# All Questions

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### What is the reference for excluding a covariate if there is many missing observation?

Normally, I exclude a covariate out of the regression equation if there are many missing observations, let's say it is one-fifth less observation compared to other variables' observations in general (...
41 views

### Binance future executed volume is too low compare to % increase in price

It might not be directly related to quant, but if anyone could help, I would be very appreciated. I closed a ETHUSDT long position with leverage 1x. It gives below result. Executed:2013.65 USDT ...
29 views

### Replicating Bloomberg's zero rates bootstrapping

I'm interested in manually replicating the bootstrapping procedure that Bloomberg uses to built ICVS179 (RUB vs MosPrime 3M) curve up to a two years tenor as of October 12th 2021. These are the market ...
15 views

### Including Exogeneous variables in short rate models

I am trying to use short rate models (e.g. Vasicek, CIR or Hull-White) to forecast next one or two months yield curve. In this context, is there a way that I can include some exogenous economic or ...
28 views

Is there any research on how to measure the stability of factor loadings, for example from Fama French/Carhart type factor models? The goal is to test different ways to construct a risk factor, such ...
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### How to explain the " no anticipation effect" testing result in Diff-in-Diff?

Regarding Difference-in-Difference, the main assumption is the parallel trend satisfication. Regarding the parallel trend test, just simply prove the joint null test of leads coefficients equalling to ...
30 views

### Duration and convexity of an open term loan/bond!

Imagine an open term loan with monthly interest payments of [x]% and the principle due when the loan is closed. Both the lender can call the loan, and the borrower can return the loan (with no penalty)...
39 views

### Structural Models vs. Intensity Models

Which type of models is commonly used for XVA calculation - Structural or Intesity? What are the main differences between them? In case of Intensity models, what type of this model is used (constant, ...
89 views

### Quantlib USDLibor() method

I'm attempting to shift both a discount and projection curve but am having trouble passing through the VanillaSwap() because of the Ibor input requirement -- I'm trying to calculate the dv01 of a US ...
61 views

### Choice of grid for numerical integration

I have to compute an integral involving the characteristic function for pricing options in a model and it so happens that accurate approximation seems to be mostly about putting lots of points in ...
50 views

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### Option pricing using characteristic function

I'm currently on a mission trying to calculate option prices using the rough Heston model. I've found that this is usually done using the characteristic function of the model, but I must admit that I ...
67 views

### Why would one need forward prices to perform derivatives pricing?

I am trying to understand the purpose of inputs the software of my company is using. Amongst others it needs calibration instruments, a model type, initial values of the respective underylings and a ...