# All Questions

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### Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
30 views

### Short-term spot futures pricing model

I am looking for price model for spot and futures Maybe you can recommend something intresting? Price can include (time until expiration) and volatility in spot,price of spot What i should looking ...
11 views

### Option Time decay [on hold]

I have option prices.If I am naked in straddle then time decay is use full for hedge my position in range bound market. when is the correct time to setup my portfolio? And big thing is that just 7 ...
126 views

### Is implied volatility flawed?

Was going through how Implied Volatility is used by option traders and in delta hedging. Correct me if I am wrong, doesn't IV consider a standard deviation of the stock price over say the past 1 year? ...
19 views

### How to calibrate volatility surface for Interest Rate Cap&Floor pricing

I'm using Black model to do interest rate Cap & Floor pricing. The volatility is determined by using the bootstrapping methodology. However, afterwards, how should I do the calibration, or ...
21 views

### I want to solve follow queston [on hold]

Suppose that $X$ is reachable using the portfolio $h$. Suppose furthermore that, at some time $t$, it is possible to buy $X$ at a price cheaper than (or to sell it at a price higher than) $V_t^h$ . ...
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### Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
7 views

### How to calculate margin costs for a brokerage account?

I wanted to calculate total margin costs for an account that started with 5,000 cash and held for 6-months? I managed to get some sample rates online . My assumption is that I would borrow another ...
25 views

### How to price this zero-coupon bond using a replicating portfolio? [on hold]

I have been asked to price a new zero-coupon bond, which matures in 5 years with a final payout of £40m, initially raising funds of at least £30m (£30m for the clients + commission for me). I also ...
21 views

### KeyError in Python code used to determine a trade signal for Pair Trading

I'm basically running some code as follows. Basically I'm just retrieving pairs of stocks (laid out as Row 1-Stock 1,2, Row 2-Stock 1,2 and so on, where Stock 1 and 2 are different in each row) from a ...
67 views

### Why is IV different between put and call of same strike

In his book 'Dynamic Hedging' Nassim Taleb says that the volatility of an OTM put should be exactly equal to that of a corresponding in the money call of same strike. But in option chains, the ...
18 views

### Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
41 views

### Calibration of Heston version of CIR

I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ ...
23 views

### Value-at-Risk of the sum of three independent lognormal random variables with different confidence level

there are three Business units in a firm, each has operational VaR value which are independent from eachother. the quantile for each opVaR is different from the others. can I simply add the VaRs to ...
26 views

### Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
57 views

### Finance Agency Problem

Principal is interested in buying lake. The revenues of operating the lake as a camping site are determined by the weather (a random parameter $w$ distributed uniformly on $[0, 1]$) and by the ...
22 views

### Value-at-Risk - Currency Swap

Can someone explain to me how to calculate the VaR (delta-normal-method) for a Currency Swap? Thanks in advance. Regards Alexander
29 views

### Urgent help needed : Spot price - future price relationship [on hold]

Historic market (Cash) prices and future contract prices are available for last 4 years. I have found correlation between Jan'11 market price with Jan'11,Feb'11 and March'11 future contract prices ...
33 views

### Using Gordon's Growth Model to find value of corporation

This is a question posed to us by my professor in my finance class. I was under the impression that the Gordon Growth Model was used to find the intrinsic value of a stock, but I am unsure how to plug ...
96 views

### What is the use of options pricing formulas

This may seem like a dumb question, but if the EMH is generally true, wouldn't options already be correctly priced? Why do we need all these intricate formulas, unless we think the prices are wrong or ...
16 views

### Correct Mupad for this equation?

I am trying to port the attached equation into Matlab Mupad. I have attempted the following Mupad language code: ...
23 views

### Discounted Stock Price

I have the following Question : Prove that under the risk-neutral probability p the stock and the banjaccount have the same average rate of growth. In other words, if $S_0 , S_N$ are the initial ...
26 views

### Distribution of running maximums of a log normal process

I've been searching for quite some time and would appreciate any guidance! What I'm looking for is the distribution of running maximums for a log-normal process. If anyone is familiar with any ...
23 views

### Gold commodity - Quandle [on hold]

I want to use Quandle to get historical data about gold prices. You can find the data here: https://www.quandl.com/data/WSJ?keyword=gold&page=1 But there are so many different kinds of gold ...
13 views

### Complete Multiperiod Binomial model

I have the following deifnition of a Complete multiperiod binomial model: A multi period binomial model can be called complete if every derivative security can be replicated by trading in the ...
17 views

### Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
62 views

### Using Black-Scholes to price a geometric average price call

Sorry if this is the wrong exchange for this question. It seems to be the most relevant, anyway. I'm trying to learn and understand the Black-Scholes framework, with a focus on the stochastic ...
28 views

### Dynamic Hedging for a Bond

Sorry if this question is duplicate. Analyzing the scenario to hedge bond credit risk with CDS. but if Bond price changes CDS notional will not change. is there any way i can hedge this ?
18 views

### Difference between Risk avoidance and Risk transfer

I was hoping some could explain the two terms namely, risk avoidance and risk transfer. Also, can a risk be avoided by transferring it?
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+50

### Empirical distribution function of overlapping time series data

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...
16 views

### How do you organize this Roman occasions? [closed]

Carthage was destroyed by the Romans. The capital moved to Byzantium was started. f. Carthage was destroyed by the Romans. c. Roma put in place a decentralized government. The capital moved to ...
24 views

### How should I achieve cross-hedging?

I am Airliner.I want to protect my business from price volatility of jet fuel cost.Jet fuel is not traded in futures market but Crude oil is traded in futures market. I have daily spot prices of jet ...
29 views

### Replication of the portfolio in single step binomial model

I would be grateful if anyone would comment how to construct this: Assume $S_{i}^k$ is a stock price at time level $i$ and at price level $k$. Assume option is written on $S$ with a a payoff ...
76 views

### US options market/microstruture research

Can someone point out where to find up to date market/microstruture research in the options market?
61 views

### rollapply with Arima model: testing for stability of coefficients

I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the ...
43 views

### Questions on Brownian Motion [on hold]

Hi all I'm preparing for my final exam in a few days on Stochastic Processes and was wondering how can if I have properly calculated thee following probabilities: (Let $W_1$ be a standard BM in ...
50 views

### Monte Carlo simulation returns not normal distributed

I am generating 100,000 paths of SPX out to 1 year using Euler discretization. I look at how S is distributed for 100,000 paths at the 1 year point and I find it is lognormally distributed. I look at ...
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### continuous dividend yield - european option

Can someone help with following task? You need to use a 5-period forward binomial model to price options, which is constructed by specifying the up and down moves as follows: u = exp {(r − δ) · h + ...
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### What does it mean to change the currency of a spread between bonds from 2 different countries?

On reuters I charted the spread between the 10yr US bond and the 10yr UK bond. It gives the me the option of choosing the currency. For just the standard spread(ie: yield(US)-yield(UK)) you select ...