All Questions

I am trying to solve the following problem: 'An insurance company has an initial surplus of 150 and premium loading factor of 15%. Assume that claims arrive according to a compound Poisson process $(...

I just conducted a Fama-Macbeth regression to estimate the risk premia of Mkt-Rf, HML and SMB. As a result, I got a negative risk premium for Mkt-Rf which makes no sense in my opinion. As I couldn't ...

Are there any reliable ways of protecting a cloud-hosted trading algorithm from being seen/copied – for example, by people working at a company who are hosting an algo (like QuantConnect, Quantopian, ...

Let X_t be a stochastic process such that $$X_{t} =\frac{1}{t}\int_0^t u dW_u $$ I know that for $$Y_{t} =\int_0^t u dW_u$$ $Y_t-Y_s$ is independent of $Y_s$ where $t>s$. But is this also true ...

I am wondering about the probability distribution of the stochastic process $$X_t=\int_0^t \frac{u} {t} dW_{u}$$ I thought of using the Kolmogorov equation but after converting this into An SDE $$...

I'm using the code used here in R, but the price are very far from those of the markets, and so is the stochastic volatility. Do you have any advice ? Thanks. ...

I have bid/ask vols (straddles, risk-reversals and market strangles) for FX pairs, I want to create a mid/bid/ask volatility surface in strike/maturity space after a consistent smile calibration ...

A lot of my professors advised me on doing an undergrad thesis that has something to do with the "relatively new" cosine method (~10 years). What applications are there in Finance of the FFT/Cosine ...

On page 6 of this paper a forumla is given for payer swaptions, I am just wondering what is the formula for receiver? My implementation of the formula for payer and receiver is here, but I am not ...

Valuation Date As Backdate(12 November 2019) On calcuating Vanilla Swap, Quantlib gives error message as below ...

Please explain to me the effect of sales on Degree of operating leverage

I am confused about how to run fama macbeth regressions for portfolios with rolling window. For example if I have 25 portfolios and time period is 50 years(monthly), rolling window period is 5 years. ...

I am using the SwaptionHelper class to create the swaptions. Reading the documentation: https://www.quantlib.org/reference/class_quant_lib_1_1_swaption_helper.html I realize that one of the ...

Does the standard European option calculation of leverage, Embedded Leverage = Delta times (Underlying price/Option price) change across the various option ...

Hi guys Could you help me here? I would like to calculate the return of a Pairs Trading strategy. For example: 18/11 - Open the Trade: I will go long on A and Short on B: Stock A : $ 32.24 Stock B ...

I'm working on some quant interview questions from the book called Quant Job Interview Questions And Answers (by Mark Joshi and other authors). Here are the questions from the bookd, and the answers ...

Price of bond = 100.44 Nominal coupon interest rate (compounded annually) = 1.5% Duration: 10 years Face value (what you get back after 10 years, may be poor translation): 100 Spent hours now trying ...

Does anyone know some bibliography about the problems or limitations of using Stop-Loss strategies in a portfolio? Let me explain better: for example you can have a portfolio of 30 stocks from ...

If I send a FIX message that contains a repeating group, will the recipient of the message also see the groups in the order I specified? In other words, is the ordering of groups within a repeating ...

I'm reading an interview book called A Practical Guide to Quantitative Finance Interview by Xinfeng Zhou and I cannot make sense of the solution provided by the book, so I really appreciate your ...

I am implementing an AEG model based off Ohlson (2005). The formula is as follows: $$ V_0 = \frac{E_t}{k} + \sum_{t=1}^n{\frac{1/k * (E_{t+1} - (1+k)E_t+kD_t)}{(1+k)^t}} $$ I'm debating how share ...

As far as I understand, a compounded swap rolls up individual payments into one final payment which becomes: $$ V(t_n) = N \prod_{i = 0}^{n-1}(1 + d_i L_i)-N $$ where $d_i$ is the day fraction for ...

I am slightly confused with the terminology Shreve (2008), he states: "The variance of the symmetric random walk accumulates at rate one per unit time, so that the variance of the increment over ...

Portfolio Theory uses things like Expected Value, Risk, Confidence. I wonder why it's not ...

