All Questions

7 views

Estimating Parameters - Vasicek

The Vasicek model for the short rate $r_t$ is given by the SDE $$dr_t = \alpha(\beta - r_t)dt + \sigma dW_t,$$ where $W_t$ is a Brownian motion under the physical measure. I'd like to compute bond ...
12 views

How to understand this tickdata askvolume and bidvolume fields?

Here is 1 tick: Timestamp,Bid price,Ask price,Bid volume,Ask volume 20151127 00:05:00:592,1.06057,1.06061,1,1.5 Does ask volume 1.5 mean 1.5 million were ...
10 views

Mean Variance Frontier and lack of Data

I'm facing an issue with the dataset of the price of around 50 stocks. I'm trying to solve the linear programming problem in MATLAB, and then plot the MVF and CML. No big deal here, since there are a ...
13 views

Raising funds for investment strategy

Here is the situation. I've developed trading strategy, back-tests showed profitability 2.8 times higher than S&P500 with acceptable dispersion. Initially I developed it for managing my own ...
24 views

18 views

What do “arbitrage-free” and “risk neutral measure” mean? [on hold]

In the context of Cox-Ross-Rubinstein model and this link: It's claimed that the CCR model is: "arbitrage free if and only if a < r < b." (as an example one could set $r=0$) and then the only ...
13 views

Can someone help me to calculate mean reversion speed for panel data? [on hold]

I am trying to run panel data model in eviews and I am supposed to include mean reversion speed for a varible. Please can someone help me or give me some clues regarding the issue? Thanks in advance. ...
68 views

How many PHD level quant are there in US market?

How many PHD (economics+finance) level quants are work here in US market?
24 views

What does martingale look like?

I'm doing a simulation of a CRR model and I'm trying to find parameters in order for the successive $S_t$s (stock prices) to be martingale. I'm assuming that if I'd create a function (and picked the ...
16 views

Proper way to calculate the realized indiviual stock sharpe ratio

From the textbook, sharpe ratio is (return-riskfree rate)/risk However I wonder if I can use (return-index return)/risk, where the index acts as the benchmark, to calculate the sharpe ratio? I am ...
27 views

How would I exploit arbitrage if risk-neutral pricing doesn't hold? (Option Pricing)

We are just learning about binomial option pricing, and how the up-factor and the down-factor must match the risk-neutral price. p * u + (1 - p) * d = continuous risk free rate compounded CRR ...
10 views

Computing Pooled IRR from the IRRs of parts

Suppose I have two cash flows: CF1: -10001001001100 CF2: -20020301 I can compute now: IRR(CF1) = 10% IRR(CF2) =-55% IRR(CF1+CF2) = 4.46% Is there a way to compute (or at least get a fair ...
130 views

How to price an option allowing to change a call into a put?

A recruiter asked me this question: Suppose you have the following contract: a call option with maturity T = 2 years the possibility to change this call into a put at t = 1 year What is the price ...
16 views

Price of call (calibration)

I need to understand how we got this : $\forall i \in I$ $C^{*}_{0}(T_i,K_i)=e^{-rT_i}E[(S_{T_{i}}-K_i)^+|S_0]=e^{-rT_i+X_{T_{i}}}E[(S_{T_{i}}-K_i)^+]$ at How we pass from conditional expecation to ...
31 views

Is there a python code for estimating the parameters of geometric brownian motion?

I was trying to find the parameters of GBM but could not find a python code for the same.
16 views

Error using ghyp-distribution function

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
22 views

CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
9 views

nloptr and portfolio replication using Kalman Filter

Let me first say that I am relatively new to R. For a school project I am trying to create a replicating portfolio using a constrained Kalman Filter. I have tried using nloptr without success - I am ...
10 views

Option style with grant date

The following option exercise style is somewhere between American and European: There is a fixed grant date $N_1$ at which you determine at which date $N_2>N_1$ the option will be exercised. So ...
18 views

How to simulate historical performance of a short position of a security?

I would like to calculate with R the inverse return of Bitcoin. My objective is to simulate the historical price and return of a short position opened in Bitcoin. The first method is to cumulate the ...
44 views

Is a PhD of use for a career in quantitative finance? [on hold]

Some background: I am in my first year doing a PhD in Economics and Finance at a fairly prestigious business school. The subjects I am studying are quite theoretical, such as micro/macroeconomics, ...