# All Questions

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### CENTRAL BANK SWAPS REGULATION

I could not find much information on central bank swaps. Do wall street Banks execute any swaps with foreign central banks or fed? Are central bank swaps cleared or uncleared? is there any regulation ...
1 vote
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### B&S pricing of option with convex transformation

Assuming B&S world, is it possible to price an (European) option on a general transformation $f(\cdot)$ of $X$? What kind of assumptions should we make on $f$? Is convexity sufficient to find some ...
• 157
9 views

### Is it possible to construct an efficient frontier without the mean?

If we assume the estimator for a sample mean is biased and if the optimal portfolio weights vary with the estimated mean, is there a way (similar to the zero beta portfolio approach wrt the risk free ...
• 468
1 vote
8 views

### How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?

As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
29 views

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### Estimating difference in implied volatility from difference in PV

Le us assume that depo and repo rates are zero. And let us assume I can read the ATM implied volatility of 1y option from the volatility surface. I now have some algorithm to reprice this option (let'...
• 510
1 vote
18 views

### Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". I have an exercise were we are asked the following: &...
36 views

### Automatically Import Stock Data - Yahoo Finance & Microsoft Excel

How to import Growth Estimates: Next 5 years(per annum) from yahoo finance to microsoft excel?
• 1
52 views

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### what exactly is a time bucket? [closed]

I am refferring to kaggle optiver realized volatility prediction competition. In their intro : https://www.kaggle.com/code/jiashenliu/introduction-to-financial-concepts-and-data/notebook there is a ...
• 33
1 vote
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### Betas and weighted average ERP

Whenever analyzing a particular company through CAPM, I used to take the Equity Risk Premium (ERP) of the country where the company was listed/headquartered. However, recently I came to know that some ...
19 views

56 views

### Marginal Risk Contribution Implementation Questions

Sorry if this is too obvious to you. The marginal risk contribution mentioned here is the same as in this post Marginal Risk Contribution Formula . I understand the concepts and derivation on the ...
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1 vote
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• 221
1 vote
49 views

### Questions on the calculation of time series momentum

I read Moskowitz, Ooi, Pedersen's Time series momentum (2012). The ex-ante volatility estimate (equation (1) in the paper) is I am not sure about the period of the return reflected in the volatilty ...
1 vote
25 views

### Fitting model between security price and intraday volatility

I'm trying to construct a model which shows how much the closing price of a security ($P_t$) differs from the VWAP of that security on that day ($VWAP_t$). I'm calling this measure the "VWAP ...
1 vote
19 views

### Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

My research is to explain stock returns in a regression model. My dependent variable is raw returns and abnormal returns calculated from 3-factor model (Fama and French). Besides regressing against my ...
• 66
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### Can subcomponents of a variable be used as instrumental variable?

I conduct research to assess the relevance of ESG scores on COVID-19 crisis stock returns. To calculate abnormal returns I use time series, but the investigation is actually cross section returns at ...
• 66
27 views

### Options Market making, what to do with ITM options

I am a option market maker. Say at some point in the time, I end up having only but ITM options in my portfolio and I want to reduce my risk exposure ( delta, Vega, gamma), what can I do to make ...
• 118
48 views

### Alpha calculation inconsistent across methodologies

I'm fairly new to finance, and this does not make sense to me. Consider benchmark & active monthly returns as shown here: If I do a line of best fit, I get an intercept of 8.4% Which is meant as ...
• 165
43 views

### Weekly S&P500 options price data

I cannot find free data on S&P500 options price, call and put, at different strikes of weekly options, on a daily basis, with maximum and minimum prices. I would like to have this data to study it....
1 vote