# All Questions

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### Using monthly CRSP EWRET to build equally weighted portfolios based on market equity and book to value ( SAS)?

I was wondering if it is possible to download the EWRET variable from Wharton in order to construct equally-weighted portfolios and rebalance every June? I have seen a few fancy codes for this ...
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### Deriving the VIX formula

I am having trouble filling in a few steps in the derivation. From Martin (2017), we get the following assumptions: Constant continuously compounded rate $r$; The underlying doesn't pay dividens; ...
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### How to analyse Intercept of FM Regressions

How to analyze the value of the Intercept in FM Regressions. What does a positive and what does a negative value say and what does a 0 say? For which value do we strive for?
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### Trading Ranges for Tactical Asset Allocation

Do methods exist to determine trading ranges around benchmark weights/strategic asset allocation weights for a tactical asset allocation from the correlation structure between the individual asset ...
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### Performance attribution of indices to their sector weights

Is it possible to attribute performance of indices (monthly returns and risk measures - Sharpe ratio, etc.) to their sector weights (if I know them)? Example: I know the monthly performance of ...
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### How to calculate strike price for an American put given its value at time 0 and the binomial tree of stock prices?

Given the interest rate, prices of the stock at time 0,1,2 where T=2 is the expiry date, and the value of the American put at time 0, how do I calculate its strike price? The question gives it the ...
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### Dual curve construction

I'm new to curve construction for swaps pricing concept and I am having hard time to understand dual curve construction and what difference it from single curve ? how do we construct it ? can someone ...
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### Bootstrap a worst-off put/call

To use the MC technique "Bootstrap"/re-sampling on a single underlying or a basket is straight forward: select any time series from which you want to sample a distibution. take the log return on the ...
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### Ito formula for $Y_t=tB_t$

someone can help me to solve this problem: $B_t$ is a Standard Brownian Motion. Let $Y_t=tB_t$. Using Ito formula, find drift and volatility of $Y_t$. The result I found is $dY_t=B_tdt+t\cdot dB_t$ ...
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### Steepness of a curve?

Sorry if this question is simple, but in the place I work they want to implement a daily check to check the swap's curve steepness. What does this mean and why would this check be necessary?
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### How am I buying at the bid?

I've done some active trading in my personal account at Fidelity. With surprising frequency when I enter market orders I am filled at the bid for buys and at the ask for sells! How and why does this ...
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### How comprehensively do actuarial exams cover quantitative finance?

Some context: The actuarial curriculum offers two papers on quantitative finance (QF): CT8: Financial Engineering (Utility theory, Measures of risk, MVPT, CAPM, Binomial model, stochastic calculus, ...
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### Newly issued convertible bond conversion price typically higher or lower than current stock price?

Reading this news about the valuation of airbnb makes me wonder. https://www.reuters.com/article/us-airbnb-debt/airbnbs-new-1-billion-investment-comes-at-lower-valuation-sources-idUSKBN21P3IM ...
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### What are non-variance (non Markowitz) based theories of capital allocation between non-correlated assets?

A large amount of literature in finance accepts the standard deviation in return as if it were an accurate measure of "risk." What are some other financial theories for how to allocate capital ...
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### Back of the enveloppe forward irs pricing

trying to have a back of the enveloppe way of working out generic forward starting swap rates like 2y2y or 5y3y to put in a spreadsheet without too much loss of accuracy. Whats a good way to look at ...
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### Call option value when stock price remains as strike price till maturity

I was asked the following question in an interview: Given the standard European call option, if we know that the stock price will be the same as strike price from now till maturity, what will ...
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### monotone convex interpolation using QuantLib

I have one yield curves for EUR6M and I want to produce EUR3M using a parallel shift to EUR6M curve. I can just add spread in 6M curve. I am facing problem that my EUR3M curve will have many more ...
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### Optimization on D-Wave quantum annealer (application in finance)

Does anybody know wheter any bank uses D-Wave quantum annealer for doing optimization? Quantum annealers are single purpose quatum computers used for optimization. They implement quantum simulated ...
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### How to set constraints on the VAR matrix of a Markov-switching VAR model in R?

I’m trying to estimate a Markov-switching VAR model in R and I want the autoregressive matrixes to be constant across the states. In other words, only the intercepts and the covariance matrixes are ...
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### Asset pricing: Is Beta priced or not?

What does it mean in asset-pricing if something is priced or not?
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### Quantitative risk management for energy markets

I'm currently preparing an exam about energy markets. The knowledge of notions of quantitative risk management accounts for the 50% of the total exam. During my university education, though, I didn't ...
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### In Java, Which is best data-structure & design pattern to develop Future (Level based) algorithms / order Book?

I am new to Future Investment algorithms. Scenario : I have some ranges (High & Low). On these ranges I am writing some logical conditions and if that conditions will true then I will place a ...
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### How can I calculate forecast returns given volatility and mean forecast?

I have built a model for mean and volatility forecasting of SPY. Now I want to combine these two into a return forecast. For doing this, I have written the following code in R: ...
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### Realized Volatility of Volatility Index

I'm trying to examine the prediction power of the VIX and VVIX in a simple experiment where I compare the two to their realized volatility. For the VIX it is rather easy, because there is the "S&...
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### Why is volatility unobservable even ex post?

I am looking into how to measure volatility, and I am not sure if I have confused myself too much in my research. So now I really need your help. So please either confirm my understanding of ...
### Prove that $d\hat{W}_t = dW_t - \frac{1}{N_t} \cdot dN_t\cdot dW_t$ gives a Brownian motion under forward measure
Let $N_t$ be a numeraire and $(W_t)$ be the standard Brownian motion under the risk-neutral probability measure $P$. Recall that forward measure $\hat{P}$ is defined as the Radon-Nikodym derivative: \$...