# All Questions

0answers
12 views

### Two different ways of pricing that leads to two answers

This question might appear trivial to many (considering the questions on this site), but I think it reflects something fundamental that I am missing. To keep things simple, assume everyone is ...
2answers
51 views

### Time 0 value of an American Put in Cox-Ross-Rubinstein model

This is a question from a problem sheet which I have handed in and have solutions for. The only examples of this in class I have seen are examples where the interest rate is 0. "Consider a ...
1answer
37 views

### Measure the effect of a natural disaster on a stock market index

I am very new to using stata and very new to using Garch models. I am currently doing my final dissertation for my MSc in Finance studies and regarding my topic I understood that i had to use garch to ...
0answers
8 views

### Extracting Default probability from a single CDS

I would like to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how get this estimate if I have only a CDS with maturity 5years. If I had ...
1answer
24 views

### Estimating correlation using EWMA

I am using an EWMA model to evaluate the correlation between yearly time series. I know Riskmetrics uses $\lambda=0.94$ for daily data and $\lambda=0.97$ for monthly data. Is there a value ...
1answer
54 views

### Is there a countably infinite Sigma-Algebra? Why?

Assume $\,\mathcal{F}$ be a nonempty collection of subsets of $\Omega$. $\,\mathcal{F}$ is called a $\sigma$-Algebra whenever if $A\in\mathcal{F}$ then $A^c\in\mathcal{F}$, and if ...
1answer
172 views

### How to projectP&L or drawdowns on pair trading , trading and portfolios? [on hold]

This is for planning and risk management. I am stuck on the following thoughts - Back-test the trading strategy for a period similar to the one you expect and then project. Do the above using ...
2answers
22 views

### Implied volatility and nonconstant volatility

John Hull states in his text that "AS the maturity of the option is increases the percentage impact of nonconstant volatility on (option) prices becomes more pronounced, but its percentage impact on ...
1answer
357 views

### Definition of risk factors for market risk scenario testing

I am doing a research for stress testing in market risk. The usual process I found out for scenario testing is: Define risk factors upon the portfolio Define the desired scenarios Vary the risk ...
1answer
28 views

### How to use Halton sequence in monte carlo simulation

Does anybody know how to use the Halton pseudo random technique in monte carlo simulation. I'm able to generate the sequences and I know they are correct. I checked a couple of numbers from different ...
1answer
54 views

### 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 ...
1answer
25 views

### Applying Time Delay Neural Network to financial events

I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect ...
1answer
12 views

0answers
29 views

### How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
0answers
17 views

0answers
18 views

### how to create folder and csv files for each row in each sheet (VBA) [on hold]

I have an excel workbook. In this workbook,I have 3 worksheets, named by"First","second" and "third". Each sheet has 4 columns such as Date X1,X2,Oneletter.I'm trying to run a VBA program.But I have ...

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