1
vote
1answer
56 views

Is anybody using 13F-HR data for making strategies?

I see that a lot of quants work on high frequency strategies. Mostly used data are prices, volumes. I wonder, is anybody using data on funds positions, which they have to disclosure quarnerly under ...
1
vote
1answer
82 views

QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
1
vote
2answers
111 views

Pricing Forward Start Option with PDE

I am looking for references (books and papers) or suggestions on how to price forward starting calls using a PDE approach typically in the Heston model (In the BS world, the computation is trivial), ...
1
vote
1answer
43 views

Negative risk neutral probabilities economic argument

We know of plenty ways to extract risk neutral distirbutions from option prices (for example Breeden Litzberger) but there is no real analysis on how to interpret negative state prices (Haug 2007 for ...
1
vote
2answers
89 views

Fourier Transform

In a notes on "Option Pricing using Fourier Transform": Price of plain vanila call is given by $$ C(t, S_t) = e^{-rT}\mathbb{E}^{\mathbb{Q}}[(S_T -K)^+|\mathcal{F}_0] = e^{-rT} \int_K^{\infty} (S_T ...
1
vote
2answers
181 views

Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
1
vote
1answer
38 views

Is the delta of a call option a martingale using the stock numeraire?

For example in the Black_scholes case the delta N(d1) does appear to be equal to the expectation (under the stock measure) of the delta at expiration, which is the expectation of I(S(T)>K). Is ...
1
vote
1answer
44 views

How to Calculate Return Option with Forward Measure

I am trying to computing the price of an option at time $t$, with payoff $X = \frac{S_{T_2}}{S_{T_1}}$, at time $T_2$, where $t < T_1 < T_2$. Here how I compute it: Using the forward measure ...
1
vote
1answer
49 views

Methods or models to predict activity of clients of a bank

I'm a Physicist but I'd like to know if there are some methods or models to predict the activity of the clients of a bank. I heard that banks are interested in this sort of analysis so I got curious ...
1
vote
1answer
54 views

When to include dividends in option valuation

When using the Black-Scholes-Merton method for option valuation which takes into account dividends, does the dividend only get included into the calculation of options whose lifetime straddles the ...
1
vote
1answer
112 views

CDO selling or buying credit protection?

I think there is an error in the Meissner text - Correlation Risk Modeling and Management and can't find an errata for this text to verify. On page 19 the foot note reads: Shorting the equity ...
1
vote
1answer
64 views

Call and Put Prices Equal at Forward Price - Why?

Consider a European call and put with values $C_t$ and $P_t$, respectively, under the Black-Scholes model. By put-call parity, $$ C_t - P_t = S_t - Ke^{-r(T-t)} $$ for expiration time $T$. Note if ...
1
vote
3answers
142 views

delta hedging strategy for OTM option

Wondering how you would think about the following thought experiment - suppose you sell an OTM call option and plan to implement a delta hedging strategy whereby if the price of the stock were to ...
1
vote
2answers
93 views

Smoothing factor of Exponential Moving Average

I'm trying to implement an Exponential Moving Average indicator, but I'm sort of stuck on the smoothing factor. What I've come up with: $$\frac{1}{N}\sum\limits_{k=0}^N \alpha^{k} P_k$$ Where N is ...
1
vote
1answer
43 views

Listed companies on NASDAQ

Where can I find a list of listed companies on NASDAQ from 2000 to 2014?
1
vote
1answer
35 views

SVI calibration, why fit to option prices and not implied volatilities

Bear with me. Related (very good) question: How to calibrate a volatility surface using SVI From this paper http://arxiv.org/pdf/1204.0646.pdf, page 21. Why does the recipe suggest fitting to option ...
1
vote
1answer
53 views

Is it possible to detect a belief that a security will peak and then decline by analyzing American options pricing?

Please forgive me if this is a dumb question. I know only the basics of options and their valuation, and this is a question I've wondered for some time without being able to find a satisfactory answer ...
1
vote
1answer
45 views

Interpolation for PDF from Cumulative Distribution

How to interpolate PDF(Probability Distribution Functions) from CDF (without root finding method) ? Please tell the steps to do so. Thanks.
1
vote
1answer
254 views

Portfolio Management in R

I’ve been looking around for a R-package that will allow me to track my stock portfolio - basically I would like to enter stocks that I own, track the trades I make, calculate my open position & ...
1
vote
1answer
25 views

What are pre and post stress capital?

Fed papers make reference to a post-stress and pre-stress capital. I can't find definitions of these online, but from the context (below), it sounds like the post-stress capital is the estimated ...
1
vote
2answers
51 views

Trying to understand how to convert profit to home currency

I'm looking at example 2 here: http://fxtrade.oanda.ca/analysis/profit-calculator/how ...
1
vote
1answer
53 views

Applying interest rate models for volaility rate

To what extent may the interest rate models be applied for modeling implied volatity? The story: I was checking different stochastic option pricing models for being able to replicate implied ...
1
vote
1answer
46 views

What is wrong in my non-linear estimation sample code?

I am trying to reproduce the code and plot you see here on pages 8,9 and 10 which was coded in MATLAB, but I'd like to convert it to R code. I believe I converted the MATLAB code below to R syntax ...
1
vote
1answer
80 views

Monte Carlo VaR assuming logistic distribution

I have a Monte Carlo model which measures the Value at Risk (VaR) for given portfolio. I use the geometric brownian motion to model the prices. But let's say I assumed the returns of prices follow the ...
1
vote
1answer
49 views

How do I incorporate dividends into options pricing

-Hey all, recently I encountered the necessity to incorporate dividends into options pricing. Lets say I have the following american put option: Initial price - 100, T-0.25, Volatility is 30%, Number ...
1
vote
1answer
40 views

Can CreditGrades CDS Pricing Model be used for financial firms?

