All Questions

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 ...

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 ...

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 ...

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, ...

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 $\lambda_t$ ...

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/...

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 ...

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 ...

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 ...

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 ...

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 ...

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?

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

I would like to validate my understanding of IV as a prediction tool. Black-Scholes model is based on the assumption that rate of return of a stock is a Wiener process: $$ \frac{dS_t}{S_t} =\mu \,...

Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article: E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of ...

I fit the parameters of Heston model, using option data for SPX. Now I have the process S and P 500 is expected to follow. I make 100,000 simulations of this process and then calculate the expected ...

What does 'FO analytics' stand for? What does 'FO analytics' stand for? What does 'FO analytics' stand for? What does 'FO analytics' stand for?

i am a member of a forum. In which a Algo Trader gives next day Stock Index High and low prices. His/Her given prices reached in trading hours. At expire he/she gives exact closing price of stock ...

Is there currently any way to bootstrap the survival probability curve given a term structure of credit spreads using the ISDA CDS Standard Model conventions? I see that this has been done with the ...

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...

I saw that a new swig has been added to the QuantLib with a link to the ISDA CDS engine. Has someone tested it and can confirm that it agrees with Bloomberg. https://github.com/lballabio/QuantLib-...

Recall that CRR (Cox-Ross-Rubinstein) model for option pricing is the usual binomial tree model with $u$ (up-factor) and $p$ (one of the risk-neutral probabilities) defined as follows: $$u = e^{\sigma\...

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 = \...

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 ...

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 ...

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 ...

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. ...

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. ...

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 ...

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 ...

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 ...

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 ...

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 ...

Long story short: I used two ways to price a floating rate bond, which I expected to get the same result, but not actually. ...

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 ...

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 ...

I've been looking into futures options data for my thesis. What are some sources to get futures options data for an affordable price?

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 ...

There are so many financial products, it's almost unbelievable. Not just in practice, but also what we can theoretically cook up and talk about. I am a student and do not currently work with these ...

I'm trying to estimate the parameters for a jump diffusion dynamic starting from the spot prices using MATLAB. Looking on internet I found only functions for estimating parameters for a MEAN Reverting ...