All Questions

I have a USD IRS S/A v 3M LIBOR with the following dates: Effective: 30th April 2018 Maturity: 28th April 2028 (Rolls day of month = 28) Therefore stub period runs from 30th April 2018 to 28th July ...

Occasionally I will see articles about how Company X spends x dollars on A, and Company Y spends y dollars on B. Here is an ...

I need to create a loss distribution for a credit portfolio as the first steps to estimate the portfolio Credit VaR. I have historical monthly account snapshots (payment history) of all accounts ...

My bank has a retail credit portfolio of 100 million in loans. I know the payment history,balance history of all these loans since inception. Are there any tools to calculate an expected loss, a loss ...

I am trying to simulate price paths for Monte Carlo option pricing of the Stochastic Volatility with correlated jumps model as presented in Dufffie et al.(2000), Eraker et. al. (2003) and Eraker (2004)...

I have some questions regarding a proof of Gÿongy's lemma given in 1 I would like to understand the following passage: $$ \int_{s=t_0}^{s=t}\mathbb{E}\left[\delta(X_s-K)\langle dX_s\rangle^2 \right]= ...

An American call option with exercise price $K = 90$ written on an asset where the asset prices in dollars are given below, the interest rate per period is zero, and a dividend of $5$ is paid between ...

I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric ...

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...

I'm new to quant finance, and as I'm not a mathematician, I am using python to try an understand it. There are a number of blogs on the internet which explain mean variance optimisation, but no-one ...

Could you advise how to find a forward price using Call/Put (+Spot and Strike) ? Investodepia says that forward is equal to option's strike based on Put-Call Parity but it seems to me there is a ...

In his paper (link), he has the equations: b1 = k + ƛ - (ρ * σ) b2 = k + ƛ k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ? ...

I was solving Problem 2.47 from T.F. Crack's "Heard on the Street". I think that the answer given in the book is not correct and I would be thankful if you tell me, where I am mistaken. Question 2....

How to price a contract that pays only 1 at the first stock price drop? The stock follows an infinite binomial with no arbitrage $d<R<u$ condition. So the probability of the price going down is ...

Any insight in how to prove the following risk measure is subadditive? $\rho_{1-\alpha}(X) = \inf_{z>0}\{z^{-1}\ln(\frac{E[e^{zX}]}{\alpha})\}$, with $\alpha \in ]0,1]$ I want to prove it is a ...

I'm coursing a financial engineering course and must build a binomial tree for a security that is valued 1 in state and time 0. I dont get the formula given by the instructors, and trying to apply the ...

How to solve the stochastic differential equation of the Vasicek model for the analysis of credit risk? I search in the article "The Distribution of loan portfolio value" (Vasicek) but he doesn't ...

I'm trying to optimize portfolio of undervalued and portfolio of overvalued stocks. I have simulated scenarios of stock returns, and based on them I would like to find optimal weights. One criteria is ...

On Page 151(Section 5.4) of Optimal Control in Limit Order Books there is a numerical scheme defined via a time discretization of a system of quasi-variational inequalities My question is, where is ...

I'm new to quantitative trading, with good knowledge in finance and coding (mainly Python, Java, R, etc). I would like to know if there are any basic quantitative option trading strategies that can ...

In the Vasicek model for derving bond prices, we have the ODE $$\frac{dB}{dt}=\gamma B-1$$ which gives rise to the general solution $$B(t)=C_1 e^{\gamma t}+C_2$$My problem is that we have the "initial"...

Despite plenty of evidence to the contrary, many quantitative finance sources of information, including teaching resources such as CFA prep, persist in defining kurtosis as a measure of "peakedness." ...

I am trying to perform Monte Carlo Simulations using quasi random standard normal numbers. I understand that we can use sobol sequences to generate uniform numbers, and then use probability integral ...

I was given a portfolio consisting of equities, commodities and high-yield bonds and respective weights. I also have correlation data of different asset classes and standard deviation of each asset. ...

Q: In the passage below, is the implied forward rates (expect return) considered the same as the market implied return from forward rates (unexpected return)? For instance, Expected return = Implied ...

Given FV = 1000 coupon rate = [0.01, 0.015, 0.023, 0.038] ytm = [0.016, 0.021, 0.045, 0.065]

Has anyone done app dev that tests OMS functionality ( FIX ) ? Do any brokers or other financial entities make test apis available ?

Market Making under a Weakly Consistent Limit Order Book Model contains the following paragraph "The market maker may achieve her target execution profile by continuously adjusting her limit ...

What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ? At a ...

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...

I am trying to price Local Volatility in Python using Dupire (Finite Difference Method). I have following set of information Spot: 770.05, Strike: 850, Type: 'C', rfr: 0.0066, time to maturity = ...

I have a optimization problem where the SDE is: $$ dX(t) = [X(t)(u(t)-\beta(t))+\theta(t)]dt+X(t)u(t)\sigma dW(t), t \in [0,T], X(0) = X_0 $$ where $\beta(t)$ and $\theta(t)$ are deterministic ...

How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?

Hello everyone I'm having some trouble calculating the value of an american lookback put option using any other method but "similarity reductions", if you could kindly describe such method or provide ...

I am trying to get the direction/terminology correct in futures calendar trading. Let's say I have two calendar futures contract where the prices are 100 and 102 reflecting the front and back ...

I am trying to link these two questions together Pricing a regular FX forward This is a contract (say USD vs JPY) where you exchange 2 currencies at maturity at a pre-determined rate, while no ...

LIBOR based interest rates are derived from the prices (supply / demand) of swaptions, caps and floors. These prices are generally quoted in yield vols. Their prices are given by the Black formula. ...

Suppose I have a time series of daily implied volatility values for a given month and I am interested in calculating the monthly implied volatility for that month. What would be the most theoretically-...

Let X be a variable with existing moment generating function $M_x(z)=E[e^{zX}]$. Define the following risk measure: $\rho_{\alpha}(X)=inf_{z>0}(z^{-1}ln(\frac{M_x(z)}{1-\alpha}))$ Does anyone know ...

If your portfolio is invested in an asset that follows a geometric Brownian motion, and you withdraw a constant dollar amount at the beginning of each year, is there an approximate analytical ...

So my goal is to calculate option greeks with as few manual inputs as possible. I managed to get the IV for at the money options but then when I try further OTM strikes my results get completely ...

Given that I have a portfolio of High yield bond with USD 50. Duration : 5 years and Spread duration: 5 years CSI BARC Index (Barclay US Corp HY) is as below for the last 30 years. USGG10YR Index (...

Since I`m a total novice in MATLAB I am struggling with a question that might be not even really hard. I have to implement and backtest 4 heuristic investment strategies but literally no idea how to ...

Given a portfolio consists of Stock = usd 40, Bond = usd 40, commodity =usd 20. Also given the correlation between these assets. Scenario 1 : stock down by 30% When performing scenario analysis, do ...

What data is needed for Brownian Motion? I’m currently having an dummy firm, and want to simulate stock market using this dummy firm and firm data. How can I proceed this ? Edit: I have a simulated ...

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...

If the difference between futures and spot prices rises will the yield for the current bond increase as well?

Would anyone know of a library in R that handles DeMarkindicators. Just wanted to check-in with the community before I invested a whole lot of time reinventing the ...

So a company can post collateral to borrow money (repo agreement) and they may have different options of collateral to post. I have to pay a return on their collateral while I hold it. Since, at the ...

Given that a portfolio consists of Stock=USD 30, High-yield bonds(duration=5 years,spread duration=5 years) =USD 40 , Commodity = USD 30. I was given monthly data for MXWD Index for stock, CL1 Comdty ...