# All Questions

1answer
21 views

### Pricing a zero coupon bond using a replicating portfolio

Financial Case Study/Scenario I have been asked to price a new zero-coupon bond, which matures in 5 years with a final payout of £40m, initially raising funds of at least £30m (£30m for the clients + ...
1answer
105 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 ...
1answer
75 views

### Fitting transition matrices in R by solving for coefficient

I'm using various matrices to impute a fitted transition matrix for credit ratings by solving for a variable [S]. Essentially the idea is to determine a base matrix and stress matrix to compare to a ...
1answer
71 views

### US options market/microstruture research

Can someone point out where to find up to date market/microstruture research in the options market?
1answer
17 views

### Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
1answer
78 views
+50

### Technical analysis - Calculating Aroon Indicator Serie

I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter. Here is my first attempt: ...
0answers
32 views
+50

### Empirical distribution function of overlapping time series data

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...
1answer
24 views

### Build spot rate curve with multiple treasuries for each maturity

I have the following treasuries: T 0 1/4 01/31/15 at 100.1236 T 2 1/4 01/31/15 at 101.1257 T 0 1/4 02/15/15 at 100.1251 T 4 02/15/15 at 101.9994 T 11 1/4 02/15/15 at 105.6269 T 0 1/4 02/28/15 at ...
3answers
368 views

### How to create a model or formula for evaluating trade opportunities

I want to build a formula to produce a score for a potential trade based on 4 variables, time, return, liquidity of security, and probability of failure. For a set of potential trades I first ...
3answers
119 views

### Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other ...
1answer
169 views

### Method for finding a arbitrage opportunity when market price of call is incorrect

The solution of the Black-scholes equation is the price of a European call. And the option price assumes the underlying stock is a geometric Brownian motion with volatility $\sigma_{1}>0$. ...
1answer
59 views

### Building curves using onshore or offshore JPY overnight rates?

I am trying to build Japanese Yen interest rate curves. When defining the curve instruments for the 'OIS' (discount) curve (aka TONAR), I am uncertain as to which rate to use for the overnight deposit ...
1answer
48 views

### What are good online resources for credit portfolio managers?

I am aware that this question is not the typical quant.SE question, BUT I couldn`t find any site/forum/wiki, where credit portfolio managers hang out to share their experience and their methods. ...
2answers
309 views

### Pricing options under restricted domain

How would I price an option when the underlying security is unable to trade above a certain price? I assumed this would be as simple as restricting the limits of integration of the PDF to B (the ...
1answer
178 views

### What's the meaning of the intercept in asset pricing model?

I would like to understand the role of alpha (intercept) in the regression-based asset pricing model. What's the meaning of the intercept? I know that, technically speaking, from an econometric ...
0answers
28 views

### Short-term spot futures pricing model

I am looking for price model for spot and futures Maybe you can recommend something intresting? Price can include (time until expiration) and volatility in spot,price of spot What i should looking ...
2answers
104 views
+100

### Futures fair value with spot in different currency

The fair value, $F$, for a futures contract is $F = S(1+rt) - D,$ where $S$ is the underlying spot price, $r$ is the interest rate, $t$ is the time to maturity, and $D$ is the dividends. What is ...
2answers
312 views

### Why is that a risk averse consumer buys the optimum insurance when there is actuarially fair insurance?

I think I understand the fact that when marginal utilities of the same function are equal (a consequence of the actuarially fair insurance), the independent variables in it must be equal -- right? But ...
2answers
120 views

### Is implied volatility flawed?

Was going through how Implied Volatility is used by option traders and in delta hedging. Correct me if I am wrong, doesn't IV consider a standard deviation of the stock price over say the past 1 year? ...
0answers
10 views

### Option Time decay [on hold]

I have option prices.If I am naked in straddle then time decay is use full for hedge my position in range bound market. when is the correct time to setup my portfolio? And big thing is that just 7 ...
2answers
3k views

### Are there comprehensive analyses of theta decay in weekly options?

Are there comprehensive analyses of how much theta a weekly options loses in a day, per day? I know what the shape of theta decay looks like, in theory, where the decay towards zero happens more ...
1answer
33 views

### 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 ...
4answers
309 views

### Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
0answers
19 views

### How to calibrate volatility surface for Interest Rate Cap&Floor pricing

I'm using Black model to do interest rate Cap & Floor pricing. The volatility is determined by using the bootstrapping methodology. However, afterwards, how should I do the calibration, or ...
2answers
940 views

### What is the price pressure?

What is the definition of price pressure and what does it imply? In a number of paper I read that the price pressure can influence the portfolio returns; can you explain why and in which way it can ...
1answer
79 views

