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seen Dec 19 at 17:11

Dec
1
comment Cost of carry for posting bonds as collateral
Wouldn't it just be the difference between the bond rate and the risk-free interest rate from a bank? T-bonds normally pay lower interest than banks.
Dec
1
comment How to calculate the standard deviation of a 'deviation from a moving average'?
My gut instinct is that the variance increases proportionally with the number of measurements per time period, and the standard deviation thus increases by Sqrt[n]. This implies that if you sample frequently enough, your standard deviation will grow to infinity, but I believe that's actually correct (since your chance of getting extremely high or low values increases as your sample size does).
Dec
1
comment Are these nonstationary variables?
If you're running a regression on the difference in interest rates, you're computing a "rollover rate" which has an actual use in the FOREX market. I'm not sure if that sentence helps.
Dec
1
comment In which divisions of banking are the Greeks and Black Scholes equation applied?
They're also used to create financial crises in the European Economic Community, but that's a different type of Greek ;)
Dec
1
comment Opposite of hard to borrow?
If "everyone" expects a stock to fall or rise, that will be reflected in the current price. Aggressive buybacks and billionaire pledges would also have an instantaneous effect (assuming you trusted the billionaire)
Dec
1
comment How do I calculate the probability of a stock being above or below a value using the Heston model?
Google, wikipedia and investopedia might be good starting points.
Nov
22
comment Is the Volatility of the Fx Inverse process same as Fx
Since volatility measures the change in Log[Fx], and Log[1/Fx] = -Log[Fx], this appears to be apparent.
Nov
22
comment Why doesn't Black-Scholes assume the absence of statistical arbitrage?
Black-Scholes is known to be inaccurate, but not for this reason. Can you show an example where Black-Scholes behaves poorly for statistical arbitrage? Lack of statistical arbitrage is implicit in Black-Scholes and in the market.
Nov
11
awarded  Popular Question
Nov
8
comment Distribution of the differences of the inverse of the integral of a Gaussian Distribution
Er, the log of 1/P is -log(P), same distribution with flipped sign. Does that help?
Nov
8
comment How to prove following order?
Is a consol bond the same thing as an annuity?
Nov
8
comment Normalization of Market Data in Time Series Correlation
You could correlate only where data for both securities is available. Two securities rarely trade at the same nanosecond, so you'll have to create some discrete time interval (eg, 1 minute) for correlation purposes. You can use the median price for the minute to correlate.
Nov
8
comment Binary option expression
This isn't how I would compute the value of a binary option, but your next step would appear to be taking the limit itself as epsilon goes to 0, no? You are effectively looking at the derivative of C(K) by the definition of derivative.
Nov
8
comment What is the best source (book or article) to learn pair trading from for the layman?
en.wikipedia.org/wiki/Pairs_trade would be a good start?
Nov
5
answered Where can I find answers to questions in the book “Paul Wilmott Introduces Quantitative Finance”?
Nov
4
comment Index creation from multiple time-series and variable weights
Are you saying the weights change daily? Do the indices have approximately the same value? If so, INDEX1/2 + INDEX2/4 + INDEX3/4 works. If not, you should decide how to normalize (set them all to 100 on day 0?)
Nov
3
comment how to calculate a cross-currency swap in basis pt?
fxdd.com/mt/en/forex-resources/forex-trading-tools/… might be what you seek.
Nov
3
comment American put on a foreign currency
You might want to look into "rollover rates", the money you make or lose daily for holding currency. Selling currency early could save you money if you're paying rollover, or even make you money if you're taking a short position in the currency.
Nov
3
comment Logging FIX Messages
This isn't really a finance question, but I'll try answering it anyway: have you tried a RAM disk?
Oct
31
comment Vanna-Volga method to infer vol surface with just few realtime tick data
If you know the value of the underlying, you don't need both put and call pricing: one depends on the other. You probably want ATM call, first OTM call and first ITM call for each maturity. You can get a good approximation of the volatility smile and surface from that.