For Canadian banks, the CDS market is very illiquid and inactively traded. I want to get an estimate for the spread for a one year CDS on the Bank of Montreal. I was going to estimate this using the ...
1
vote
1answer
44 views

ARIMA Forecasting always converges?

I read an article about arima forecasting and i said that before we forecast arima model, its stationarity has to be checked. If the model is stationary, it is clear that forecasting converges to ...
1
vote
1answer
79 views

What is more likely effect to call and put prices, respectively, if the stock price decreases by$1?

The current stock price is \$80.Call ,and ,put, options, with ,exercise ,prices, of $50 and 3 days to maturity are currently trading. What is more likely effect to call and put prices, respectively, ...
1
vote
1answer
45 views

Differences between dummy regression event study and regression on residuals from market model

I have two different event study approaches and I wonder if the results are exactly the same. Model 1 applies a dummy regression market model: (1) $R_{t}=\beta_{0} + ...
1
vote
1answer
239 views

Is there a good backtesting package in R?

My model exports a vector that have for each day b-buy s-sell or h- hold it's look like this: sig [1] b b s s b b b s s b s b s s b s b s s s s b b s s b b b b b b s b b b b b b b I want to ...
1
vote
2answers
42 views

Finding a stock traded at two venues

For a project of mine I need to find a stock that is traded on two venues, e.g. NYSE and NASDAQ, but could be others. So I ...
1
vote
2answers
75 views

put call parity for futures options derivation in Hull

In Hull, the following derivation of PCP for futures options: What confuses me is that it is stated that the payoff of the long futures is $F_t-F_0$. The footnote states: the analysis assumes that ...
1
vote
1answer
38 views

Testing day of the week effect

I am currently reading a bit about testing day of the weeks effects. I saw two different model specifications and wonder how to interpret the results. The first model type includes only 4 dummies for ...
1
vote
1answer
84 views

How we decide the target price for stock

people giving intraday target price of particular share. Most of the times the target is achieved.I am still puzzled how the target price of stock for intraday can calculated. To elaborate my query ...
1
vote
2answers
142 views

How do you calculate price of non-existant call option on commodity future

I've been stumped on this for awhile now. I'm trying to determine the price of a call option on a commodity futures contract that expires in the future. My issue is that while the future's contracts ...
1
vote
1answer
60 views

Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size?

Is it to protect against overfills? Can anyone explain in simple terms?
1
vote
1answer
31 views

Aggregating growth rates

I'm working on a simple forecast model that uses Cumulative Annual Growth Rate (CAGR) to project future growth, and I've run into an apparent paradox. The model includes multiple lines of business ...
1
vote
1answer
110 views

How to calculate returns and sharpe ratio for futures?

What is the industry standard way to calculate returns, which will be used to calculate sharpe ratio for e-mini S&P500?
1
vote
1answer
27 views

Calculate short log return including fees

log long return is log((exitprice-fees)/entryprice) without leverage. log short return is the negative long return. So, from the above I would get short return = log(entryprice/(exitprice-fees)). ...
1
vote
1answer
81 views

Segmented investment to yield same monthly return in each segment

Not an investment specialist, so please excuse the very basic math. Given a lump sum, I need to distribute this lump sum over (x) segments, each lasting (y) years (years can be different for each ...
1
vote
1answer
146 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
1
vote
1answer
23 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
1
vote
1answer
129 views

Utility Theory - Certainty equivalent approximation formula derivation

I have a question on an exercise from chapter 9 of D. Luenberger, Investment Science, International Edition, where I suspect there may be a typo. Exercise 8 (Certainty approximation) There ...
1
vote
1answer
128 views

How are netting sets determined for CVA calculation?

In his book, Gregory describes a netting set as a set of trades that can be legally netted together in the event of a default Obviously, the netting agreements (as per ISDA master agreement) ...
1
vote
2answers
278 views

Vega hedging with implied volatility smile

I have a problem with vega hedging. Consider the management of an exotic derivative, such as Barrier option. Typically we do the following tasks: selecting a pricing model, say, a local volatility ...
1
vote
1answer
61 views

Rebucketing Risk using PCA/other methods

was working on a project and could use some help. New to the community and looking fwd to being an active part of it. My question is, let's say we have a vector of securities V, and it trades with ...
1
vote
2answers
87 views

Question about find no arbitrage trading strategy

We got the stochastic process for stock price of n stocks at continues time. We can find if there is a arbitrage trading strategy or dominant trading strategy. I wonder if we cannot find such ...
1
vote
3answers
106 views

When valuing a vanilla option on an index, should we take dividend into account?

When valuing a vanilla option on an index (eg FTSE 100), should we take index dividend yield into account? $$ c=Se^{-q\tau}N\left(d_1\right)-Ke^{-r\tau}N\left(d_2\right) $$ $$ ...
1
vote
1answer
100 views

Option writing optimal sell time

When selling options, e.g. a straddle I read often the optimal time for selling options is 30-40 days until expiration. For me intuitively the optimal time would be around one week until expiration ...
1
vote
3answers
102 views

Is it realistic to assume that the current price of a stock takes into account the probability of it going up or down in the future?

I'm currently reading the following lecture notes: http://www1.maths.leeds.ac.uk/~jitse/math2515/lecture04.pdf On the second page, under the subsection titled "The Risk-Neutral World" it points out ...

15 30 50 per page