# All Questions

12,164 questions
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### Any video lecture on copula function, a statistics concept for measuring independence?

I have read the paper 'Coping with copulas' and it is a bit hard for me to read since it has lots of mathematical notations. So I am looking for any video lecture on this topic, copula function. I ...
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### (R-studio) Incorporating overnight returns in high-frequency data

Turning here since I haven't been able to find any help online. I'm currently dealing with a high-frequency data set in R of some stock indicies and I'm currently trying to clean the data so that I ...
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### How to calculate net change from different dates in SQL? [on hold]

In SQL Server, I create a separate/new table of many indicator values for every trading day. I want to calculate the daily net change between them. In other words, a computed column: "net change ...
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### How can we compute the daily drop in gross basis?

Background The implied repo rate (IRR) is essentially the carry for going long basis (buying the deliverable bond and selling the futures contract). For this reason, it rises in value day-by-day as ...
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### Binomial Tree Option Pricing Model. Lets talk dividends and futures

I am writing an option pricing model for production use. Its not for arb or anything so it doesn't need to be 100% as accurate as possible. Just good enough for "what happens to my book if we jump 10 ...
21 views

### Calculating WACC for Google, What should be Market Risk premium

I am at beginner level in Finance. I want to calculate WACC for the Google I am considering risk free rate from treasury reports 30 years data. Not sure about market risk premium. Please guide.
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### How to calculate one-year forward one-year rate?

I'm just a little lost on how to calculate forward rates. I know this is an easy question, but, if we are given a one-year and two-year zero rate (let's say, for the sake of the argument, 2% and 3% ...
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### Naked options selling

I sold the naked put. The price of underlying went down and broke the support. The situation changed technically from bullish to bearish. The price of underlying is still quite far above the option ...
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### What are industry-standard terms for MBIS “situational bid”?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
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### Standardized numerical values for ratings

Is there a standardized way of transforming the ratings of any of the major ratings agencies (S&P, Moody's, Fitch) to a numerical value. Ideally, it might be possible to create a similar scale for ...
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### Ultra Powerfull Vibrato Montecarlo for delta sensitivities of a not regular payoff

Ciao, I am working on a derivative with the following payoff at time $T$: $$\sqrt{(S_T - K)^+}$$ where $S_T$ is the value of the stock at the expiring date. As usual we will assume $S_t$ to be a ...
21 views

### Stocks listing inside a Google SpreadSheet

I would be interested to have all the stocks inside a Google Spreadsheet. The features would be the Symbol, Name, Country, Sector, Industry. An example would be ABC, AmerisourceBergen Corporation (...
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### Is theoretical knowledge on quantitative models enough to get quant position? [on hold]

I am a Junior at a big french bank working on a trading software as a developer (mostly VBA & SQL programming languages). I hold two degrees in quantitative subjects (statistical engineering &...
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### Why is there inconsistency in WACC vs unlevered return?

To evaluate an enterprise we can discount free cash flow by either the unlevered required rate of return or the WACC. With Tax we have: $WACC=R_e \frac{E}{E+D}+R_f\frac{D}{E+D}(1-t)$ where $R_e$ is ...
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### Does the variance-covariance matrix indicate GARCH errors?

I am trying to simulate VAR models with ARCH/GARCH errors, I am wondering the best way to do this? Can I insert a covariance matrix that will lead to heteroskedasticity? Any readings are suggestions ...
118 views

### Bond dynamics in Ho Lee model

The short rate in the Ho-Lee model is given by : $$dr_t=\left( \frac{df(0,t)}{dt} +\sigma^2t\right)dt + \sigma dW_t$$ I'm trying to find the bond dynamics given by : dP(t,T)/P(t,T)=r_tdt-\sigma(...
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### Intuition behind pricing derivatives irrespective of the drift of their underlying stock [duplicate]

I have been trying to understand this concept for a while now and I have read the solutions to questions on the same topic, but I feel all the answers miss the ‘intuition’ behind the idea and I was ...
123 views

### Maximum Sharpe portfolio (no short selling restrictions)

Suppose we have $n$ assets whose expected return vector is $r$ and is positive, and whose covariance matrix is $\Sigma$. Is there a closed form or quasi closed form (like the eigenvector of a matrix ...
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### kolmogorov backward equation intuition

The kolmogorov backward equation equation states that the probability density of a random variable $x$ which follows $dx= \mu dt + \sigma dw$ is given by $-p_t = \mu p_x + 0.5\sigma^2 p_{xx}$ ...
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### Detecting leading stocks using lag correlation

I am working on a project to find leading stocks in a stock market by using lag correlation. Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices. Assume that the ...
39 views

### Filter the NASDAQ stocks for investment

I manage an investment portfolio since 3 years now. It might be interesting to filter all the NASDAQ stocks to tell us which ones have the greatest profit potential. Is there an arxiv or whatever ...