I am comparing different asset classes in order to estimate the expected return and the risk of a portfolio. I have historical data (adjusted close price) for my asset classes for the last 5 years ...

https://mebfaber.com/2008/12/27/tracking-jim-simons-renaissance-technologies/ But, like always, I will let the data speak for itself. Top 10 holdings, back to 2000, equal weighted through 12/19/2008:...

It's possible to use some algorithm to predict the future price of a stock in a form of probability distribution. But, usually the end goal is the performance of a portfolio, not a single stock. The ...

Regards of 4.5.1, how we get 4.5.5?

The realised PV of a swap (notional is 1 ) is : $Swap(t)=\sum^n_{i=1} \tau_i \times D(t,Ti) \times (L(Ti, Ti, Ti+ \tau_i) - K)$ How do we get the expression with forward rate : $Swap(t)=\sum^n_{i=1}...

I recently started working on a project that requires me to deal with the new market risk standard issued by the Basel Committe: https://www.bis.org/bcbs/publ/d457_faq.pdf I am trying to calculate ...

I am looking to optimize the open/close signals and time for a pairs trading strategy my partner and I are researching. We don't want to go p-hacking so we have been trying to decide: We have 20+ ...

I got a question regarding the analysis of the value premium in the U.S. stock market. The task is to use the market-to-book-value ratio to split the S&P500 in five portfolios (rank 1-100,101-200,...

I want an options position where I can short some options to pocket the premiums and benefit from the time decay. I also want to be vega and gamma neutral. Is there an established way to find which ...

I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html Appreciate ...

I noticed the SP500 index (^GSPC) daily volume on yahoo finance was about the same as the the SP500 index (SPX) volume on stockchart.com at the time of market close. But it became about 2x larger on ...

I backtested a strategy based on close price. However, for real trading, in order to decide my position for the next day, I need to know the close price for the current day. In other words, I need to ...

I have used the following: https://www.alphavantage.co/query?function=SYMBOL_SEARCH&keywords=URBI&apikey=nnnnnnnnn I get back this: ...

I am trying to solve the following problem: 'An insurance company has an initial surplus of 150 and premium loading factor of 15%. Assume that claims arrive according to a compound Poisson process $(...

I have a question about the Comprehensive Capital Analysis and Review (CCAR) process for US banks. I understand that the PPNR (Pre-Provision Net Revenue) Models and Loss models can create a predicted ...

Assume the risk-free bond Bt and the stock St follow the dynamics of the Black & Scholes model without dividends (with interest rate r, stock drift $μ$ and volatility $σ$). Let $A_T:=\frac{1}{T}...

Was the success of the Renaissance fund genuine? Or did they simply pile everything into mortgage backed securities and everyone withdrew in 08 because they were using it like a bank?

For a limited time (a few months) only, I want to replicate a target portfolio (consisting of asset classes) with all the asset classes in such target portfolio minus a few. I only have 5+ years of ...

This is my first question here and I hope I don't make any mistakes. I have kind of a problem with spreading and hedging inverse futures such as Bitmex 3m or 6m XBTUSD contracts due to their non - ...

I would like to understand why the Black and Scholes greek letter theta for european call option behave in the following way: as time to maturity is far away (right part of the x-axis in the the ...

Why does Mean Variance Optimization resulted in highly concentrated asset allocations? This is standard knowledge that it does but Im unable to find the reason for it. And Robust Optimization seems to ...

I’m learning the market price for FRM, and I’m having a hard time understand a question in the assessment: From my understanding, the volatility skew for equity is the graph on the right upper corner:...

I have been doing backtesting, and I am seeking to see if there are any flaws in my program, as it seems to be too good to be true. Based on stocks with market capitalization of > 10B, go back in ...

I know there is a lot of content about this topic, but I have not seen a post which gives a satisfying answer to my problem. I am trying to hedge a European call option with real market data under ...

Here is a screenshot from : LIM Quadratic hedging and mean variance portfolio selection with random parameters in an incomplete market When I deal with mean variance portfolios, I usually see the ...

Assume the risk-free bond $B_t$ and the stock $S_t$ follow the dynamics of the Black & Scholes model without dividends (with interest rate r, stock drift $\mu$ and volatility $\sigma$). Show that ...