### What are recent important papers on credit portfolio risk modeling?

I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I ...
1answer
25 views

### 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 ...
0answers
20 views

### I want to solve follow queston [on hold]

Suppose that $X$ is reachable using the portfolio $h$. Suppose furthermore that, at some time $t$, it is possible to buy $X$ at a price cheaper than (or to sell it at a price higher than) $V_t^h$ . ...
1answer
158 views

### Rich Volatility, Poor Volatility

I have been thinking very hard about properly pricing volatility. Outside of naive AR,ARCH,GARCH forecasting model which employs past data to forecast future vol, how does one "fundamentally" value ...
1answer
80 views

### How to pull stock exchange names for a list of tickers, bloomberg?

How to pull stock exchange names for a list of stocks with tickers, on bloomberg? Please advise the steps so as to paste the list of tickers without having to type tickers one by one.
0answers
7 views

### How to calculate margin costs for a brokerage account?

I wanted to calculate total margin costs for an account that started with 5,000 cash and held for 6-months? I managed to get some sample rates online . My assumption is that I would borrow another ...
1answer
30 views

### computation involving independent increments [on hold]

One can rather easily show that E[$\sum_{i = 0}^{i = n - 1}W_{t_i}(W_{t_{i + 1}} - W_{t_i})]$ = -T + $W_T^2$. What I'm confused about is why we can't simply say that for each i, $W_{t_{i}}$ is ...
1answer
102 views

### Commonly used vol surface calibration model in the industry

I have 2 questions: What is the most commonly used equity option pricing model? I learned jump diffusion at school, read about Hensen and a few other models online. I am actually only calibrating ...
1answer
61 views

### In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?

I'm new to local volatility model. From Dupire's paper and most of the textbooks, they derived the local volatility $\sigma(K, T)$ in the $(K, T)$ (i.e., strike and maturity) space, from call prices ...
1answer
318 views

### Can Hurst exponent be used to characterize nonlinear dependence in time series?

It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...
1answer
20 views

### KeyError in Python code used to determine a trade signal for Pair Trading

I'm basically running some code as follows. Basically I'm just retrieving pairs of stocks (laid out as Row 1-Stock 1,2, Row 2-Stock 1,2 and so on, where Stock 1 and 2 are different in each row) from a ...
1answer
64 views

### Why is IV different between put and call of same strike

In his book 'Dynamic Hedging' Nassim Taleb says that the volatility of an OTM put should be exactly equal to that of a corresponding in the money call of same strike. But in option chains, the ...
1answer
26 views

### Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
0answers
40 views

### Calibration of Heston version of CIR

I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ ...
0answers
18 views

### Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
1answer
23 views

### 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 ...
2answers
95 views

### What is the use of options pricing formulas

This may seem like a dumb question, but if the EMH is generally true, wouldn't options already be correctly priced? Why do we need all these intricate formulas, unless we think the prices are wrong or ...
1answer
61 views

### rollapply with Arima model: testing for stability of coefficients

I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the ...
1answer
99 views

### negative probabilities in the bivariate tree heston model

I am trying to implement the bivariate tree approach for the Heston model by Beliavea & Nawalkha. I currently have the problem that given the specifications in their examples, I always obtain ...
0answers
57 views

### Finance Agency Problem

Principal is interested in buying lake. The revenues of operating the lake as a camping site are determined by the weather (a random parameter $w$ distributed uniformly on $[0, 1]$) and by the ...
0answers
22 views

### Value-at-Risk - Currency Swap

Can someone explain to me how to calculate the VaR (delta-normal-method) for a Currency Swap? Thanks in advance. Regards Alexander
0answers
29 views

### Urgent help needed : Spot price - future price relationship [on hold]

Historic market (Cash) prices and future contract prices are available for last 4 years. I have found correlation between Jan'11 market price with Jan'11,Feb'11 and March'11 future contract prices ...
0answers
16 views

### Correct Mupad for this equation?

I am trying to port the attached equation into Matlab Mupad. I have attempted the following Mupad language code: ...
0answers
55 views

### “Extract” the density of the underlying, given the implied volatility “surface”

Suppose given implied volatility quotations $\widehat{\sigma}(T_i,K_j)$ of call options on an underlying $S$ for various expiries $T_i$'s and strikes $K_j$'s. I am interested in the following problem ...
1answer
23 views

### Discounted Stock Price

I have the following Question : Prove that under the risk-neutral probability p the stock and the banjaccount have the same average rate of growth. In other words, if $S_0 , S_N$ are the initial ...

15 30 50 per page