# All Questions

11 views

### What is the variance risk premium?

Can someone provide an intuitive understanding of the variance risk premium? I am very confused by this definition and cannot interpret my time series analysis.
14 views

### How many people out there make money trading automated system on own? [on hold]

Any one know people that built a automated system on own that makes a living ?
13 views

### Financial modelling in R

Recently I've found out that quantitative department in my company uses mostly R software for modeling in general. What is the advantage of modeling financial data in R instead of Excel, or some ...
16 views

### Index and alpha strategies research analyst

Just found some job offer: Index and alpha strategies research analyst However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
12 views

### Implied exchange rate

The EUR/JPY exchange rate increased by 20%. The USD/JPY exchange rate increased by 25%. By how much will the EUR/USD exchange rate decrease?
5 views

### CVA as a running spread - risk annuity calculation in the Monte Carlo framework

I have simulated future term structures in the one-factor Hull-White model and calculated the CVA of a particular trade (let's say, now I have it in absolute value, in dollars). However, I want to ...
8 views

### Test for difference in security returns before and after financial regulation

I'm going to study the effect of corporate credit rating changes (Moody's) on stock prices before and after a specific financial regulation. So far i have used an event study where i have divided the ...
18 views

### Intermediate Accounting - Income Taxes HELP! [on hold]

Gallo Light warehouses on an installment basis. In those cases, Gallo Light reports income in its income statement in the year of the sale. In its income tax return, though, Gallo, Light reports ...
22 views

### What are i.i.d. random variable? [on hold]

What are independently and identically distributed or i.i.d. random variable? how can we explain it to a layman?
27 views

### How to analyse a company share value/performance ? [on hold]

Good day I'm looking for ressources/ books that showed in a practical way how to analyse a company share performances. Many thanks in advance
41 views

### What information should be delivered to the client so they have enough information to manage their exchange rate risks? [on hold]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
34 views

### KMV-Merton Probabilties of Default vs Moody's EDF

Moody's used to publish probability of default estimates from their Moody's EDF model, but they have temporarily discontinued it. I understand that the Moody's EDF model is closely based on the Merton ...
29 views

### phd topic in quantitative finance [on hold]

my name is jafsia elisee I'm holder of a Msc in finance and a Msc in physics(statistical physics). I'm interested to pursue a PhD degree in quantitative finance in order to merge my skills from ...
45 views

### put call parity for futures options derivation in Hull

In Hull, the following derivation of PCP for futures options: What confuses me is that it is stated that the payoff of the long futures is $F_t-F_0$. The footnote states: the analysis assumes that ...
26 views

### the cash flows behind closing out futures positions

I always get confused about the cashflows occurring when a futures position is closed out. For example, say it is January and I enter into a long December Futures position with a futures price F(jan). ...
24 views

### Math of Finance- R Code: Independent risky bonds [on hold]

Please help with this question if you can! Let Y be the total payment for a risky bond with a principal P and a coupon rate R. This bond defaults at a random time T. The maturity time of the bond is ...
25 views

### How to calculate conversion parity for convertible bond?

Can someone explain how can I calculate the parity of this convertible bond? I know the formula is Current price of common stock x Conversion Ratio, but it doesn't seem to be right in this ...
23 views

### Initial holdings of bonds with delta hedging (Black Scholes model)

Consider the Black Scholes model so $$dS_t = \mu S_t dt + \sigma S_t dW_t, \;\;\; dB_t = rB_t dt$$ I want to delta hedge an European call option with strike price $K$ and strike time $T$. It is known ...
29 views

### Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
42 views

### can an fx forward price simply be divided into 1 to quote the inverse?

Qu 1. Say I ask for EURUSD 1 week and get prices: 1.120986 / 1.120216 Does that mean to price USDEUR 1 week I can divide 1 / 1.120216 and 1 / 1.120986 and get rates: 0.8921 / 0.8927 Or is that ...
15 views

### Callable bond price sensitivity to Hull-White volatility changes

I'm using classic Hull-White model for short term interest rate dynamic: $$dr(t)=[\theta(t)-\alpha(t)r(t)]dt+\sigma(t)dW(t)$$ (Notation is quite intuitive, anyway I am using the same as Wikipedia ...
15 views

### Raw (level) variable is significant while log return is not significant

I know this might be an "amateur" question, but I am pretty surprised to see the following fact: I have a dependent variable, let's call it Y. Then I have an independent variable, let's call it X. ...