All Questions

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 (...

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 ...

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 ...

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 ...

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 ...

We have a barrier call option of European type with strike price $K>0$ and a barrier value $0 < b< S_0$, where $S_0$ is the starting price.According to the contract, the times $0<t_1<....

I'm trying to match QL clean price with BBG clean price for POLGB 2.75 10/25/29 1029 priced for 15th of October 2021 for 2.5% yield. I'm not sure if my setup of bond is wrong or if there is a problem ...

Hey I have some questions about Exposure calculation. I know that this process is based on Monte Carlo methods. Which models are currently the most popular for simulating interest rates, equities, FX ...

The net profit before taxes as per the profit and loss account, of Gaman Ltd is Rs 269244. With the given set of information, classify the given items as (operating / investing / financing), share the ...

I'm given a European Put option, current and exercise prices, $p$ and $P$ and stock volatility $q$. What is the way of finding the size of the up move from the problem?

\usepackage{actuarialangle} Suppose we have a 4-year deferred perpetuity with a payment of $M$ at the end of each year/period and an annual effective interest of $i$. Express the following annuities ...

Problem Given $Y_t$ price of a stock (no-dividents), and a derivative paying $Y_T^2$ at maturity $T$, evaluate the price of the instrument now using risk-neutral approach and check that it satisfies ...

I have recently implemented MPT in Python, however, when I allow negative weights (short selling), they do not add up to one. Isn't it suppose not to happen? On the other hand, when I don't allow, ...

I am looking for help on justifying how the integral $$\int_{0}^{t} (t-s) \, dW_{s}$$ is normally distributed. I realize that the general fact that Ito Integrals with deterministic integrands are ...

So right now i am doing a course and this is one of the problems on there. "You have received an inheritance in the form of a 6-year annuity paying $5000 per year. Now is Year 0 and you will ...

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 ...

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)...

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, ...

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 ...

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 ...

Hey I have problem with understanding the relation between short rate $r$ and LIBOR rates (which we need to calculate payoff from FRA, Caps, Swaption etc.). We know that Zero-Coupon Bond price is $$P(...

Here is the formula of CVA in page 74 in book Modern Derivatives Pricing and Credit Exposure Analysis. Here $t_0 = t<t_1<\cdots<t_n = T;$ $\tau$ is the ...

I am using the rDEA package's linear optimization function multi_glpk_solve_LP(which is built on top of the ...

I'm kinda stuck with the following problem. I am given the terms in Month, a net-value, a residual value, and a monthly rate. Now my job is to calculate the interest. Usually I am giving the interest ...

I was asked the below question, but wonder if enough information was given: For an AAPL European call option expiring in 1 year, strike price is $159.60 AAPL is now \$144.00. In one year, it can go ...

I have an investment universe with several thousand assets that have different expected returns. All assets have the same expected volatility but different correlations to one another. Expected ...

I want to calculate the probability of a certain financial instrument moving above or below a certain threshold within a certain time frame. Let's say up 0.5 % within the next 4 hours. If we assume ...

i run gjrgarch model on russia stock market where the gamma coefficient in gjrgarch(1,1) model output is insignificant but positive. "gamma1 -0.026240 0.033785 -0.77669 0.437340" how ...

Assume stock is 50 dollars. From what I understand, an annualized vol of 20% means there is a ~68% chance the stock will be between 40 and 60 a year from now; a ~95% chance it will be between 30 and ...

This seems like a simple concept but I'm a bit lost. How can I calculate the dollar value sensitivity for a yield curve slope or butterfly position? I understand how DV01 can be calculated, but it ...

Would very much appreciate any help in finding the right way and tools to conduct a regression analysis of financial performance based on various independent variables. The goal is to estimate the ...

I'm not literally a Quant but rather an analyst working in Process Control and I have a problem that I think could be solved with the Financial tools. Basically I have a matric called DPM (Defect Per ...

I am fairly certain I am correct but I just want to double-check on portfolio turnover calculation. I need to annualize the daily turnover rate. To calculate, the daily turnover, I am using the ...

Are there any non-financial applications of the Black Scholes model? Thanks.

If the underlying asset pays no dividend, then CE(t,K)- PE(t,K) = S(t) - Ke-r(T-t) Proof for the above formula: First, we have Portfolio 1. At time t, long 1 call option and short 1 put option, so ...

I have the data below and need to summarize the data for a class case Calculate: Weighted Average Interest Rate and Concentration by State Since the interest is paid annually I know I need to prorate ...

Given a certain option price (premium) and implied volatility, how does one calculate the DV01 of a swaption? Is there any way to compute it analytically with Python?

Given the following par risk-free rates with annual coupons and compounding: a. what are the discount factors? b. What are the zero rates with annual compounding? c. what are the annual forward rates? ...

My question is related to the paper "a Martingale approach to premium calculation principle in an arbitrage-free market" by Delbaen and HAEZENDONCK (1989). In short, they characterized all ...

The core of my question comes down to wondering what happens in the following scenario: Consider a situation where it turns out that USDT (Tether) is actually not backed by any assets, which would ...

I am reaching out for some help to get an equivalent basis in another currency. I would like to buy a FRN with a current spread SONIA 1M + 35 bps. And I would like to have the equivalent spread in ...

I am a master student in finance and I am working on my portfolio management thesis. Within my thesis I will have to backtest a portfolio strategy for a balanced portfolio. I am looking for a guide/ ...

I am studiying the impact of two variables A and B on stocks returns. When I sort the stocks individually, I find that the long-short portfolios returns obtained for A and B exhibit high correlation. ...

Consider simple interest and suppose we have a certain principal and interest at t=7 months, we want to find the value of that amount of money when t=3 months. I would like to do it in two different ...

Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%...

Suppose we have an HJB equation of the form $$ \frac{\partial v}{\partial t}+\frac{1}{2}\sigma^{2}\frac{\partial^{2}v}{\partial s^{2}}+max_{\delta^{a}}\left\{ \lambda^{a}(\delta^{a})\left[v(t,s,x+s+\...

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 ...

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 ...

Suppose that now is August 2006 and we have the following zero-coupon bonds: Maturity: August 2007, Price: 95,53 ...

Suppose that the continuous compounding rate is r = 0.05 and the maturity time T=1. How can I construct a portfolio using some of the European call options below and the bank account to find an ...