# All Questions

142 views

### Ito calculus problem

given $S^1$ satifying the SDE $\quad dS_{t}^{1}=S_{t}^{1}((r+\mu)dt + \sigma dW_t), \quad S_{0}^{1}=1$ and the safe asset $S_{t}^{0}$ $\quad S_{t}^{0}:=e^{rt} \quad for \quad r\geq 0$ Q1. how ...
7 views

### Is Complete Vega Elimination Possible?

I avoid short selling in my strategies. Losing more than invested is not attractive. But at times the implied volatility is too high, I am worried about buying at all and I am trying to filter the ...
110k views

### What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
24 views

### Investment Grade Bond vs Junk Bond, whose duration is larger?

Just wondering how to calculate duration when take credit risk into consideration. I think if duration is calculated as weighted average of cashflow time, and weights are calculated using present ...
12 views

### Delta of binary option

What is the Delta of an at-the-money binary option with a payo out $0$ at $<100$ dollars, and payout $1$ at $>100$ dollars, as it approaches expiry? This is from a sample interview exam. I ...
83 views

### Which volatility to use?

For calculating the greeks http://www.vollib.org/html/apidoc/vollib.black.greeks.html Should I use historical volatility or implied volatility?
43 views

### European Markovian option

Background information: Consider a European contingent claim with payoff $V(S_T)$, where $V: \mathbb{R}_+\rightarrow \mathbb{R}$ is a function which assigns a value to the payoff based on the price of ...
67 views

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### Which studies should be replicated?

In psychology voting on which studies should be replicated is established on a website. For economics, including financial economics, the ReplicationWiki (that I founded) offers a voting option but it ...
368 views

### Places to make quant code/tools publicly avaliable

Over the years I have developed several tools - including pricing, optimization and calibration tools - most in VBA, C# and C++ I would like to make them publicly avaliable. Aside from putting up my ...
19 views

### Coupled Black-Scholes equations

Could someone provide me some information about the modelling of several options at the same time by using Black-Scholes (probably coupled) equations? Specifically I am wondering if in finance one has ...
18 views

### VAR(1) - GARCH(1,1) model estimation in R

Can someone please help in explaining the steps involved to estimate the parameters of VAR(1)-GARCH(1,1) model of Mcaleer 2003 in r. It is a multivariate GARCH model where the mean equation is ...
85 views

### Appropriate measure of risk if return are not normally distributed

Normally standard deviation of an assets is used as an proxy for the risk in the financial market. In reality distribution of return is more peaked at the center and higher mass in the tail as ...
12 views

### Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
3k views

### How do I calculate the skewness of a portfolio of assets?

I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
38k views

### Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example: Ticker: AAPL Reuters: AAPL.O (may be prefixed with RSF.ANY. dependent ...
90 views

### Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
13 views

### Stress Testing of the portfolio containing Equities, Bonds and Options

I have a portfolio containing equities, bonds and options for which I have calculated VAR through variance covariance matrix. No I want to calculate the stressed VAR for which I have adopted the ...
818 views

### What makes IRC a market risk?

Since modeling leaves complete freedom we can assume both market and credit risks can enter the picture. However the minimum requirement is (migrations and) defaults simulation, how does this ...
11 views

### How do Hedge Fund and Mutual Fund mark-to-mark structured notes?

Structured notes are not actively traded. Actually some of them are not traded at all as they are intended to be held-to-maturity. 1.When Hedge Fund and Mutual Fund buy structured notes, how do they ...
219 views

### A question about pricing convertible bond with two different underlying assets

I have a question regarding the pricing of convertible bond. If I value the convertible bond with two different underlying assets, how can I incorporate two volatility and the correlation in the ...
27 views

### Faster way to backtest/Walkforward

I am currently using Ninja Trader to program and test my strategies and the forward testing in very time intensive. I am thinking of writing my own code in either c++ or c#. The question I have is ...
8 views

### Standardized and Advanced IRB together

Is it possible to use Standardized approach and AIRB together for the same asset class? For example sovereigns see a risk weight of 0% if AAA, but in AIRB they might not be seeing 0 weight. Is it ok ...
130 views

### Risk-Neutral Probabilities, Trinomial Model

My professor has many grammatical mistakes and errors in his questions, so apologies ahead of time. I am just trying to understand what he wants for this question, In trinomial model, let $S_0 = 1$, ...
43 views

### How is this financial product called?

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this: Underlying ...
38 views

### Payoff of a butterfly c++

I would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff; Could you ^please help me !
14 views

### Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish ...
118 views

### Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
43 views

### Zero rate curve USD Libor

Good day, I gave following inputs of Libor rates : ON 0.3731 1W 0.3939 1M 0.4265 2M 0.5148 3M 0.6176 6M 0.8655 1Y 1.1336 How can I build zero-rate curve ?
35 views

### Simulating stock price with Monte Carlo under uncertainity

I'm trying to perform Monte Carlo simulation in order to check to what extent target price derived from Discounted Cash Flow(DCF) model may be influenced by changes in variables which are: EUR ...
32 views

### adding dummy variable to ts object in r for particular quarter

I've looked all over and can't seem to get a clear idea of how to do this; I have ts data with quarterly frequencies. I simply want to add a dummy variable only for the data corresponding to Q4 but I ...
53 views

### Is there an error in this problem on pricing an asset using the true probability of an up move?

I'm self-studying for an actuarial exam and I encountered the following problem: The true probability of an up move, $p$, must satisfy: $$p = \frac{e^{{(\alpha - \delta})h} - d}{u - d},$$ where ...
46 views

### What is the formula that determines when VIX futures expire?

Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like ...
62 views

### Estimation of annualized volatility depending on data frequency - exceptions to the general rule?

From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... ...
140 views

### Portfolio with lots of subportfolios

An account manager has $N$ distinct, equally-sized pots of money, which will be used to make $N$ distinct subportfolios, each of which is drawn from a slightly different (but potentially overlapping) ...
103 views

### Whites Reality Check for Pair Trading

I want to use the Monte Carlo Method described in Aronsons book Evidence based Technical Analysis to test if a given pairs trading strategy is useless. First step there is to randomize the returns of ...
30 views

### General Equation for price optimisation where cost is constant

I'm currently working on the Quantitative Finance course offered on Coursera by Wharton and in one example it states that "through calculus, one can obtain the optimal value of price when ...
12k views

### What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
49 views

### Put-Call Parity Application

In the binomial model, how that the Delta of a call option $\Delta^{call}$ and the Delta of a put option $\Delta^{put}$ with the same maturity and strike satisfy \Delta^{call}_t - \Delta^{put}_t = ...
51 views

### Currency risk USD>EUR>EGP

Seeking input on hedging risk on USD to Euro with a 3rd component of payroll issued in Egyptian Pounds. We are a US corp invoicing a Germany entity in Euro with massive payroll being paid in Egyptian ...
321 views

### Which distribution do I get?

Let's assume the stock moves according to a classic Black-Scholes model, and makes a proportional jump with an unknown proportion. Say, it is either +1% or -3% of the stock value, and we know for sure ...
58 views

### What is drift in interest rate term structure model

I was studying about the interest rate term structures and i came across term structure model with (and without) drift. I am really unsure about what this drift is in this equation for term structure ...
51 views

### How to implement dummy variables into GARCH(1,1) model from structural breaks (ICSS)

Hello everybody, I was already searching a lot of forums and read a huge amount of different papers. But I guess I am to stupid or I am at a loss. Hopefully some of you are able to help me out. Here ...

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