# All Questions

60 views

### Why might a manager consider using an interest-rate in which the notional principal amount declines over time?

Say swap would be used to convert the payments of its portfolio of fixed-rate residential mortgage loans into a floating payment. Why might a manager consider using an interest-rate in which the ...
190 views

### Eurdollar Futures

Trying to understand the Eurdollar market a little better. I understand it's the market for dollar denominated deposits outside the US (not just in Europe). They are unregulated and not subject to ...
356 views

### Probability of trade's exit orders being triggered in random-walk market

When placing a trade with Stop Loss and Take Profit orders in a hypothetical random market (i.e. 0.5 probability of up tick and 0.5 probability of down tick), assuming: x is the distance in ticks of ...
275 views

### Absolute Dollar Form Of Kelly Criterion

Is there a absolute dollar form of the Kelly equation $f=\frac{m}{s^2}$? (i.e. one that does not use percent returns).
118 views

### Exposition of Growth in a Perpetuity

Something that's bugged me since I've ever learned anything about finance: Philosophically(?) speaking, why does growth subtract from a perpetuity's return? I know the mathematical explanation, but ...
288 views

### Minimum variance hedge with more than one asset

My portfolio comprises of 3 assets A,B,C that are correlated and the variance-covariance structure is known. At any given point in time, my position in Asset A say is given to me. I need to ...
451 views

### Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?

I was asked to use idiosyncratic volatility as a regressor in a cross-sectional regression upon cross-sectional returns as the dependent variable. Returns can be thought of as the raw log stock return ...
248 views

### Fastest algorithm for extracting 25% and 75% marks

I'm hand rolling some visualization algorithms. Extracting the min/max of a time series is $O(n)$, for n entries. If I want the 25% and 75% mark, I could use an $O(n \log n)$ time sort, then get the ...
533 views

### What is the instantaneous P&L of a Variance Swap?

What is the instantaneous P&L of a variance swap. Is it $(\sigma^{2}_{t}-\sigma^{2}_{implied})dt$?
699 views

### Does amortization of bond start accumulating on trade date or settlement date?

I am sorry if this is not appropriate here. We are building a wealth management system and I really would like to know whether amortization of bond start accumulating on trade date or settlement date ...
155 views

### How can I estimate the parameters of an option value model of retirement?

I am modelling an option value model of retirement, see for instance Stock and Wise (1990). I am however not sure to which class of problems this model falls into and hence which optimization method I ...
142 views

### Brent Crude Data

I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
555 views

### T-note returns from T-note yields … derivation of Damodaran's formula

Damodaran's historical data on 10-year T-note returns (found here) uses the following formula to calculate the 1-period total return on a T-note ($R_1$) given the 10-year constant maturity yield-to-...
143 views

### Derivatives with a floating Libor leg

If Libor is found to be fraudulently fixed, are any of the derivative contracts with a floating libor leg still valid?
169 views

### help me compare methods to compute one instrument price from another instrument price

Assume we have two instruments A and B. Also time is increasing from 1 to n. Let's say that ...
258 views

### Normalized data

I am new to this. I trained and tested my data using SVM in Matlab with the autoscale option true => the data would be normalized with unit SD. Let's say the training data have the price around 200. ...
1k views

### How is mean reversion implied by different valuations of Bermudan swaptions?

Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
294 views

### Reading recommendation on using statistical analysis in online fraud prevention [closed]

Can you please recommend good reads on statistical analysis related to online fraud detection and prevention of account abuse?
23 views

### Explain Four Basic Axioms of Maximising Expected Utility

I begin learn PRM , Someone help me understand Four Basic Axioms of Maximising Expected Utility most intuitive way .Thank you very much
32 views

### How do they calculate stocks implied volatility?

I know the construction of Black-Scholes model and how do we solve it for an Implied Volatility. But in general, which option ...
38 views

### Choosing an exchange rate in a macroeconomic panel data set

I am constructing an investor sentiment index to determine the impact of investor sentiment on stock market crises. I am following the methodology in this paper, http://121.192.176.75/repec/upload/...
34 views

### Trinomial model for stock options with deterministic interest curve

I am implementing a basic trinomial model with constant volatility right now. I want to do an extension that does not take a constant riskfree rate as input, but interpolates between different given ...
41 views

### How to get all securities in an asset class from IBPy (Interactive Brokers python API)

Would like to know how to request all securities in an asset class using IBpy, the python wrapper for the Interactive Brokers API. For example getting all currency pairs in the class forex ('CASH'), ...