrument is nonnegative, then the price $p$ of the financial instrument is nonnegative. Notation: $T$ - the ...
1
vote
1answer
29 views

Calculate control variate for monte carlo simulation

For an exercise I need to calculate $\mathbb{E}[X]$ with a Monte Carlo simulation. I need to use control variate $Y$ with $\text{Var}(Y)=2$ and $\text{Cov}(X,Y)=1$. I am asked to give the optimale ...
1
vote
2answers
53 views

Martingale correction for Andersen scheme with Interest Rate

I have implemented martingale correction to my Andersen scheme for Heston model, as it is in the paper (page 19-22): ...
1
vote
2answers
62 views

How can I find stocks that have had a X% price swing within Y days, sorted by recency of said swing? [closed]

Let's say that I want to find stocks that have moved +-20% within a 10 day period. ABC would match if at t, ...
1
vote
2answers
225 views

Barrier option : Monte carlo simulation

I am trying to price a Down-and-Out Call using Monte Carlo simulation. The problem is that I get the right price for the vanilla option (same price as the analytic formula of Black and Scholes) but I ...

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