# All Questions

1answer
184 views

### Is the market really Normal. Is Implied Volatility Historically Correct?

Ok. So as of 6/10/2014's market close the SPY was 195.6 and the VIX closed at a ridiculous recent low of 10.99. Now because the VIX (IV) is the implied volatility of 1 month contracts on the SPX and ...
1answer
111 views

### Can one use the Greeks (delta,gamma,theta) to show that the Black-Scholes call formula satisfies the Black-Scholes PDE?

If so, is there a derivation anywhere that shows this? I was told that this could be done in a class but I don't see how it's possible.
1answer
66 views

### Calculating the sensitivity of the modified bond duration to changes in the coupon rate

Given that $B=Ce^{-y} + Ce^{-2y}+ (100+C)e^{-3y}$ where B is the bond price, C is the coupon. and It is a 3 years annual coupon bond. I want to find $\frac{dD}{dC}$ where $D$ is the modified ...
3answers
67 views

### Standard way to represent trend in an a-dimensional way [closed]

Let us suppose that a factory needs to know when certain products are increasing the profit. This factory produces an huge number of products each with different targets. So the factory need to ...
1answer
75 views

1answer
338 views

### Order book depth views preferences: order-by-order vs. total aggregated volume by price levels

Which is best? Or is it irrelevant? Hi! Considering Level 2 Data (Market Depth), I want to understand the advantages to have all the order book on an order-by-order basis (or tick-by-tick basis) ...
1answer
345 views

### How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
1answer
106 views

### Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
1answer
30 views

### Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
1answer
87 views

### Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
1answer
323 views

### Interest Rate Swaps on Mortgages [closed]

Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
1answer
173 views

### DCF Zero Coupon Bond

Using a 30/360 day count what is the exact formula to discount this single zero coupon bond? ...
1answer
380 views

### How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
1answer
315 views

### How to get a Quant Job [closed]

At the end of the academic year I will graduate with a Computer Science degree (hopefully) and I would like to peruse a career in quantitative finance. What is the dest way of doing this? Is it worth ...
2answers
215 views

Expectancy is defined as "How much money gained for every $1 risked". What is the expectancy for this particular series of trades? Risked €1, won €2 Risked €2, won €1 Risked €3, won €6 Risked €3, ... 0answers 22 views ### Credit Risk question Consider two 7% (annual) coupon corporate bonds, each with one year to maturity. Both are expected to default with 20% probability. Investors demand an expected return of 4.5% on both bonds. The only ... 0answers 42 views ### How much does Axioma risk model cost? does anyone know the pricing scheme of Axioma's risk models? I heard that they are much cheaper than Barra, which can easily go above$100k per year per country/region. PM is welcomed. thanks

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