1
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2answers
62 views

Cheapness indicator for Convertibles Bonds

What indicator (or combination of those) could be used to roughly estimate the cheapness of a convertible bonds ? Like the price/earning ratio for equities. Thanks, Max.
1
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1answer
298 views

SEC 13F Security List has incorrect CUSIP numbers?

I'm building database of 13F sec.gov forms with 13F security lists (http://www.sec.gov/divisions/investment/13flists.htm). Along with integrity checks. I implemented CUSIP digit check algorithm to ...
1
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1answer
111 views

Where to obtain Eurex level 2 historical order book data from?

What are some possible sources to obtain Eurex level 2 historical order book data from? Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...
1
vote
1answer
266 views

Which sports are generally the best for trading on betting exchanges for a profit?

I am looking at trading bets on tennis, football and horse racing in particular as these appear to have the most liquidity. How much background research and how much trial and error is generally ...
1
vote
1answer
170 views

Implied Volatility Calculation for Deep In The Money Calls, Numerical Issues

I have two implementations for finding the implied volatility under Black-Scholes formula. One is bisection and the other is brent's method. (I know Newton-Raphson is popular due to speed and will ...
1
vote
2answers
227 views

Real-time market data from the exchanges: what should we be aware of?

We receive daily end-of-day data from a data vendor (i.e. not direct from an exchange) and are comfortable with this. We are now wanting to receive live data, and after a few enquiries we are feeling ...
1
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2answers
575 views

How to price an option on a dividend-paying stock using the binomial model?

This is actually an exercise from a course. But I don't completely understand the wording of the question. A stock is now trading at 100 dollars. Its price over the next 6 months evolves as a two ...
1
vote
1answer
395 views

Where can I find US public company bankruptcy data

I am doing a thesis about firm survival in time of crisis (2008-2009) and I would like to know where can I find publicly available database about company bankruptcy. Since I have thousands of ...
1
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2answers
134 views

Factor immunization for bond portfolio

I'm trying to figure out some kind of immunization using a factor model I developed for interest rates. Here is the basic problem. Let's say that we have a bond portfolio containing $N$ bonds with ...
1
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2answers
187 views

Feature Selection Effect on Deep Multi-Layer-Perceptron for Financial Applications

I am trying to build a machine learning system for financial price prediction. I am using a 3 layer MLP (a deep network) with 3 outputs (buy,hold,sell). I am using different features such as price ...
1
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1answer
284 views

Chart Correlation warnings

when I run chart.Correlation I get a series of warnings. I get the identical warnings with chart.Correlation(managers[,1:2],method="pearson") Here is a short sample: ...
1
vote
1answer
60 views

Risk free rate for Performance Analytics

In [R] one can pass either a vector or scalar as the risk free rate. What is better? If I pass a vector to (for example) chart.riskreturnscatter then the sharpe ratio lines disappear. ...
1
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1answer
784 views

Black Scholes formula with continuous dividend paying stock

I am reading the part of constructing B&S price for stock paying dividends. The simplest model used continuous yield dividend. But I can not see that rigorous in term of formulations. Firstly, ...
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2answers
60 views

I have some historical options data, and there are duplicates of some options, how to filter them

I have some historical EOD options data for 2013, and there are duplicates listed for same strikes/expirations. I was told that by the provider that this is due to "special one-time cash payout" for ...
1
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1answer
51 views

interbank market rates - missing data

I took EU market rates here: https://www.banque-france.fr/en/economics-statistics/rates/main-euro-area-interbank-market-rates.html As you can see (Eonia 05/13/1999 for example) there is non defined ...
1
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1answer
179 views

How to calculate the probability of 2 options ending in money with different expiration dates?

Lets say I make a trade that consists of buying one put and 2 calls of the same underlying but with different expiration dates and different strikes. Example trade: ...
1
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2answers
418 views

Using Technical Indicators for forecasting Financial time series using Machine learning models

Hi I am trying to use financial technical Indicators for forecasting, using machine learning models. The usual approach in time series cross validation is to use a moving window or growing window. ...
1
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2answers
525 views

Which risk free rate is assumed by market when pricing american options?

I'm just started with finance, so maybe my question is dumb or answered elsewhere. Please guide me to relevant materials. According to put-call parity more time to expiration means more difference ...
1
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1answer
165 views

Median value for geometric brownian motion simulation

I'm trying to simulate stock prices using GBM. I am using the following formula, and MATLAB function, to determine the stock prices: $\nu = \mu - \frac{\sigma^{2}}{2}$; $S = S0*\text{[ones(1,nsims); ...
1
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1answer
105 views

To lump or not to lump

Suppose I have a very simple asset whose price takes only three possible values: $X_t\in \{-1,0,1\}$. I also got some discrete time series $X = (X_t)_{t\geq 0}$ and I would like to come up with a ...
1
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1answer
548 views

Difference between CAPM and mean variance optimization

Is the mean variance optimization the same thing as the capital asset pricing model? Or is the mean variance only a part of CAPM?
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1answer
128 views

Simulate from time-dependent copula in MatLab using COPULARND

I would like to simulate from a t-copula with time-dependent correlation matrices. Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
1
vote
1answer
356 views

negative discount and zero rate on swap bootstraping

Hi I am writing a program to Bootstrap a EURO zero swap-curve for tenor 3M and 6M with given bid and ask. When I run the program , I get a negative zero rate and discount factor from 5Y till 30Y for ...
1
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1answer
102 views

ZSpread in multiple curve framework

how do I calculate ZSpread for a govt. bond in a multiple curve framework? I have not come across the exact details anywhere so I want to verify if I'm right. Below is my understanding, please correct ...
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2answers
168 views

How to price an European call on zero-coupon from the yield curve?

