# All Questions

12,003 questions
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### How to compute gamma for at-the-money regular calls and puts when they approach expiration?

When and at-the-money regular call or put approaches expiration, gamma tends to infinity. However, for practical purposes, there is only a finite change in delta. The problem is that if any of the ...
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### Yield Curve Trading Strategy Explaining Books

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...
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### When a stochastic volatility model is calibrated?

In an Investment Bank, how often a stochastic volatility model is calibrated ? Is it calibrated daily ? Is it calibrated whenever a pricing is required ? Thanks.
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### Exposure of two companies in a transaction involving an FX option

An American company $A$ has sold a manufactured product to a German company $B$, and they agree for the payment of 100,000 EUR in 1 year ($T$). What type of exposure does $B$ have? What type of ...
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### Type II error share price event study

I have a question regarding the type II error for a specific event study. It is a case study (i.e. one observation) with daily share prices. I want to test whether event day abnormal returns are ...
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### Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
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### Using quandl premium datasets with zipline

Im trying to use options data with zipline for backtesting. I noticed there are some premium datasets on quandl for options. Has anyone successfully managed to use any of those datasets with zipline?...
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### How to price equity options using a Black76 implied volatility surface?

I would like to calculate the fair value of american and european options on various equities and indices using QuantLib C++. Since I do have discrete dividends available for most underlyings, I use <...
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Let's assume a commodity future contract priced with MtM. This price moves on a daily basis there is a price : 50, 51, 49, $48... I'm trying to compute the delta of this contract at a certain date. I ... 3answers 360 views ### What actually drives a stock price up ou down? Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ... 0answers 19 views ### Would bonds issued in the EU be comparable to UK after Brexit We have been treating bonds issued in UK as a good benchmark to price bonds issued in the European Union - or vice versa. Does this still make sense post-Brexit? 0answers 32 views ### Interpretation of Market Price of Volatility Risk In option pricing with market model equipped with stochastic volatility, there are numerous times mentioning "market price of volatility risk" without even define or give any explanation regarding the ... 0answers 33 views ### Why can we assume the bid-ask spread equals to one tick? I am reading Price dynamics in a Markovian limit order market by Rama Cont & Adrien de Larrard. They explained the bid-ask spread$s^a_t - s^b_t$is equal to one tick more than 98% of the time. ... 0answers 24 views ### Historical prices and fundamentals for US market with the right to re-publish I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...
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I have a question pertaining Bergomi's modela and rough Bergomi's Model. It seems that it is the second gerneration of stochastic volatility models, (after Heston), because they are 2d stochastic ...
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### Bulk Volume Classification Algorithm

I'm thinking of implementing the Bulk Volume Classification algorithm on my data of hourly OHLC bars and associated volume, but my sense of it is that hourly granularity is insufficient and that ...
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### Optimal strategy - HJB equation [on hold]

I am sitting with the following control problem. Given know the controlled Markov equation\ \begin{equation*} \begin{aligned} dX_t&=-\lambda X_t\cdot dt+ U_t\cdot dt+\sigma\sqrt{1+X_t^2}\cdot ...
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### Vasicek model: joint simulation with discount factor

In Vasicek model, we have the following relation to get Discount factors given the value of short rate: $$P(t\,,T)={{e}^{A(t,T)\,-\,B(t,T){{r}_{t}}\,}}$$ So, Discount factors are known as soon as we ...
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### Numerical solution to Convection diffusion equation [on hold]

I am looking to numerically solve the convection diffusion equation given by $\frac{dp}{dt}=-\frac{d}{dx}\big(u(x)p(x,t)-D(x)\frac{dp}{dx}(x,t)\big)$ where $D$ and $u$ are fixed functions, but NOT ...
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### Creating the spread between inverse assets?

I'm fairly new to quant finance/trading, and I've been reading up on material regarding pairs trading. One thing that I'm confused on is pairs trading inverse assets. Say you have an asset that ...
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### VXX Put pricing

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....
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### Bond is maturing in 10.25 years, YTM calculation

Bond is maturing in 10.25 years and has an annual coupon rate 4.15% paid semiannually and price 92-12+ I need to calculate yield to maturity Ok so I know that 92-12+ is basically 92 + 12/32 + 1/64 =...
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### Calculating the diviend yield for a sector?

I have the cash dividend amount for each company and its sec code, how would i go about calculating the dividend yield of the sector? What other data would I need?
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### Interpreting the bid-ask spread calculated by the Corwin and Schultz (2012) method

On the homepage of Corwin (https://www3.nd.edu/~scorwin/) there is an excel spreadsheet which showcases the calculation for the bid-ask spread, which is expressed as a percentage. What is this a ...
### How to interpret CDF($d_1$)/PDF($d_1$) from BS model ?
In my research on put options, I come across the ratio: $\frac{(1-\mathcal{N}(d_1))}{\mathcal{N'}(d_1)}$ where $d_1=\frac{\log(S/X)+(r+\sigma^2/2)t}{\sigma \sqrt{t}}$ and $\mathcal{N}(.)$ is the ...