0
votes
1answer
58 views

American put option and rising interest rate

Will a rise in interest rate always result in a lower price of an American put option?
0
votes
1answer
29 views

Test Log-Normality for LIBOR forward rates under the Libor Market Model

As far as I understand, under the Libor Market Model the forward rates are assumed to have a log-normal distribution. Given that I have constructed my LMM model and now have a matrix of: k different ...
0
votes
0answers
35 views

How to construct a cointegrating vector using more than 2 price series in R?

I use now this code from hier Why does the following data fail my cointegration test? with slightly modification of possibility to load something directly from Dropbox file storage . ...
0
votes
0answers
16 views

Complex yields occur for some sets of cash flows

My question is not inherently related to Matlab but if there is a solution using Matlab that would be great. I have inherited some Matlab code that uses the function bndyield to get the yield of some ...
0
votes
2answers
32 views

convert three months interbank rate into monthly rate

I have a time series of the three month interbank rate each month and I suppose that the rate is has yearly frequency. I need these interbank rates to be on a monthly basis because I want to us these ...
0
votes
1answer
49 views

Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
0
votes
0answers
16 views

continuously compounded(cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets

In textbooks it is stated that the continuous compounded (cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets as the log of the sums is not equal to the sum of ...
0
votes
0answers
57 views

Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
0
votes
1answer
60 views

Accuracy of GARCH& ARCH forecast

I'm learing ARCH&GARCH model. I have four questions that I don't know the answers 1st: ARCH & GARCH are often used to evaluate equities. Does it mean that ARCH and GARCH are fitter for high ...
0
votes
2answers
86 views

Aggregate interactive brokers data in matlab

I am using matlab and interactive brokers API. I am getting real time data using tickerID = ib.realtime({ct},'233',@(varargin)ibEventRealTimeData(varargin{:})); where ib is the interface to ...
0
votes
0answers
24 views

Intermediate Project Presentation

I would like to know an ideal plan for explaining/representing Greeks (1st,2nd,3rd) order. The topic seems to be quite vast and very interesting but not possible to cover within a 15 mins time frame, ...
0
votes
0answers
12 views

daily feed for ETP delistings, redemptions and listings

I am looking for a feed or website that will post new exchange traded products(ETF, ETN, ETC exc..) launches, liquidation, redemptions or any other related events. I found one at etf.com however it ...
0
votes
0answers
42 views

Benchmarking option pricing under stochastic interest rates

I priced a long-term option (10 or 20 years) using two different models: one assumes constant interest rates, the other assumes stochastic interest rates. Is there a way (e.g. a benchmark) to ...
0
votes
1answer
79 views

“Hedging” a put option, question on exercise

I have a question on the following exercise from S. Shreve: Stochastic Calculus for Finance, I: Exercise 4.2. In Example 4.2.1, we computed the time-zero value of the American put with strike ...
0
votes
0answers
33 views

Swiss Zero-Coupon Bond Yield Curve Data

I am trying to access the Swiss Zero-Coupon Yield Curve Data. I know that the Swiss National Bank provides this data, as noted on the 8th Page of this paper under Section 3.2. However, I am for the ...
0
votes
0answers
6 views

FInding the Delta in margin based on Pricing, Unit Types, Product Mix, and Sale Types

Is there a way to find the change in margin based on the the changes in pricing, unit types, product mix and sale types? Is there a standard formula we can use? We have tried ...
0
votes
0answers
32 views

Black Scholes with Dilution

I've seen two ways to account for dilution when valuing a European option using Black Scholes. I'm not sure which is the correct way and why these methods differ. The two ways I've seen are: 1) ...
0
votes
0answers
8 views

Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
0
votes
0answers
26 views

Return volatility or Price Volatility [duplicate]

Which is a better method to calculate volatility - Price variance or return variace or is it subjective to the use of volatility figure?
0
votes
0answers
31 views

How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
0
votes
0answers
23 views

Analyst vs firm claims on beta and return

The excercise and it's solution: Sunshine Mutual Fund is boasting that its expected return is much higher than the market portfolio. While the expected return of Sunshine’s portfolio is 14%, the ...
0
votes
0answers
36 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
0
votes
2answers
144 views

Calculate the realised volatility from a time series

Does anybody know how to calculate the realised volatility from a series for a certain time frame? For example, I am looking at 5 days, 21 days, 63 days, 126 days and 253 days. thanks
0
votes
1answer
75 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
0
votes
0answers
47 views

SEC 10-Q/K Filings

I am working on some research that requires parsing of SEC 10 K/Q filings. We have built a parser that will parse the raw txt SEC filing that usually contains many blocks of unencoded files (html, ...
0
votes
0answers
40 views

