All Questions

I have the following function (Carr-Madan) of which I am trying to take the derivative wrt $\theta$: $c(k)=\int_0^\infty \frac{e^{-iuk}}{\alpha^2 + \alpha - u^2 + i(2\alpha+1)u} e^{\phi_T(u-(\alpha+1)...

I have been day trading US equities for a while successfully. I have a set of technical indicators and time frame that works for me plus profit taking and stop loss rules. I want to apply the rules ...

I am interested in calculating and identifying the pivot points on a candlestick plot (i.e. stock values) for different time intervals (e.g. 1min, 5mins, 15mins, 1hour, ...). What is the best way to ...

I guess this is pretty easy but I cannot find a definition anywhere. I am trying to reproduce a paper and they say they use a cumulative return series at some point. Does anyone know exactly what this ...

If there is an option that expires a year from now, but is settled after 2 years, how would the Black Scholes formulation for such a situation look like? Will the risk free rate now be for 2 years or ...

It's clear that IV increases as spot decreases, and vice-versa. In pricing an option, is there any model that is useful in estimating the change in IV with change in spot price? For example, if the ...

I'm trying to code up the algorithm from this paper. The paper presents an ADI algorithm for pricing options in the Heston-Hull-White model. The starting point is the Heston-Hull-White PDE, given ...

this question can turn out to be very basic but its something that has been bugging me. Say I want to buy/sell an option on A vs sell/buy an option on B. Facts I know A and B are different ...

Is there a concise formula for calculating the remaining balance of a loan with actual/360 and actual/actual accruals? I know for 30/360 amortizations, the remaining balance is just the FV of the ...

I am reading Advances in Financial Machine Learning by Marcos López de Prado. In chapter 11 The Dangers of Backtesting, exercise 11.5 asks: We download P/E ratios from Bloomberg, rank stocks every ...

could someone kindly explain what I need the ECM for in a bivariate Cointegration test? I am currently trying to reproduce the results of Rad et al. (2015): "The profitability of pairs trading ...

What is the best way of measuring default rates for a portfolio which contains mostly loans which are either 30, 60 or 90 days term? Normally I use the following methodology Look at all loans which ...

What's the correct way to calculate the expected stock price range using implied volatility, without the simplifying assumption that the stock price follows a normal distribution?

Consider the standard Heston model\begin{align*} dX&=\left(r-\frac{1}{2}v\right)dt+\sqrt{v}dB,\\ dv&=\kappa(\theta-v)dt+\xi\sqrt{v}dW, \\ dBdW&=\rho dt. \end{align*} Computing $\mathbb{E}\...

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...

I'm reading Joseph Wang's Central Banking 101 and there are two statements which seem to be contradictory to me, and I'm guessing there's an element of misunderstanding on my part which I'm looking to ...

Consider an index of the type: $I(t)/I(t-1) = 1+ a(t) (S(t)/S(t-1)-1)+(1-a(t))r(t-(t-1))$ It is arbitrarily initialized. $r$ is the risk free rate. a(t) is determined piecewise as: $a(t)=s_{target}/s_{...

I use Geometric Brownian Motion (GMB) to simulate a share price from March 24, 2020 to March 24 as follow: \begin{equation} S_t=S_{t-1}exp((rf-0.6\sigma^2)*(2)+\sigma*sqrt(2)*\mathcal{N}(0,1)) \end{...

On a specific leg, when going to open a spread is there an equation that can tell me at what strike price I should sell at and what strike price I should buy at? I look at this options calculator ...

In Stochastic Volatility Modeling, L. Bergomi introduces in Chapter 7 the pricing equation (7.4) : $$ \frac{dP}{dt}+(r-q)S\frac{dP}{dS}+\frac{\xi^t}{2}S^2\frac{d^2P}{dS^2}+\frac{1}{2}\int_t^Tdu\int_t^...

I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio ...

I am reading the "Problems and Solutions in Mathematical Finance" from Eric Chin and Sverrir Olafsson and in page 15 they have a problem : Let the current price of a stock be $12.75$ that ...

I need a way to approximate the analytical formula of Greeks of a generic call option using the Finite Difference Method. For example, the FD method for Delta/Gamma is the following one: Now, I am in ...

