# All Questions

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23 views

### Question on Realized Vol vs Implied Vol

I have heard the following argument- barring transaction fees, if my estimation of realized vol is 30% and 1-month ATM implied vol is 20%, then I could potentially buy a 1-month ATM call/put and wait ...
29 views

### Help with R normalization function [closed]

after reading the paper "Custom v. standardized risk models" (Kakushadze, Zura; Liew, Jim Kyung-Soo (2015)) I tried to understand the R functions they provided at the end (eg: Appendix A) and the very ...
49 views

### To use daily volatility or annual volatility

From Joshi's Quant Interviews books: The statistics department from our tell you that the stock price has followed a mean reversion process for the last 10 years, with annual volatility 10% and ...
25 views

### Pricing Autocallable Structured Products using Finite Difference Method [closed]

I am trying to price autocallable structured products, with single underlying asset and discrete call dates. I am stuck by the boundary condition when the underlying asset price $S$ hits the call ...
27 views

### Robust Sharpe ratio

The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...
45 views

### Realistic Modeling of Capacity in Backtesting a trading strategy

Typically the backtest of a quantitative trading strategy assumes a fixed period and fixed capital at the start to backtest a strategy. However, each strategy has a capacity (due to non-linear trading ...
30 views

### How to derive the CAPM from maximizing the Sharpe ratio?

I know how to derive at the CAPM from a microeconomic foundation. In a recent University course I stumbled over a slide that derived the CAPM solely from the Sharpe ratio: I cant come up with that ...
17 views

### Finding stock symbols for alpha vantage api

So i just made my first program in Python wich reads stock symbols in excel. I tried going to "data" in excel and importing a text file with symbols and company names and some other stuff as well but ...
25 views

### Benchmark for fund in Fama French 3 factor setting

I found this question during my preparation for an exam. It looks easy, but I am not quite sure how to answer it. Consider a fund A with following factor exposures $\beta_{M}=0.8$, $\beta_{SMB}=0.4$,...
53 views

### Proof European call price is always less than stock price. (proof verification)

Let $C_K(t,T)$ be the value of a European call with strike $K$ and maturity $T$ on a stock with value $S_t$ at time $t$. Then for all $t\leq T$ we have $$C_K(t,T)\leq S_t.$$ $\textbf{Proof}$: We ...
33 views

### Fama French Question(China) [closed]

I am from china, I can't use USA factors for SMB,HML,WHL....directly from website, my question is how can I calculate these kind of factors? for example, SMB. is it very difficult? any example code ...
57 views

### How and why is there a restriction on short sales?

I'm taking a course on the fundamentals of financial mathematics. This is my first quantitative finance course, so I'm still getting acquainted with a lot of the ideas. We covered the notion of a ...
30 views

### Macro momentum analysis

I am conducting macro momentum analysis. In this, first I rank countries based on each macroeconomic indicator such as GDP, inflation, monetary policy etc. After this according to each indicator rank, ...
19 views

### How to approximate expectation and variance of an integral from a discrete Time series financial dataset?

I have discrete time series financial data, with time($u$), price($S$) and someVariable($q$) which looks something like this. ...
84 views

### Implied volatility is returning infinity

I am trying to calculate implied volatility using javascript , I have following code ...
32 views

### What is Variance of delta of brownian motion [closed]

I am new to this. If variance of Brownian motion b is t, what is the variance of db? db is delta of b
48 views

15 views

### Finding the selling price of FTR (energy trading) [closed]

I have been reading the forum here for a while but this is my first question. I am trying to figure out (for an assignment) the price some FTRs (Financial Transmission Rights) were sold. Here is an ...
55 views

### Looking to build a Quants Investing Team [closed]

I am looking to build a great quants team to start build a true Quants trading system for a new Fund. I want to build a great team and I know its not going to be easy to build fully automated trading ...
117 views

### How do market makers make money

I was looking into market making and the common idea is market makers make money by capturing the spread. I am a little confused about how this works, since on an exchange if the stock is listed that ...
41 views

### How Were These Depreciation Percentages Calculated? [closed]

This is for my second year finance class in university. The chapter is on "Using Discounted Cash Flow Analysis to Make Investment Decisions." Here is the example problem: This is the solution written ...
The Cameron-Martin-Girsanov theorem, in a simplistic way, states that: The probability measure $\mathbb{P}$ is induced by a Wiener process $W(t)$. There exists another process $X(t)$ under the same ...