Realized Volatility: errors correlation

When using Realized Volatility (sum of squared intraday returns) to estimate volatility, following the model: $$r_t = \sigma_t \epsilon_t $$ where $\sigma^2_t$ is the volatility at time $t$ and ...
0
votes
2answers
40 views

Underlying mechanics of paired class shares ETFs

I came across an interesting pair of VIX ETPs, VXUP and VXDN. This new product referred to as "paired class shares" ETFs are quite different from traditional ETPs. Some interesting highlights from the ...
0
votes
0answers
73 views

Vanna-Volga Adjustment

I'm reading Uwe Wystup's "FX Options and Structured Products" to understand Vanna-Volga pricing, which, in his book Chapter $\S3.1$ is called "The Trader's Rule of Thumb". I generally got the idea ...
0
votes
0answers
41 views

How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
0
votes
0answers
14 views

Leveraged ETFs Holding Period; Compare LETF with DITM

Why the "standard recommendation" is that LETFs are only for short periods (< 1 day) while their performance charts indicate that the leveraging is retained once the period EXCEEDs several days? ...
0
votes
0answers
31 views

How does a stop loss affect the P/L of a trader

In his book 'Dynamic Hedging', Nassim Taleb writes: Problem: A trader is given a stop loss of 100,000 in any given month (he would have to close his books and go home until the end of the month). ...
0
votes
0answers
25 views

johansen cointegration test eviews interpreation

I am not sure whether i am interpreting the cointegration test correct. This is the test result : Because of the probability of the test i understand that my series are cointegrated of order 2. ...
0
votes
0answers
31 views

How do you calculate the asset drift rate in the Merton model? (used in N(-d2))

Can I replace it with the internal rentability rate? I only have the financial statements and some market data, but I can't find the expected returns anywhere. The goal is to calculate the probability ...
0
votes
0answers
35 views

Compare performance buy-and-hold strategies after stock-split

QUESTION: How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent? Background: I ...
0
votes
0answers
50 views

Can Yahoo Finance API work for non-US markets?

I am trying to fetch ticker prices and historical prices for major Asian exchanges (HKSE, SGX etc). I am trying to use yahoo finance API, but it is not returning any data for even SingTel, which is a ...
0
votes
0answers
81 views

High frequency price forecast model ARMA GARCH or another?

Can you reccomend model for high frequency data (1 second and less) (returns and volatility forecasting)? Most papers use ARMA, GARCH etc in 1 minute and lower time frame. PROBLEM ARMA does not know ...
0
votes
0answers
54 views

After finding the pair, what next?

Had a question on how do I go about doing pairs trading. I have found some cointegrated stocks. Now the question is what next. From what I understand if two pairs are cointegrated, the distance ...
0
votes
0answers
35 views

Use of implied vol averages for expected underlying returns

When computing a single implied volatility value for a particular asset for use in cross sectional regression models, using daily end of day data. There are a few methodologies I've seen to used do ...
0
votes
0answers
38 views

Test for NonLinearity

I am doing a regression, returns of stocks(cross section of stock returns at a given time) against some fundamental factors. And look at the residuals to get a normalized view when trying to rank the ...
0
votes
0answers
37 views

Choosing an optimal dependent variable, regression/model fitting

When I select a certain target variable and model that with either linear regression or some other technique, say naive bayes, I hope to finally arrive at a model which has statistical significance, ...
0
votes
0answers
232 views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
0
votes
0answers
27 views

Multinomial Representation Theorem

In the context of pricing models, the Binomial Representation Theorem (BRT) tells us if we have a binomial price process $S$ that is a $\mathbb{Q}$-martingale (MG), and any other $\mathbb{Q}$-MG $M$, ...
0
votes
1answer
70 views

Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
0
votes
0answers
46 views

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, ...
0
votes
0answers
62 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 ...
0
votes
0answers
46 views

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) + ...
0
votes
0answers
23 views

Pricing formulas for affine stochastic volatility jump-diffusion models

Does anyone know a reference where I can find the pricing formulas for vanilla calls in the affine stochastic volatility jump diffusion class of models such as SVJ and SVJJ? I am looking for ...
0
votes
0answers
17 views

Value of sequential mutually-exclusive options (A variant on the Secretary Problem)

How much should you offer a potential hire in a signing bonus? Imagine you are interviewing a list of candidates for a particular job. Each candidate has a "lifetime value", and probability of ...
0
votes
0answers
32 views

FX rollover swaps rates based on LIBOR rates

I am trying to calculate FX swaps overnight rates based on LIBOR rates Example: Libor rate for TRY crosses is 12.00 Libor rate for USD crosses is .19 How do we get to these number? USDTRY swaps ...
0
votes
0answers
59 views

variance ratio for pair-trading

I am using the variance ratio test to check whether my sequence is mean reverting in that test there is a parameter n, How in general I choose this n? or what is the meaning of this parameter? ...

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