# All Questions

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### Regressing NYSE returns: Lagged intercept term & efficient market hypothesis

By performing the following OLS time series regression, $y_t$ = $\beta_0$ + $\beta_1$*$y_{t-1}$ + $\beta_0$*$y_{t-1}^2$ + $\epsilon$ I cannot reject the null hypothesis that b1=b2=0. However, ...
61 views

### Cointegration and variance of time series

Given that $X_t , Y_t$ are two cointegrated random processes, what can we say about the relationship between variance of the two increments $var(X_{t+h}-X_t)$ , $var(Y_{t+h}-Y_t)$ for a given ...
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### Term Structure and short rates

If I have a term structure/yield curve given by: $$f(t, T) = f(0, T) + σ^2t(T − \frac{t}{2}) + σB_t$$ and want to find the short/spot rate $r_t$, is this simply: f(t,t) = f(0,t) + ...
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### Simulated Price Data via Harmonic Logarithmic Walks?

Hi I came up with this equation last week and was wondering if: 1) There was already a name for this mathematical process. If so, where I might find more information. 2) Also, I am not adept at ...
61 views

### continuous dividend yield - european option

Can someone help with following task? You need to use a 5-period forward binomial model to price options, which is constructed by specifying the up and down moves as follows: u = exp {(r − δ) · h + ...
21 views

### Random Matrix Theory in Risk Management [duplicate]

How can we apply Random Matrix Theory(RMT) in Risk Management for estimation risk of portfolio consisting of correlated assets?
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### Do I need to update the standard deviation into GARCH for the next step conditional variance predict?

I need to compare two garch models, I try to do that by Value at Risk. In general, if I have an initial conditional variance, for example, h1, then I can predict the next N days conditional variance ...
86 views

### Annual dividend yield using option prices

If I have only strike, call and put prices for European options, how do I work towards computing the continuous dividend yield?
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### Replicating portfolio of a “delayed” call on zero-coupon bond

Let $T < T_2 < T+D$ and $B(t,T)$ the value at time $t$ of zero-coupon bond of maturity $T$. We suppose its volatility to be a deterministic function of $t$ and $T$. Let's consider a "delayed" ...
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### Compute bond price with more coupon payments in a year

If I have a 5-year bond, which pays every six months a coupon of 2.5% with a yield of 1.5%, should I split up the yield to compute the bond price? Or is below the way to compute it? \$\displaystyle ...
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### Is it possible to offer promoters of a public company to acquire only their stake?

I am preparing a project report and I am interested in suggesting to buy the promoter stake (34%) in a public company. Will I get into trouble with the Securities Board (like SEC) if I do that instead ...
128 views

### Implied volatility from American options using python

I am currently trying to construct volatility surface from american option prices (using Cox-Ross-Rubinstein tree) in Python 2.7. Below you can find the code I came up with. Any corrections would be ...
47 views

### Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
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### Why does SOR post the order to the primary market if it cannot find best price to execute?

If a Smart Order Router cannot find the best price for an order to execute, it would post this order to the primary market. I think this is because the primary market has more liquid and more active ...
28 views

### Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...
23 views

### How to understand the upward trend of currency hedged euro/japan equity ETF

The quantitative easing implemented in Euro zone & in Japan has resulted in two outcomes Massive inflow of money into market that raised the stock index, and The weakening of euro/yen compared ...
93 views

### bond price formula in excel

I inherited a excel spreadsheet that has the following code to price a bond given coupon and current yield ...
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### Daily PnL Calculation with currency conversion and multiple trades at the same day

In my project I increase and decrease my position many times during the day and leave a part of the position open. Through these many trades the position can flip from long to short. At the end of the ...
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### How to compute the Coskewness Matrix in excel?

I'm triyng to compare two portfolio based on same sample of equities returns. And i want to know how to compute the coskewness matrix without using VBA, only in excel. Even a simple example with three ...
27 views

### scale alpha forecasts to align with covariance matrix

I have a set of monthly alpha forecasts and my covariance matrix has been annualized. I would like to do a mean variance optimization with a linear tcost penalty term. How do I rescale my alpha ...
50 views

### Which bond corresponds to which curve?

Bond X has a coupon Bond Y is a zero-coupon bond (Maturity 2 years) Bond Z is a zero-coupon bond (Maturity 10 years) The following graph is given: X-axis: yield curve, Y-axis: price Question: ...
35 views

### Invoice Discount pricing model

I was wondering whether there exist pricing models in particular for Invoice Discounting contracts and short-term financing solution where credit risk plays a major role. Specifically, assuming that ...
48 views

### Raising money in IPOs

When a company goes into an IPO wouldn't they try to make as much money as they can? Then how come the Greenshoe option says that some would try to not issue additional shares just so their share ...
52 views

### How to compute short interest real-time?

Is there a way to compute real-time short interest (at least daily) using Bloomberg for a given stock?