# All Questions

11,784 questions
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 ...
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 ...
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 ...
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, ...
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 $\lambda_t$ ...
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### 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/...
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 ...
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### 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 ...
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 ...
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 ...
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 ...
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### 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?
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### 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 ...
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 ...
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### 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 ...
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### 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 ...
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 ...
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 ...
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 ...
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### 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 ...
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### 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 ...
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 ...
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 ...
87 views

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 = \...
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 ...
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 ...
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### 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 ...
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. ...
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. ...
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 ...
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 ...
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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
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?
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### 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 ...