0
votes
0answers
11 views

Evaluation of portfolio other than Sharpe Ratio

Is sharp eratio always the best way to evaluate a portfolio? I'm not really sure what this potential interview question wants me to answer. I have read that Sharpe ratio essentially explains how ...
0
votes
0answers
8 views

Calculating Weighted Average Cost of Capital (WACC)

Trying to answer a question from an textbook but struggling a bit to use the formula. I am trying to calculate the WACC on this particular set of data: So I have that: Re = 20.69 Rd = 1842 ...
1
vote
0answers
15 views

What is the maximum of a brownian motion with drift over the interval [t_1,t_2]

I am having a problem deriving the equation: $P(max_{(t_1 \leq t \leq t_2)} S(t) > B | S(t_1),S(t_2))= e^{-\frac{2}{T}ln\bigg{(}\frac{B}{S(t_1)}\bigg{)} ln\bigg{(}\frac{B}{S(t_2)}\bigg{)}}$ ...
0
votes
1answer
19 views

Duration of a floating rate bond

It is known that the price $p_t$ of a floating rate bond can be calculated discounting $(L+k)$ the sum of the next coupon payment $k$ and the face value $L$ at the relevant risk-free rate. Hence, ...
1
vote
0answers
10 views

Different ways to discretize forward rate in HJM

I've come across couple of different ways to discretize the forward rate equation in HJM. If somebody could please help me understand why is it possible to have multiple ways here and how to pick up ...
0
votes
0answers
13 views

Assumptions of the One-Fund Theorem

What are the assumptions of the One-Fund Theorem? (You can look it up here for example: https://www.math.washington.edu/~burke/crs/408/fin-proj/mark1.pdf ) Is the assumption that the market offers ...
2
votes
0answers
8 views

Where can I find ETF fund flow data?

I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
1
vote
0answers
17 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 ...
4
votes
3answers
46 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 ...
0
votes
0answers
13 views

Calibration of Dothan Model to Yields

For both the Vasicek and CIR model the yields $R(t,T)$ and short rates $r_t$ have an affine relationship: $$ R(t,T) = \frac{B(t,T)r_t - A(t,T)}{T-t}, $$ where $A(t,T)$ and $B(t,T)$ are determined by ...
2
votes
0answers
38 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 ...
3
votes
0answers
42 views

Non-parametric estimator - CVAR / Expected shortfall

Is the estimation of the CVAR using known non-parametric methods (histogram , kernels) is different than the estimation of any other R.V.? If the answer is yes, then I am interested to know whether ...
0
votes
0answers
23 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 ...
0
votes
0answers
21 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 ...
1
vote
0answers
15 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, ...
3
votes
3answers
53 views

Intuition behind Fama-French factors

In the Fama-French 3-factor model the portfolio returns are explained by the market the SMB factor (Small [market capitalization] Minus Big) and the HML factor (High [book-to-market ratio] Minus ...
0
votes
0answers
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 ...
0
votes
0answers
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 ...
0
votes
1answer
49 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 ...
0
votes
0answers
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 ...
0
votes
1answer
40 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 !
0
votes
1answer
47 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 ...
0
votes
1answer
72 views

Arrow-Debreu Model and Risk-Neutral Probabilities

Consider one period Arrow-Debreu model with $N = 2$ and $M = 4$ shown in Figure 3.5 and take $R = 0$. a.) Show that any risk neutral probability $\hat{\pi} = (\hat{\pi}_1, \hat{\pi}_2, \hat{\pi}_3, ...
0
votes
0answers
37 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 ...
0
votes
1answer
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 ?
0
votes
1answer
52 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 = ...
0
votes
1answer
47 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 ...
1
vote
1answer
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 ...
3
votes
1answer
61 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 ...
4
votes
1answer
37 views

What is smart beta, alternative index, factor investing?

What is smart beta, alternative index, factor investing? Are they basically the same thing? Construct a benchmark index using schema other than market cap?
0
votes
1answer
43 views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 ...
0
votes
0answers
21 views

Performance attribution for personal portfolio - weight attribution

i am building a platform for portfolio analytics, part of which is a performance attribution module. Given that most individual portfolio's can never have the same number of stocks as say, a mutual ...
0
votes
0answers
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 ...
0
votes
1answer
26 views

Extracting IB market data: bid and ask for greeks and IV

I wrote a piece of code to get option chains with volatility and greeks from IB market data. After testing yesteday, it seems to work, but I am surprised of seeing bid and ask for impliedVolatility ...
0
votes
1answer
24 views

CDS spread scenarios from historical market data

I'm searching for information on the best way to generate scenarios to be used in VaR or ES calculations, for CDS spreads. Given that we need significant historical data in order to achieve a decent ...
1
vote
1answer
56 views

Clarification of The Market Portfolio

I am currently reading John C. Hulls' "Risk Management and Financial Institutions" and came across the following passage related to the efficient frontier and combinations of risky and risk-free ...
0
votes
0answers
4 views

Is Market OPG an efficient means of entering positions at historic daily open prices?

This question pertains to backtesting a strategy against historic daily data. If a strategy is devised using such data, is Market OPG a reasonable way to enter positions? Expanding, the question is ...
0
votes
0answers
21 views

Modelling prepaid commodity swaps

I'm somewhat new to derivatives, so please forgive a potentially silly q: Suppose there is a VPP agreement (volumetric production payment) which is basically a prepaid commodity swap. The financier ...
4
votes
1answer
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 ...
3
votes
2answers
132 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 $S_0 = 1$, ...
0
votes
1answer
42 views

Stock valuation/stock pitch and CAPM

If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ...
1
vote
1answer
29 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 ...
0
votes
0answers
43 views

Delta of an option in two cases

Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité $\sigma$ and maturity t: $C(F,K,\sigma,t,r) $ We assume that we know $\delta$ ...
0
votes
1answer
48 views

How to determine volatility for private company for Black-Scholes

I am trying to determine the volatility to use Black-Scholes to value some warrants for a private company. Very few comps are public or they are large diversified businesses. Any thoughts on how to ...
0
votes
0answers
20 views

Correlate the G2++ with a GBM model

In Matlab one can use the LinearGaussian2F function together with the simTermStructs function to create a simulated zero curve based on the G2++ model. Next to simulating the interest rates I need to ...
3
votes
2answers
77 views

Dollar-Neutral Strategy

Here is an excerpt from E. Chan's book Quantitative Trading, However, if the strategy is a long-short dollar-neutral strategy (i.e., the portfolio holds long and short positions with equal ...
0
votes
0answers
27 views

White's reality check p-value

I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ...
-2
votes
0answers
23 views

How do you replicate a geometric index?

For example Value line composite index
0
votes
1answer
42 views

Metastock end of day data to Python

I'm thinking of getting End of Day stock prices from Metastock, but was wondering if it would be possible to have Python to automatically extract the stock prices and store it in a SQL. Would that be ...
0
votes
2answers
43 views

demonstrate that a Square-root process is Non-central Chi-squared distributed

how can i prove that the value at some future time $t'$, $x_{t'}$, of the Square-root process at current time $t$, $x_t$, is Chi-squared distributed? $dx_t = k(\theta - x_t)dt + \beta \sqrt{x_t}dz_t$ ...

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