# All Questions

1 view

### delta of a swaption using Bringo

I struggeling with calculating the delta of a swaption. In the interest rate case I usually mess around with the multiple cash flows over time so that the discounting is more complex than in the ...
17 views

### Connection between implied volatily and implied probability

I am reading some lecture notes about Black-Scholes (BS) option pricing. Since the BS-formula is not supported by observed data because of the dependence of the implied volatility on the strik and ...
20 views

### How to learn QuantLib-python at first?

In my project, I have to get the delta of up and out call option (with vol surface). I found out that QuantLib might help me on that. Since my main language is python and I don't know well about C++, ...
30 views

### Legitimate input parameters for Nelson Siegel Svensson model

I had previously asked this question and have come to better understand the answer with regards to setting the input parameters for the Non-Linear Optimization problem that provides the NSS ...
33 views

### Rebalancing portfolio weights

I have a matrix of returns and weights for every time period. ...
19 views

### Compound Discounting(?)

I am a programmer interning at a small contract furniture company. This company receives multiple discounts from the manufacturers, and I am trying to calculate the end discount. For example, the ...
15 views

### Understanding portfolio weights and purchasing stock in modern portfolio theory

Recently I've been learning about the markowitz algorithm. It's pretty interesting, but I'm curious how we apply this in practice. Lets say I have some optimal portfolio: $R_p = x_aR_a + x_bR_b$ ...
34 views

### About the boundary conditions of the Black-Scholes-Merton PDE

I have a question about the solution of the Black-Scholes PDE for the European call option when I read the book Stochastic Calculus for Finance II of Steven E.Shreve. Let $c(t,x)$ be the value of the ...
40 views

### Calculating discount factors using Nelson Siegel Svensson model

I am trying to understand how to calculate the discount factors $disc(TTM)$ mentioned on Page 9 of this pdf. When I'm calculating the discount factors, mentioned each bond has its own cash flow and ...
18 views

28 views

29 views

### optimization with absolute constraints

Suppose I have an optimization where I need to impose ADV-like constraint (for a case where Shorting is allowed): $\max \mu'w - \lambda w'\Sigma w$ $|w| \le V$ $Aw = 0$ and I want to use a ...
40 views

### Correlation Between 2 Portfolios

I have a set of assets, n. I'm trying to find the correlation between 2 portfolios, say x and y, where x is nested in, or, a sub-set of y. That is, x is a portfolio based on a sub-set of n, while y is ...
46 views

### Newbie Quant: Bulding price feeder to securities master db

First of all, warm hello to all. I am newbie and i admit it, but with at least 15+ years of exp in C++. Working in IB - derivatives mainly, but unfortunately on the business side not trading at all. ...
43 views

### Careers in finance for postgraduates? [on hold]

Having read through similar topics, I see these questions are often poorly received, so apologies if this is not the place to ask (would appreciate if someone could redirect me). I shall try to be as ...
63 views

111 views

### Are all stocks and stock indexes just white noise

In the paper Super-Whiteness of Returns Spectra from Erhard Reschenhofer of University of Vienna it is commented the following "Until the late 70’s the spectral densities of stock returns and stock ...
137 views

### Is there any research on pyramiding techniques of entering/exiting a trend?

I am looking for any research about optimal strategies for gradually building (scaling in) positions inside a trend as well as optimal gradual exit strategies on pullbacks/reversals to minimise ...
64 views

### How to discretize a GBM under P- and Q-measures?

Under the P-measure, a geometric Brownian motion can be specified using the following SDE: $$dS_t=\mu S_tdt+\sigma S_tdW_t^P$$ and its Euler discretization is S_{t+\Delta t}=S_t + \mu S_t \Delta ...
60 views

### Spot price and volatility has a correlation of -1, why?

A stock option trader taught me yesterday that the correlation between the spot price of asset X and the variance of asset X is approximately -1. Can anyone give me a explanation why this is true?
81 views

### Momentum - Statistical Argument

In their seminal paper Jegadeesh and Titman (1993) develop a statistical model to infer where moment comes from. In practice they setup the following: $r_{it}=\mu_i + b_i f_t +e_{it}$ ...