# All Questions

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?
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 ...
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: ...
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.
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 ...
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 ...
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 ...
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?
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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?
2answers
45 views

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): ...
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, ...
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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