Top new questions this week:
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I am interested in deeply understanding the way ETF market makers operate to profit. I already know that market makers profit from buying at the bid price and selling at the ask price, and I am also ...
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I'm trying to replicate the following FX vanilla option pricing exercise (and the conversion between the quote types), taken from Wystup (2006).
A call's value today is well-known given by BS / ...
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I am currently developing a software that needs to store stock prices and the amount of stocks (sold/purchased) of a given company. Now I am wondering which data types I need to use to store this data....
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I understand while equity derivatives require the modelling of stock price at expiry, interest rate derivatives typically require modeling both the expiry and tenor, thus increasing the dimensionality ...
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Consider the following initial-boundary value problem for $u = u(x,t),$
$$u_t - a u _{xx} = f(x,t) \text { for } 0 < x < L \text { and } 0 < t< T$$ along with bunch of initial and boundary ...
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How do I find the value of bonds with continuous coupon yields and interest rates that are both a function of time?
The bond has a redemption of 2000 at time $t=2$ and pays continuous coupon payments ...
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A database only has transactions/trades for a given instrument.
In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow?
what are ...
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Greatest hits from previous weeks:
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There seems to be a thin line between risk transfer and risk sharing. Can someone explain with example how can this be differentiated?
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This is not homework. I am trying to calculate the implied interest rate of one currency (C2) using an FX swap and the interest rate of another currency (C1 - base). I have the following:
Spot: 7....
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I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
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Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
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I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
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Here's the formula for free cash flows I'll be referring to:
FCF = EBIT*(1-Tax Rate) + Depreciation and Amortization – Capital Expenditures – Increases in Net Working Capital (NWC)
If you have an ...
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One site suggested the difference is that the warrant in the bond with warrant is a fixed price on company stock. E.g. for a \$1000 bond, you can buy 500 shares at \$2 each. And that convertible bonds ...
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Can you answer these questions?
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I'm trying to understand how a continuous double auction works, by working through the below setup:
I'm trying to figure out
what the final results would look like
how to determine the equilibrium ...
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I'm looking to do a Brinson performance attribution on a portfolio of stocks where instead of decomposing the returns in terms of sectors we use factors instead. Basically, I want to do what Style ...
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In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \$100 ...
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