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Heavy Math background, very light finance background: Suppose I have a stock $S$ whose price is measured by the market once on times $t_0$ $t_1$ $t_2$. Now the market has some opinion for how the ...

I want to calculate the implied repo to a delivery date for a series of bonds that have not been issued yet. Do I make assumptions about the bond yields on some trade settlement date and the futures ...

I am coding various normal random variable generators, one of them being the acceptance rejection method: ...

Please suggest features or products for the following web-based interest rate derivatives pricing portal: https://www.opencminc.com Thanks Mike

I have read chapter 9 from Intermediate Financial Theory, Jean-Pierre Danthine & John B. Donaldson (2005) to understand consumption based CAPM and some stuff I don't understand that well in the ...

Could someone please give me an indication as to how I could show the following: Show that the effective rate of interest, when accumulating using a constant simple interest rate, decreases over time. ...

I'm reading the book "Derivatives Analytic with Python" by Dr. Yves Hilpisch, chapter 6 Fourier-Based Option Pricing. From page 98 to page 101, the Lewis(2011) Approach was presented. I could follow ...

If a CSA allows for posting cash in different currencies as collateral, then the party posting collateral has, now and at each future point in time, a choice of which currency to post. This choice ...

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...

I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...

Hi Quantitative Finance stack exchange, I'm analyzing a price process. I've made two forecasts, namely $Ret_{\text{10min}}$ = the return after 10 mins and $Ret_{\text{20min}}$ = the return after 20 ...

An alternative definition of the information Ratio (sharpe ratio) is: $IR = IC\sqrt{BR}$ I have been reading Grinold and Kahn. I have the following questions for calculating BR: Q1. If 500 stocks ...

Suppose I have a lm model that captures per-stock level alpha. Therefore, I fit this model using all historical data stock by stock. My question is that how to combine all individual models’ ...

If you are compounding lognormal returns to model stock price movements, you get a somewhat odd result that makes sense mathematically, but is hard to explain. Suppose you start with \$100, which we ...

I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing. I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...

I have 1 minute stock data of two cointegrated stocks in OHLC format. How to write backtest strategy with Python which would do following: 1. Calculate Ratio = stock1/stock2. 2. Calculate Standard ...

I'm doing a USD to INR fixed-to-fixed cross currency swap. The default curve has a fixed and a floating rate. However, the curve that I'm looking to use has floating rates on both legs. Would this ...

Using MSGARCH models,I have been able to estimate the parameters using maximum likelihood method but i dont know how to go about forecasting the series using measure errors.

I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...

It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...

The well-known paper Betting Against Beta by Frazzini and Pedersen predicts the following: I don't really get the intuition here. Why is there a contemporaneous loss for the BAB factor, and yet, at ...

I read topics on that subject on this forum but nothing is approaching my problem. Say I'm dealing with a 1Y max put callable with an European Down And In barrier. Say $S_0=100$, barrier $H=80$ and $...

I have built a model that explains how much risk of the stock market (S&P 500 index) is attributable to each sector, where each sector is independent from each other (correlation coefficients ...

I am looking for references for models which price preferred shares. What are the classic pricing papers?

I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range <...

What length of time series is best to calculate the historical volatility of interest rates and why?

I came across the following about the impact of using stochastic rates in case of a barrier option: I don't really understand how having a less equity local volatility can reduce the probability ...

I am looking to find a FX basket with multiple pairs such that the return stays in a range. (Mean reverting). IE: EURUSD BUY 1 LOT, GBPUSD SELL 0.8 LOT USDCHF BUY 1.23 LOTS. The basket can have as ...

I was thinking to connect a market making software to the Interactive Brokers API (see IB API), but it seems it is not the best solution as per the information provided by this question: Is the ...

When I run optimize.portfolio.rebalancing I get the error: Error in names(out_list) <- index(R[ep.i]) : 'names' attribute [16] must be the same length as the ...

When looking for cointegrated pairs, you assume that times series are integrated of order one and try to find a linear relationship using a regression that makes them integrated of order 0 (I(0)). Now ...

We usually hear about finding cointegrated pairs of stocks in pair trading, but it seems it is not as developed in fixed income despite the fact that the spectrum of securities is large (different ...

Let the process $Z_t \buildrel\textstyle\over={W_t}+ {\lambda}t $, $t\geq 0$ a brownian Motion with Drift and $A_{T}^{+k, Z}$ his occupation time above the barrier $k$ defined by $$A_{T}^{+k, Z}=\...

When a player in a stock market simulator makes a trade,does the stock price react to the order within the simulator ? If it does, how is the price calculated ?

I read through a few related threads on quant stackExchange. Similarly, I am looking for the probability of a security touching $X$ (strike points away) before an expiry time, $T$. From thread here: ...

Does any body know R/python/matlab libraries to carry out reject inference in credit scoring? I know SAS has some reject inference methods, but I am looking for some 'licence free' libraries (I have ...

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I am trying to fit GARCH class of volatility models to the log return series of Bitcoin. ACF and PACF plots of the square of this return series are shown below. I need to know whether inferences can ...

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...

I have a very, very simple question. Imagine you borrow 100 dollars, then invest those 100 dollars into a stock, like Microsoft. Yahoo Fiance tells me that Microsoft has a beta of 1.25. Now, my ...

Why is inflation breakeven defined as real - nominal and not real/nominal? Real/nominal is the actual projected inflation rate, while real-nominal is just the "Fisher approximation" for inflation. ...

Commonly, stochastic control is the basis for optimal trading (either in execution or market making). Has any research been done (or why not, if none) as to proportional-integral-derivative ...

Under "similar" market expectations, is the shape of the volatility smile the same for a volatility (^VIX, https://finance.yahoo.com/quote/%5EVIX/) of 13, 25, 36, > 50 etc? Or does it flatten more ...

Are there any good books for beginners on calibrating interest rate models and creating binomial trees based on these interest rate models and using them in pricing

http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf In this article the authors explain a theory/strategy called Betting Against Beta. My background is more in Math rather than finance ...

The Wikipedia article on volatility skew states: Note that to maintain put-call parity, a 20 delta put must have the same implied volatility as an 80 delta call However, in some cases two ...

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...

I have come across a portfolio selection strategy that buys in equal amounts the top decile of expected earners, and simultaneously short sells the lowest decile in a similar fashion. What is this ...

Given a vector of attributes(eg.E/P ratios, betas) for N assets $a^T = {a_1,a_2,...,a_N}$ The exposure of portfolio $h_P$ to attribute a is $a = \sum_{n}a_n h_{P,n}$ Proposition: There is a unique ...

I am reading the original AFV model paper for pricing convertible bonds. https://cs.uwaterloo.ca/~paforsyt/convert.pdf The paper is very technical and I am having trouble finding the actual PDE's to ...