# All Questions

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### Calculating Fees (Kane, Marcus, and Trippi)

Having read a chapter in Bodie, Kane and Marcus' Investment, I came across a formula I do not quite understand. It states that the percentage fee in excess of what an index fund would charge on active ...
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### Bond in relation to US T-Bill/Risk-Free rate

By looking at the following charts , i wondered about how to plot a fixed income security against a risk free bond. I have the bond price time series but I am not sure what US T-Bill rate I should ...
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### Where to find 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 ...
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### Machine learning to build top 3 price scenarios over n days

I have a time series of closing prices for a given stock. I would like to formulate possible future scenarios for the price. My intention is not to use these "likely" scenarios to take any position. ...
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I am writing my Thesis about hedge funds performance measurement and I want to use the seven factor model proposed by Fung & Hsieh (2004). Now, I am struggling to find out how to calculate the ...
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### Looking for paper: “Simulation and calibration of the HJM model” by Andersen

I've Googled for the paper and found this site but it's down (at the moment). Note, this is not a quest for a free copy (or we wouldn't allow it :), the paper is also nowhere to find for a fee. A guy ...
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How can i download historical price data from interactive brokers using IbPy and python?
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### Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
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### Value-at-Risk of the sum of three independent lognormal random variables with different confidence level

there are three Business units in a firm, each has operational VaR value which are independent from eachother. the quantile for each opVaR is different from the others. can I simply add the VaRs to ...
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### Using Gordon's Growth Model to find value of corporation

This is a question posed to us by my professor in my finance class. I was under the impression that the Gordon Growth Model was used to find the intrinsic value of a stock, but I am unsure how to plug ...
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### Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
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### What is a Basis Swap Curve?

I know what a Swap Curve is. But I don't understand what a Basis Swap Curve is and how it is constructed? Need some guidance on this.
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### Financial Mathematics essay topic

I have a mathematics background and I am currently doing a Masters in Financial Mathematics. I am required to write an essay in a financial mathematics area but I have little knowledge about it since ...
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I am trying to download data from Interactive Broker using the code below and I am able to create the connection with the Trader Work Station (I get a "True" after ...
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### Anyone know where I could find a free list of hedgefunds and their strategies…?

I am looking for a (free) list of hedgefunds with their strategies. I have found Barron's top 100 online but am having trouble finding a longer list. Any ideas of where to look?
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### How to write a home task report which is part of the interview process for a quant position in a trading firm

I recently appeared in an interview for a quant research post in a trading company. As part of the interview, I was given a home-task to solve in a week. The inerviewer gave me a dataset consisting of ...
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### Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
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### On the existence of a perfect market with no arbitrage that contains a forward contract

Consider the following theorem from p. 31 of Steven Roman's "Introduction to the Mathematics of Finance Arbitrage and Option Pricing" (Undergraduate Texts in Mathematics, 2012), giving the forward ...
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### Historical Daily NAV for Closed End Funds

Does anyone know where to get historical, daily net asset values for closed end funds from the date of inception to the present? Yahoo finance has daily opening, high, low, closing values, but no NAV ...
291 views

### How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
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### How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel

Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)
I am trying to find references (books, papers, etc.) for calculating $\mathbb E f(X_T)$, where $X_T$ is a diffusion and $f$ is a real function that is not continuous, by means of solving a PDE or ...