# All Questions

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### How can I find stocks that have had a X% price swing within Y days, sorted by recency of said swing? [closed]

Let's say that I want to find stocks that have moved +-20% within a 10 day period. ABC would match if at t, ...
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### Barrier option : Monte carlo simulation

I am trying to price a Down-and-Out Call using Monte Carlo simulation. The problem is that I get the right price for the vanilla option (same price as the analytic formula of Black and Scholes) but I ...
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### Geometric Brownian Motion: d(S) vs. d(ln(S))

I am quoting from "Tools for Computational Finance, 5th Edition" [Seydel]. I wonder whether the histogram of simulations of the first (yellow) SDE makes sense... especially given that Seydel (...
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### How to answer this interview programming question about drawdowns?

I saw this question as an interview, and to be honest, I have no idea what it's even asking for: Write a function (in R or Python) that finds the stock drawdown which will trigger a rebalance, ...
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### One-step ahead forecast of a AR(1) process (GARCH context)

I am using a Matlab toolbox for obtaining one-step ahead forecasts of the conditional mean from the ARMA(1,0)-GARCH(1,1) process and I have encountered a piece of code that contains, in my opinion, a ...
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### nikkei 225 yen contract on the CME

This may be a silly question on futures trading, but I haven't found a clear answer on the CME website. For the Nikkei 225 Yen contract on the CME, which is denominated in Yen, the margin is also ...
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### Estimating profit/loss of a Gold Futures option using Theta and Gamma

HELP! I am trying to find how much the underlying price of a gold futures option must move in order to breakeven on owning an option for a day. I was hoping someone versed in pricing options could ...
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### How does stock buy back increase RoA of a company?

In one of the videos in Youtube which explained about stock buy backs, it was told that companies can achieve higher Return on Assets by doing stock buy backs. The explanation went like this :- When a ...
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### Path Dependent Options - Which choice of model?

Can someone please help elaborate/clarify the below statements? I've heard about them from people but would like to know some more detail behind these statements.. - 1) SABR is not useful in pricing ...
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### Double no touch option with four barriers

The double no touch (also known as a range binary) is an option with two American barriers. You define one barrier above the underlying asset and one below it. If during the option's lifetime the ...
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### Pricing of American Deriviatives

Reading the book by Andrea Pascucci "PDE and Martingale Method in Option Pricing" I am struggling with a very simple issue. Suppose we want to find the price of an American derivative $X$ in an ...
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### Historical book value data for S&P 500

In Graham's Intelligent Investor, he calculates a metric Earning/book value. I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found ...
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### How to change to risk neutral measure in a mean reversion process?

For example, in the Ornstein-Uhlenbeck process do I just replace the drift term with the risk free rate, like in the GBM case?
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### Delta Hedging for 2 Factor Models

If the value of an option at Maturity is what is the off-setting position you take for X and Y, if you are i)Long Call of the option ii)Short Call of the option iii)Long Put of the option iv)Short ...
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### What is the yield when a floating-rate note is issued above/below par?

I am new in this area so all help is much appreciated! Let's say a 3-year floating rate note pays a coupon of LIBOR+100 bps, and is issued at a premium with price = 100.5. I understand that this ...
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a paylater option has the folowing payoff: $(S_{T}-K)_{+}-P1_{S_{T}>K}$. To determine the fee P that the option holder must pay, we must write the non arbitrage condition. Why is it this: $E_{Q}[(... 1answer 114 views ### Anomaly or feature from Quantmod in R regarding getFX - currency data I am using R to analyse stock data, using the quantmod package to get all sorts of data, but here specifically FX data using the function ... 1answer 64 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 ... 1answer 91 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 ... 2answers 121 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), ... 1answer 45 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 ... 2answers 90 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 -K)... 2answers 190 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 ... 1answer 39 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 ... 1answer 47 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 ... 1answer 50 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 ... 1answer 55 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 ... 1answer 139 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 ... 3answers 160 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 ... 2answers 106 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 ... 1answer 45 views ### Listed companies on NASDAQ Where can I find a list of listed companies on NASDAQ from 2000 to 2014? 1answer 40 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 ... 3answers 181 views ### Calculating historical implied volatility I know that each individual option has it's own implied volatility, but how do you go about calculating the overall implied volatility for an underlying? For example when someone sais the IV of a ... 1answer 54 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 ... 1answer 50 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. 1answer 311 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 & ... 1answer 28 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 ... 2answers 55 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 ... 1answer 55 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 ... 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 ... 1answer 83 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 ... 1answer 50 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 ... 1answer 46 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 ... 1answer 47 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 ... 1answer 80 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, ...

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