Top new questions this week:
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Suppose that now is August 2006 and we have the following zero-coupon bonds:
Maturity: August 2007, Price: 95,53
...
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I am a master student in finance and I am working on my portfolio management thesis. Within my thesis I will have to backtest a portfolio strategy for a balanced portfolio.
I am looking for a guide/ ...
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The core of my question comes down to wondering what happens in the following scenario:
Consider a situation where it turns out that USDT (Tether) is actually not backed by any assets, which would ...
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I am studiying the impact of two variables A and B on stocks returns. When I sort the stocks individually, I find that the long-short portfolios returns obtained for A and B exhibit high correlation. ...
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Suppose we have an HJB equation of the form
$$
\frac{\partial v}{\partial t}+\frac{1}{2}\sigma^{2}\frac{\partial^{2}v}{\partial s^{2}}+max_{\delta^{a}}\left\{ \lambda^{a}(\delta^{a})\left[v(t,s,x+s+\...
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This picture is from Neftci's textbook, 'An Introduction to the Mathematics of Financial Derivatives, Third Edition'
What makes me uncomfortable is equation [10.61] In above picture.
In this equation,$...
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I am looking to understand more how once you have a factor (or signal) how you would go about testing this for alpha, I assume you could see if it has low correlation with other factors but how would ...
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Greatest hits from previous weeks:
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What is the formula for the forward price of a bond (assuming there are coupons in the interim period, and that the deal is collateralised)
Please also prove it with an arbitrage cashflow scenario ...
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I have seen the following formula for the tangency portfolio in Markowitz portfolio theory but couldn't find a reference for derivation, and failed to derive myself. If expected excess returns of $N$ ...
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Let
$$X_t = \int_0^t W_s \,\mathrm d s$$
where $W_s$ is our usual Brownian motion. My questions are the following:
Expectation?
Variance?
Is it a martingale?
Is it an Ito process or a Riemann ...
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Does anybody have the Bachelier model call option pricing formula for $r > 0$?
All the references I've read assume $r = 0$. I don't speak French, so I can't read Bachelier's original paper.
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Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?
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How do volatility and variance differ in finance and what do both imply about the movement of an underlying?
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We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility.
Is there a simple, closed form, ...
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Can you answer these questions?
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I've read the OpenGamma paper https://quant.opengamma.io/CDS-Options-OpenGamma.pdf on CDS Options, and noticed a small discrepancy. So I wanted to double-check my understanding.
In Section 6.4 the ...
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I understand that implied volatility is the expected volatility of an underlying contract in the Black option pricing model. This is easy to interpret for assets delivered at a point in time. But how ...
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Randomly pick a (long only) portfolio from all possible portfolios over the S&P 500. The expected performance of this portfolio should equal the actual performance of the S&P 500.
In contrast, ...
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