# All Questions

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### Wiener process analytic expression from geometric brownian motion

The solution to the SDE $dx= -kx\ dt + cx \ dW$ is $x(t) = x_0 e^{(c - k^2/2)t}e^{-k W}$ with mean $\langle x(t) \rangle = x_0 e^{(c - k^2/2)t}$ where $W(t)$ is the Wiener process. Im ...
33 views

### How can I calculate the margin requirements for a Bitcoin futures contract?

Suppose that I want to calculate what the margin requirements should be for a Bitcoin futures contract, where the contract is the USD/BTC exchange rate (settled in Bitcoins). I've looked at the SPAN ...
31 views

### Calculating and interpreting cumulative returns is R

I have buy and sell signals,and accordingly, I artificially generate a signal series,for which,I assign 1 to every buy and -1 to every sell: ...
40 views

### mean reversion with Kalman Filter - Spread calculation

Ernest Chan in its book "Algorithmic Trading" shows how to use the Kalman Filter for mean reversion pair trading. I have seen that he uses the measurement prediction error for calculating the spread ...
28 views

### BS Implied Volatility under Normal returns

If I use theoretical prices under a normal valuation model, and I estimate their implied volatility using BLACK SCHOLES implied volatility, do I'll get corresponding log normal volatility?
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### Expected Shortfall (CVaR) Backtesting

I am writing my thesis on VaR and ES risk measurements and have encountered some issues with how to best test the accuracy of ES estimates. My understanding of the topic is that backtesting ES ...
62 views

### Drawbacks of Black-Scholes option pricing model

Will highly appreciate if anybody can provide logical financial proof why the Black-Scholes option pricing model overestimates the value for long-term options? Thank you in advance, Pasha
29 views

### recommendation for books about data analysis [on hold]

I do not know if it is a duplicated. I am a software developer. Now I am trying to study the market data of index future and design an algo about trend analysis. I have a direction of this algo. ...
7 views

### any introduction on beta adjustment for basis risk?

On beta adjustment for basis risk, I could only find an online definition: Gap reports modified to mollify the errors caused by basis risk. The essential concept of beta-adjusted gap is that all ...
29 views

### Fixed Income Var calculation

I'm trying to calculate var for a portfolio of fixed income securities. I initially want to just calculate undiversified VaR for each instrument. I'm doing the following for each instrument Take ...
41 views

### How to choose the output for a EA based on Neural Network? [on hold]

I'm trying to build a EA based on Neural Network. And I want to find a feature/indicator as the output. I've tried i+1 close value (the close value of next bar), and the up and down direction (from i ...
73 views

### A Question from “Mathematical Methods for Financial Markets” Chapter 2

Exercise 2.3.1.5: The payoff of a power option is $h(S_T)$, where the function h is given by $h(x) = x^\beta(x-K)^+$. Prove that the payoff can be written as the difference of European payoffs on the ...
63 views

### Random Brownian Simulation Startiling Results

I was playing around in Excel the other day, simulating possible equity curve/P&L paths for a simple game I designed. The game is really trying to find an optimal risk managment strategy. I start ...
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### (Free) end of day historical data source for FTSE 350 sector indices

I have been searching for a free EOD data source for FTSE350 sector indices. I remember coming across a site on msn finance a few years back, which provided several years worth of this data (no volume ...
45 views

### selecting test data for neural networks

I have been working on a neural network based on certain technical indicators. As people familiar with neural networks would know after developing a hypothesis, the developer is also supposed to ...
45 views

### unique equivalent martingale measure in incomplete markets

Do you have any idea about how we can prove, and under which conditions, that an equivalent martingale measure (EMM) in an incomplete market is unique? The assumptions we have made are: 1) that the ...
31 views

### Yahoo Finance API

Have been looking for ways to down load stock price data using Yahoo Finance on Chinese Stocks. Symbol that ends with .SS = stock listed in Shanghai, .zz = stock listed in Shenzhen This link ...
28 views

### How do you make money through risk free instruments by trading [on hold]

How does a Quant trader makes money through Bonds and similar instruments. Please suggest some papers.
41 views

### Price comparison of a call-like derivative with a call option under Black-Scholes' model

This was an exam question at Cambridge University. Let $S_t = S_0\exp(\sigma W_t + (r-\dfrac{1}{2}\sigma^2)$ and a bank account returns a continuously-compounded rate of interest $r$. Consider the ...
30 views

### Option trading strategy with positive and negative vega at the same time?? (BRIC) [on hold]

Someone able to come up with an option trading strategy which behaves like having a positive and negative vega at the same time and with positive vomma but also downside protection in a case of a ...
34 views

### ITM Puts under negatively skewed return distribution (volatility skew)

I read Hull (2009) on implied volatilies. I understand that (given a negatively skewed return distribution) an OTM-Put is more worth than under a normal distribution and that a OTM-Call is worth less ...
30 views