I have a question after reading the post below. https://www.onlinebetting.org.uk/betting-guides/can-you-bet-on-anything-you-want.html Question: I want to bet on a niche topic or asset or anything that ...

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...

I've been observing that options on /es has a higher IV than the options on SPY even though they're both tracking the S&P 500. What causes this? Doesn't this mean that the options on /es is more ...

I am looking to generate/simulate the prices for FX option price to calculate the counterparty credit exposure under SA-CCR. However, I have some doubt since I want to use PDE (Black-Scholes model) ...

I am using 5 volatility points to build a volatility smile : put 10D, put 25D, ATMF, call 25D and call 10D. I have thus 5 pairs of data : (Delta, Vol) let's say for example (10;5.75) ; (25; 5.50) ; (...

If we go short on an equity TRS (as in we sell the swap and pay the equity returns). Is it correct to say that we are: -Short spot -Long borrow cost -Long interest rate (the rate benchmark of the ...

For example, swaps traded in CME versus LCH are quoted with slight difference? how do we decide the theoretical boundary of the basis ? what factors need to be consider? I think the principal to ...

Is it possible to calculate the price of a cdo tranche given the expected loss and probability of default for that tranche

I am new to Ito-calculus, so please forgive me if the question is stupid. Let $W(t)$ be a Brownian-Motion and $f(W(t))=W(t)^2$. If I want to calculate the differential $\mathrm{d}f(W(t))$, Ito's lemma ...

Is anyone aware of a paper or B.Sc/M.Sc. thesis that derives the Barone-Adesi-Whaley approximation for American options with deterministic rate, dividend and volatility term structures? I have googled ...

I am doing my master thesis and my subject is how covid-19 has affected the stock market. I have already calculated abnormal returns and CARS using market model and OLS regression for different ...

Let's say we have an OHLCV dataset for a universe of stocks. We want to create features based on these price data. Since each stock may have a very different price range from the other if we just take ...

Suppose I have an LMM defined using the spot measure as in Brigo and Mercurio: $dF_k(t) = \sigma_k(t)F_k(t)\sum^k_{j=\beta(t)}\frac{\tau_j\rho_{j,k}\sigma_j(t)F_j{t}}{1+\tau_jF_k(t)}dt + \sigma_k(t)...

In section 4.6 of Advances in Financial Machine Learning, Lopez de Prado writes In the previous section we learned a method to bootstrap samples closer to IID. In this section we will introduce a ...

I was wondering if I have to take the strike prices of options into consideration when doing a gamma and delta hedging. As an example, let's suppose that I have 2 positions: a long position call ...

I'm currently struggling with the derivation of a formula to price the following exotic option with Black-Scholes. The option has the maximum payoff of $(S_T-z)$ and $(y - S_T)$, where $S_T$ is the ...

I am new to quant. finance and trying to calculate trend, momentum, correlation and ...

Does someone know a book or site that contains Python or R code for implementation in liquidity risk?

Where can I view the P/E to EPS growth rates for ETFs like the Vanguard VOOV (Value fund) ETFS?

Given a certain portfolio with y assets, calculate the weight of each asset in the portfolio based on the asset position. The weight for each asset is calculated by (yn is the position of a certain ...

Context: I have historical 1min prices for stocks, including premarket. However, when importing real-time data, the standard practice in the financial data industry is to give only OHLC (open, high, ...

Would like to ask you, how would you price an Option which has its starting underlying price S0 = 70 dollars, with no dividends, and that pays 0.5 dollars each time the underlying price hits a barrier ...

Could someone explain to me why the stock price process has to be martingale for option pricing? What would happen if we calculate the price of the option in a situation where the process is not ...

I want to calculate VaR for bonds using historical z-spread changes. I want to apply the changes to the present day z-spread, reprice the bond and obtain the PnLs from which I can calculate VaR. But ...

Consider a market with $p$ risky assets with expected return $\mu \neq k 1$ and positive definite covariance matrix $C$. Let $z$ be a zero-beta portfolio w.r.t the market portfolio $x_M$. Show that z ...

Is there any python library that automatically calculate p and q for the GARCH model? (for example: auto_arima in pmdarima) since that for both statsmodels and arch library in python needs to manually ...

I am having a bit of trouble with a problem I've been given. Consider a market which only trades a stock and forward contracts. There's only time 0 and 1. Initial stock price S_0 is 10, the forward ...