Community Digest

Top new questions this week:

Hull-White model applied in practice

I'm reading about the Hull-White model, I understand the math behind it and logic but what I am struggling to understand is how it's actually used in practice ? How can we combine it with technics ...

option-pricing interest-rates hullwhite  
asked by Gogo78 4 votes
answered by KeSchn 4 votes

Good textbooks on xVA

I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few? Your pointer will be highly appreciated. Many thanks,

asked by Bogaso 3 votes
answered by Dimitri Vulis 0 votes

FED rate cuts don't exist

I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...

interest-rates bond bond-yields yield fed  
asked by Ansjovis86 3 votes
answered by kurtosis 1 vote

How can Ito's Lemma be used to show that a delta-neutral portfolio is instantaneously risk-free?

The lecture notes I am currently reading give the following example of a delta-neutral portfolio: minus one derivative (whose value at time $t$, when the value of the underlying is $S_t$, is denoted ...

itos-lemma delta-hedging  
asked by John Smith 2 votes
answered by Arshdeep Singh Duggal 0 votes

Intuitive explanation of put option pricing based on put-call parity

Assuming no dividends, the put-call parity equation says: $c + \mathrm{Ke}^\mathrm{-rT} = p + S$ where $c$ is the price of the European call, $p$ is the price of the European put, $S$ is the current ...

options option-pricing put-call-parity  
asked by Flux 2 votes
answered by StackG 0 votes

Exchangeability of random vector

I hope you can help me with this rather basic question that I asked myself. A random vector $(X_1,...,X_n)$ is said to be exchangeable if it has the same distribution as the permuted random vector ...

exchange random-variables  
asked by Wombat 2 votes
answered by mark leeds 2 votes

How to calculate the covariance involving Stochastic process

I was looking at some old post : Variance of time integral of squared Brownian motion I failed to grasp 2 derivations - $\text{Cov}\left(\int_{0}^{t}W^3_sdW_s\,,\,\int_{0}^{t}W^2_sds\right)$. I know ...

asked by Bogaso 2 votes
answered by StackG 4 votes

Greatest hits from previous weeks:

Hedging Covid-19 and other low probability high loss risks

Covid-19 and similar risks are low probability, high loss events. Does it make sense to utilize options to provide hedges for such events? For example, should one utilize long positions in deep ...

options option-pricing portfolio-management portfolio-optimization hedging  
asked by AlRacoon 18 votes
answered by RWP - Down by the Bay 8 votes

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the ...

market-data historical-data  
asked by user190080 42 votes
answered by Paul 31 votes

What's the difference between credit risk and counterparty credit risk?

As the title reads, what is the difference between credit risk and counterparty credit risk? What are the key differences?

credit-risk credit  
asked by lakesh 8 votes
answered by cykor21 5 votes

How to simulate stock prices with a Geometric Brownian Motion?

I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula: ...

equities simulations stochastic-processes brownian-motion  
asked by user1690846 31 votes
answered by SRKX 29 votes

The difference between Close price and Settelment Price for future contracts

What is the difference between Close price and Settlement Price for future contracts? Is there a defined rule for evaluating the settlement price or different rules are applied for each ...

futures pricing  
asked by Freewind 7 votes
answered by strimp099 8 votes

Why non-stationary data cannot be analyzed?

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 ...

time-series stochastic-processes econometrics stationarity financial-engineering  
asked by Ice 16 votes
answered by lehalle 8 votes

Calculating Bollinger Band Correctly

My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here start, end = ...

python moving-average charts  
asked by user3314418 9 votes
answered by Sohel Khan 15 votes

Can you answer these questions?

Option that never expires

I have been struggling with the problem below for quite some time now. I really don't know how to approach it. All I could think of is to use the Black-Scholes formula with $T \rightarrow \infty$, ...

options black-scholes stochastic-processes stochastic-calculus american-options  
asked by Luis Dellas 1 vote

Computing FX forward delivery dates for 1M rates on end of the month

Up to now, I have been unable to find a clear explanation on the calculation of the forward delivery date for 1M. I understand that when the spot delivery date is e.g. 14-Jan, then the 1M delivery ...

asked by EddyG 1 vote
answered by EddyG 0 votes

Questions on the Day count issue in Bond pricing

I failed to understand how does QuantLib manage the day-count issue when determining the actual Coupon payment. Below is my Fixed Rate Bond - import QuantLib as ql import pandas as pd todaysDate = ...

asked by Bogaso 1 vote
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