All Questions

0
votes
0answers
14 views

Cointegration between daily time series and intraday time series

I am working with time series data of daily prices, and intraday prices. For simplicity sake I will refer to the daily time series as 'A' and 'B', and the intraday time series of the same instruments ...
-1
votes
2answers
32 views

Calculate the weights W1 and W2 for witch the portfolio risk is 0

I'm having difficulties solving this problem: Consider the stock 1 and 2, whose standard deviation are respectively 8% and 10%, while their correlation is -1. Calculate the weights W1 and W2 for ...
1
vote
4answers
44 views

How likely it is that a strategy profits are explained by luck?

I want to evaluate a trading strategy. My goal is not to compare it with other strategies, but rather to determine how likely it is that the profits are generated from the strategy itself rather than ...
0
votes
0answers
19 views

How to download historical prices of all companies listed in a particular stock exchange including delisted?

I’m straggling to download historical data for my masters thesis. I need to download historical daily prices (only one per day e.g. adjusted close) of all companies listed in a stock exchange, ...
2
votes
0answers
35 views

stochastic intensity Poisson process

Here we have the dynamic of FX: $$\dfrac{dF(t)}{F(t)} = \mu_td t + \sigma_td W_t + bdN_t$$ Here $W_t$ is the Brownian motion and $N_t$ is the Poisson process with stochastic jump intensity $\lambda_t$ ...
-1
votes
0answers
29 views

Free 1 Minute FX Data from www.dukascopy.com

Can somebody help me to figure out how to specify the url to download 1 (Bid and Ask) Minute FX data directly? For Tick data, it somewhat looks like this: http://www.dukascopy.com/datafeed/AUDCAD/...
0
votes
0answers
24 views

Logic between Tips and Inflation Surprise

I've heard a relation which says that if the actual inflation is lower than the inflation expectations, then the price of Tips and gold goes up, and vice versa. Could anyone explain the logic behind ...
0
votes
1answer
14 views

How are FDE's implemented when one wants one particular price?

Say I want to price a particular call option in the Black Scholes model using finite difference methods. The value process of this option $V(s, t)$ satisfies a PDE. I can use finite difference ...
2
votes
3answers
59 views

Calculating Sharpe Ratio with dynamic position sizing

I'm currently backtesting a mean reversion pairs trading strategy. However, instead of simple long or short trading signals, I'm using multiple "levels", where the further away the spread is from the ...
0
votes
2answers
74 views

Why we can't lower a volatility of a portfolio (without changing expected return) by substituting a zero beta stock with a risk free asset?

part of the answer is that a zero-beta stock must be negatively correlated with other stocks in the portfolio. So having a zero beta stock can decrease the volatility. Does that mean that the ...
0
votes
0answers
37 views

The fundamental topics of continuous time finance?

I just finished Bjork's Continuous Time finance, but it doesn't cover certain things like risk management and stochastic volatility models, and it's treatment of interest rate models is minor. I ...
0
votes
0answers
17 views

Computing MLE for a copula not in the R package “copula”

I am working with a copula that is not including in the "copula" package of R. How does one go about defining this new copula in R, so that we can then find the MLE?
0
votes
1answer
49 views

Hull White help needed

I've been trying to calibrate Hull-White 1 Factor & 2 Factor model using Caps but I've some major doubts about my methodology, and would really appreciate some help. I am using these formulas ...
0
votes
1answer
38 views

Inflation Lag Bond Valuation

Question: On 1st March 2006 a government issued a large tranche of an index-linked bond having a term of 6 years. Coupons of 4% p.a. were payable half-yearly in arrears and the bond was redeemed at ...
0
votes
0answers
45 views

What is the value/price of a bond paying floating rate

I am going through J.C.Hull for swaps. Where he says we can value a swap using bonds. Let $B_{fl}$: value of floating rate bond, $L$ notional principal. Why is $B_{fl} = L$ just after a payment ? What ...
0
votes
1answer
41 views

Of what use is this implied volatility formula?