### How would one perform an orthogonal transformation of return data on factors in excel?

I am working on a multivariate regression model and I'm trying to decompose the unrelated beta coefficients using the method proposed by Rudolf F. Klein and K. Victor Chow ...
34 views

### Estimation of Empirical Expected Shortfall of a heavy tailed distribution

Assume that you have a portfolio for which you have estimated a parametric model to the underlying instruments, but the distribution of the portfolio as a whole is too complicated to compute ...
17 views

### List of 2008 NACE Rev 2 codes

Am looking for a simple list of the NACE 2008 rev 2 codes (The European classifications for economic sectors). The official publication is here, but is there an easily accessible list of the actual ...
151 views
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### Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
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### How to get company ids (like CIK)

I need company ids and jurisdiction codes for all the companies all over the world. So that I can use it to extract information from opencorporates. Any idea where I can find the information
52 views

### Need 24 hours a day real time/slightly delayed prices of futures contracts on US and non-US

I'm looking for a data provider to get real-time/slightly delayed data for futures contracts on US and non-US indexes 24 hours a day. Can you recommend anything for a person, who can't afford ...
26 views

### Rate of return calculation [closed]

I'm confused by a theoretical problem involving rate of return and was hoping one of you guys would be able to help me out. As a rather simple example, I have the capital cost for some project of ...
12 views

### Need guidance for expense handling [closed]

There is an increasing number of requests from our engineers for cash advance when travelling for remote calls. Since it has now become a routine and there is no process in place we have to approach ...
33 views

### Scaling Intervals in Diffusion Process

I know this is a very elementary question but... when modeling asset prices through a stochastic process as in $$dS_t=S_t μ dt+S_t σdW_t,$$ where the following is a wiener process ...
85 views

### EuroDollar vs FRA

I am not quite clear about this. When people mention Eurodollar are they mean Eurodollar Futures? One of the difference between Eurodollar and Forward Rate Agreement(FRA) is basically difference ...
28 views

### Fair interest of mortgages

May be a stupid question, but I don't know the answer. Suppose someone asking me money for a mortgage for buying something. If I know the chance (mean value of payments and variance of payments) that ...
54 views

### Bloomberg interest rate interpolation

I have question about the linear interpolation of interest rates. I am unable to reconcile the Bloomberg methodology for calculating risk-free rate between maturities. In theory it is a straight-line ...
49 views

### How to use Merton model to calculate default probability with monthly stock prices?

I want to calculate the estimated default probability with only given data the monthly returns for the last 20 years, the risk-free rate ($R_f$), equity value (EV) and the face value of debt ($D$). My ...
78 views

### Optimization: Factor model versus asset-by-asset model

In portfolio management one often has to solve problems of the quadratic form $$w^T \Sigma w + w^T c \rightarrow Min$$ with portfolio weights $w \in \mathbb{R}^N$ a constant $c \in \mathbb{R}^N$ and ...
191 views
+50

### What is Quantitative Investing and how does it differ from Quantitative Trading?

I have worked in quantitative trading for a couple of years so I know what that space is about. I am curious to know what quantitative investing is all about. Based on what I have read and talked to ...
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### What does “primary calendar” mean?

I was reading the 2013 research rankings article on Institutional Investor and came across the following quote: "We do not expect spread widening in most markets, and we expect the primary calendar to ...
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Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
46 views

### Futures TAS order: how it works?

Can anyone explain how TAS (Trade-At-Settlement) order on futures market actually works? Number of people keep saying that it is guaranteed execution on settlement price (or with some offset). How ...
92 views

### Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
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### Arbitrage with freshly issued bonds

I recently heard someone mention an arbitrage strategy involving selling freshly issued bonds and buying the "old batch" as it has shown that the liquidity in the fresh batch motivates/drives up these ...
95 views

### Finite difference methods

I am simulating the price of a basket option with the help of equations from the report ...
63 views

### Log returns and time

In calculating realized/historical vol for fx spot, my samples/fixings are currently every minute. I need to be able to calculate and plot historical/realized vol on demand from spot prices. ...
45 views

### Recreate Positions after downtime. Suggestions requested

We are trying to be able to get back to the Position state when our software goes down unplanned during the day. So far it seems we can get all our bought and sold quantity based on execution log we ...
66 views

### default probability

Suppose the hazard rate is $\lambda$ the default probability density function follow exponential $f(t) = \lambda e^{-\lambda t}$ and cumulative probability function is $F(t) = 1 - e^{-\lambda t}$ ...
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### How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...
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### Delta Hedging for a put option [closed]

Is my intuition correct? If we buy a put we want to hedge against price increasing, so we buy the underlier. If price increases, the absolute value of delta decreases so we need to reduce our hedge ...
43 views

### What are the math topics involved in FRM 1

Is there a way to get the math curriculum for FRM level 1 without purchasing the Exam? I wish to take a look at the math topics and see if I have any chance of cracking it. But I could not find an ...
Some time ago Almgren and Chriss proposed a method for portfolio optimization based on sorting criteria such as $r_1 > r_2 >... > r_N$ instead of explicit expected returns: see portfolios ...