It is known that the price of an European call of maturity $T^*$ on zero-coupon of maturity $T$ is given by $$p(0,T)= B(0,T^*)\mathbb E ^{\mathbb Q_{T^*}}\left[ (B(T^*,T)-K)^+\right]$$ where ...
1
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1answer
233 views

Total return index for interest rates (EURIBOR 3M)

I would like to calculate a daily total return index for the EURIBOR 3M. • Should I freeze at the beginning of each qurter die rate? (With this methology the developing of the index depends on the ...
1
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1answer
49 views

finance - using CAPM [closed]

The risk-free rate is 4%, and the expected return on the market portfolio is 12%. Using the Capital Asset Pricing Model: a. What is the risk premium on the market? b. what is the required return on ...
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1answer
59 views

Pricing rule shall be a martingale measure

In the book "Financial Modelling with jump processes" by Cont and Tankov there is a chapter that explains martingale pricing principles. It is not extremely formal, but gives the idea underlying the ...
1
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1answer
436 views

How to calibrate the Hull-White model using cap prices?

I'm given cap prices and swap rates, and i'm trying to calibrate the Hull-White model to them. I then want to use the model in order to price a swaption. I know that the model can be calibrated from ...
1
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2answers
469 views

FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
1
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2answers
99 views

TAQ NYSE OpenBook

Where can I get/buy the TAQ NYSE OpenBook for specific stocks on specific days? I don't need a whole year of all stocks. I just want to enter a day and a stock, so I can download the order book data ...
1
vote
1answer
70 views

Optimal Upper and Lower Bounds

For the following exercise: Give optimal upper and lower bounds on the price today for a product that pays a function of the spot price, $S$, of a non-dividend paying stock one year from now, there ...
1
vote
2answers
286 views

Long/Short Backtesting Set up

I am going to be backtesting a Long/Short equity strategy and need some guidance on how best to deal with the short book. I was thinking that for each portfolio I would go long 50 equities and go ...
1
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2answers
89 views

How to calculate cash flow for XC swap

Given 3MLibor vs 12MLibor USD basis swap the 3M Libor is exchanged at 12MLibor+1%. How to calculate the cash flow
1
vote
1answer
49 views

Cause of long term inflation in the United States [closed]

Does the US government have a policy of printing money? If so what is this number called, who decides what it is, and where can I find it? If not what is the cause of our long term inflation? (I'm ...
1
vote
1answer
208 views

Normalization of Market Data in Time Series Correlation

Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is How do we handle gaps of missing data in the time series? ...
1
vote
3answers
160 views

I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value

Consider a coupon bond, starting at $T_{0}$ , with face value $K$, coupon payments at $T_1, . . . , T_n$ and a fixed coupon rate $r$. Determine the coupon rate $r$, such that the price of the bond, at ...
1
vote
1answer
126 views

Best sources for worldwide balance sheet data?

I’m interested in databases with quarterly balance sheet data of the financial sector. I’m aware of the following datasets: -Compustat -Compustat Global -Bankscope Can someone point out other ...
1
vote
4answers
153 views

Black scholes text book

I am looking for an easy and well presented introduction to Black-Scholes theory and stochastic calculus aimed at undergraduate mathematics students. Please can you recommend a book? How about Paul ...
1
vote
1answer
109 views

Optimization metric that takes into account number of trades vs expectancy

In optimizing my automated trading system I find that certain combinations while increasing the expectancy: ...
1
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1answer
190 views

Information on books about mathematical finance

In the past at my school the subject of "Mathematics of Derivative securities" has been taught out of two books. "Quantitative Finance" by T. Wake Epps and "Options, Futures and Other Derivatives" by ...
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1answer
382 views

Provide a bond pricing differential equation and invoke Feynman-Kac Theorem

Grateful for any assistance. Consider the process: $dZ=r(t)Z\,dt$ , where $r(t)$ is stochastic interest rate and $Z=Z(r,t;T)$ is a zero coupon bond Price. Provide a bond pricing partial ...
1
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1answer
186 views

Interpret alpha's on Dual-Beta Model regression Results

I am trying to calculate the Dual-Beta for Apple (AAPL) by running a regression against the Spyder's ETF (SPY) & using the 10-yr Risk Free rate. The formula for the dual beta is: ($r_{AAPL}-r_f) ...
1
vote
1answer
82 views

Market Timing Performance for a single stock

It seems there are models that study the market timing ability of funds. Models such as the Treynor-Mazuy and Merton-Henriksson. One can also study the bull beta and compare it to a bear beta. My ...
1
vote
1answer
107 views

How to model the effect of earnings surprises on long-term returns?

I'm looking into modeling the relationship between EPS announcement surprises with long-term returns (1 quarter to 3 years with intervals). I've based my current methodology off papers looking at the ...
1
vote
1answer
312 views

Understanding how to calculate tracking error

I have come across two ways of calculating Tracking Error (TE) but i'm not sure if they are essentially the same. The first way is to calculate the standard deviation of the difference between a ...
1
vote
1answer
98 views

Where can I find a list of market-moving news announcements for different asset classes?

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...
1
vote
1answer
55 views

End-of-day holdings vs overnight inventory

I am wondering whether these two terms identify the same thing: overnight inventory end-of-day holdings The way I would explain it intuitively, the inventory that is held overnight should be ...
1
vote
2answers
565 views

Price of a composite option

how would you calculate the fair value of an option on a fx'ed underlying, e.g. a put on a USD-stock which is changed into EUR? How should I get, in practice, the fx spot vol/correl? Purpose is to ...
1
vote
2answers
55 views

Distribution of the value of a portfolio

Suppose there are k different stocks in a stock market. All of their prices are independent from each other. One year from now the price of the i-th stock will be $X_i^2$, where $X_i \sim ...

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