From a paper I am reading, it is written These equations do not make any sense. If $s = k$, i.e. if we are pricing ATM options, then this volatility is identically zero, hence useless. How am I to ...
-1
votes
0answers
25 views

Netty TCP Ping Pong performance numbers using EPoll

I'm considering Netty for my tier 1 US bank algo trading project. However I cannot find any performance numbers for a simple ping-pong TCP test: Client sends a 64-byte message to Server Server ...
0
votes
1answer
58 views

Hedging with machine learning

I’ve been thinking about an interesting problem lately: Suppose I have a position in an exotic derivative. How can I automate the hedging process? Traditionally, one build a pricing model and ...
1
vote
1answer
88 views

Relation between OIS rate and discounting rate

This is from book Modern Derivatives Pricing and Credit Exposure Analysis page 22 In an OIS, two parties exchange a fixed coupon (paid annually for longer-dated ...
1
vote
0answers
22 views

Determining the Relationship Between Monte Carlo Breaks and Model Volatility

I'm looking for a statistical test to understand the relationship (if any) between the model volatilities of a stochastic process, and the occurrence of 'break', defined as the instance when an ...
-2
votes
0answers
47 views

How much wealth and or income do you need to belong to the global top 1% by wealth? [on hold]

By my calculations, the billionaires of the world are at 0.000025% of the world population. Thus, to be in the world's and even the United States top 1%, you need much less money and income. Is that ...
1
vote
1answer
107 views

continuously compound forward rate formula

I want to derive the continuously compound forward rate formula according to FRA. fixed rate is $K$ and notional is $N$, $\delta=T_1-T_0$. $t<T_0<T_1$, the FRA holder at time $T_1$ need to pay ...
0
votes
1answer
57 views

Pricing Uneven FX Swaps

I'm trying to figure out how to price uneven FX swaps. I just started on a FX trading desk and have been told that the all-in rate for a 2-legged FX swap is equal to: 1) Quote for market side of net ...
3
votes
1answer
87 views

Interpretation of IV and its use in stock movement prediction

I would like to validate my understanding of IV as a prediction tool. Black-Scholes model is based on the assumption that rate of return of a stock is a Wiener process: $$ \frac{dS_t}{S_t} =\mu \,...
1
vote
0answers
33 views

Convertible bonds pricer - implementation

Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article: E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of ...
0
votes
0answers
37 views

Why Can I not estimate a CVAR from Heston Model

I fit the parameters of Heston model, using option data for SPX. Now I have the process S and P 500 is expected to follow. I make 100,000 simulations of this process and then calculate the expected ...
-2
votes
0answers
52 views

What does 'FO analytics' stand for? [on hold]

What does 'FO analytics' stand for? What does 'FO analytics' stand for? What does 'FO analytics' stand for? What does 'FO analytics' stand for?
-7
votes
0answers
112 views

A Algo Trader gives next day Stock Index Exact High and Low Prices, How he/she is doing this?

i am a member of a forum. In which a Algo Trader gives next day Stock Index High and low prices. His/Her given prices reached in trading hours. At expire he/she gives exact closing price of stock ...
0
votes
0answers
20 views

Bootstrap Survival Curve using ISDA Conventions Python QuantLib

Is there currently any way to bootstrap the survival probability curve given a term structure of credit spreads using the ISDA CDS Standard Model conventions? I see that this has been done with the ...
1
vote
1answer
60 views

selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
0
votes
0answers
23 views

QuantLib-Swig Python ISDA CDS Model

I saw that a new swig has been added to the QuantLib with a link to the ISDA CDS engine. Has someone tested it and can confirm that it agrees with Bloomberg. https://github.com/lballabio/QuantLib-...
3
votes
1answer
83 views

Why my implementation of CRR model does not converge?

Recall that CRR (Cox-Ross-Rubinstein) model for option pricing is the usual binomial tree model with $u$ (up-factor) and $p$ (one of the risk-neutral probabilities) defined as follows: $$u = e^{\sigma\...
3
votes
1answer
146 views

Why is Ito applied this way?

