# All Questions

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### How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...
19 views

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
10 views

### When are ES E-mini future options issued?

Since options lose 2/3 of their time value in the second half of their lifespan, it makes sense to be aware of when an option was issued. What are ways of figuring out when ES futures options have ...
12 views

### 12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ... ...
42 views

### Financial modelling in R [on hold]

Recently I've found out that quantitative department in my company uses mostly R software for modeling in general. What is the advantage of modeling financial data in R instead of Excel, or some ...
1k views

### Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
30 views

### Initial holdings of bonds with delta hedging (Black Scholes model)

Consider the Black Scholes model so $$dS_t = \mu S_t dt + \sigma S_t dW_t, \;\;\; dB_t = rB_t dt$$ I want to delta hedge an European call option with strike price $K$ and strike time $T$. It is known ...
51 views

### Stressed Value at Risk vs Value at Risk

Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?
7 views

### Revolving loan or revolving credit? [on hold]

What are the main advantages of revolving loan over revolving credit? I know that one is type of financial institution and the other specific line of credit, but not sure what are the benefits of one ...
41 views

### What is the variance risk premium?

Can someone provide an intuitive understanding of the variance risk premium? I am very confused by this definition and cannot interpret my time series analysis.
19 views

### What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?

I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...
77 views

I'm trying to find the optimal portfolio of options and stock which minimizes the standard deviation of the portfolio returns but also taking into consideration the bid and ask prices of the assets. ...
63 views

### Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
111 views

### Is spoofing financially risky?

It's alleged that Navinder Singh Sarao contributed to the flash crash by placing huge, fake, order for S&P Minis. Mr. Singh Sarao then cancelled the huge orders before they were filled. The ...
31 views

### How to calculate conversion parity for convertible bond?

Can someone explain how can I calculate the parity of this convertible bond? I know the formula is Current price of common stock x Conversion Ratio, but it doesn't seem to be right in this ...
65 views

### Conversion of SPY prices to ES prices

I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES. Is there a conversion factor ...
62 views