Given the price of a call option : $$C = \mathbb{E}\left[ D_{0,T} (s-K)1_{s>K} |\mathcal{F_0}\right] $$ with $D_{0,T}=e^{-\int_0^Tr(u)du}$ I read somewhere that applying Itô gives : $$dC = \...
0
votes
1answer
53 views

Valuation of repurchase agreement (classic repo)

From my understanding, a classic repo is an agreement for one party to get cash by placing collateral at a certain price and then get the collateral back at maturity by paying the initial cash plus ...
0
votes
0answers
45 views

Computation of Future Implied Volatility Surface

I do have a question on the future implied volatility surface. The current implied volatility surface is easy to obtain, e.g using some interpolation technique on current options prices. For ...
1
vote
0answers
20 views

Average monthly exchange rates causes translation error in consolidated books

I newly work for a multinational company with a corporate structure such that during consolidation, the books need to be translated multiple times and sometimes back to the original currency. I've ...
1
vote
0answers
17 views

From one period to multi period risk neutral pricing

For a one period economy, we have the price of an asset as: $ p_0 = E^Q [p_1 * \frac {B0}{B1}] $ where $B0 = e^{-r_0}$ = time 0 price of risk free bond maturing at time =1 and $r_0$ is known at t0. ...
-1
votes
1answer
50 views

IRR for irregular cashflow in and out

So I work for a real estate development umbrella company and the developers that work within it borrow money as needed from the company and receive a percentage of the inflows after repayment of debt. ...
0
votes
0answers
39 views

Callable not called

Basic question In some cases, I noticed that a issuer callable product with optimal trigger around 100% is not called even if the product is worth 115%. In which cases a trader might decide not to ...
0
votes
1answer
64 views

Difference between settlement of Eurodollars and FRA

I am going through J.C. Hull's chapter on FRA and EuroDollar Futures. Taking the case of FRA. I assume $T_0$ is the time when two parties entered into a FRA to fix interest rates they get on a ...
0
votes
0answers
36 views

Convert Short rate from HW simulation into Swap rates

I am trying to price an exotic option that requires me to simulate 10 yr swap rates. I have calibrated a 1 factor HW model to swaption prices. However, my understanding is that the HW model describes ...
0
votes
0answers
26 views

Calibrating from swaption straddle price quotes in QuantLib

I'm calibrating a short-rate model in QuantLib, and need to work with ATM swaption straddle price quotes. From reading Luigi Ballabio's highly instructive and entertaining Implementing QuantLib I ...
1
vote
0answers
64 views

How accurate are Black-Scholes estimates of Vega, Volga, Vanna

Wikipedia provides analytical formulas for calculating Greeks. I can get Delta, Gamma, Theta all from Bloomberg. I need Vega, Volga, Vanna for my research. Should I use these analytical formulas for ...
0
votes
0answers
22 views

How to understand ZeroSpreadedTermStructure influenced by compounding & compounding frequency?

Long story short: I used two ways to price a floating rate bond, which I expected to get the same result, but not actually. ...
0
votes
1answer
68 views

What if CAPM cost of equity is negative?

Dear Community members, I calculate 5 years trailing beta using capm. After that I calculate estimated cost of equity. However, what I have is that most of the observations have negative cost of ...
1
vote
0answers
52 views

Volatility clustering and Behavioral Finance, possible explanation

Currently studying about time series modelling of financial data and faced the known GARCH$(p,q)$ model for modelling volatility. We observe that big changes are followed by large changes and vice ...
0
votes
1answer
41 views

Futures options data [duplicate]

I've been looking into futures options data for my thesis. What are some sources to get futures options data for an affordable price?
3
votes
0answers
33 views

Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
0
votes
0answers
34 views

What is a short, succint note to all financial products commonly used with details on pricing?

There are so many financial products, it's almost unbelievable. Not just in practice, but also what we can theoretically cook up and talk about. I am a student and do not currently work with these ...
-2
votes
0answers
23 views

MALAB Code - Jump diffusion parameters

I'm trying to estimate the parameters for a jump diffusion dynamic starting from the spot prices using MATLAB. Looking on internet I found only functions for estimating parameters for a MEAN Reverting ...

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