All Questions

When and at-the-money regular call or put approaches expiration, gamma tends to infinity. However, for practical purposes, there is only a finite change in delta. The problem is that if any of the ...

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...

In an Investment Bank, how often a stochastic volatility model is calibrated ? Is it calibrated daily ? Is it calibrated whenever a pricing is required ? Thanks.

An American company $A$ has sold a manufactured product to a German company $B$, and they agree for the payment of 100,000 EUR in 1 year ($T$). What type of exposure does $B$ have? What type of ...

I have a question regarding the type II error for a specific event study. It is a case study (i.e. one observation) with daily share prices. I want to test whether event day abnormal returns are ...

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...

Im trying to use options data with zipline for backtesting. I noticed there are some premium datasets on quandl for options. Has anyone successfully managed to use any of those datasets with zipline?...

I would like to calculate the fair value of american and european options on various equities and indices using QuantLib C++. Since I do have discrete dividends available for most underlyings, I use <...

Let's assume a commodity future contract priced with MtM. This price moves on a daily basis there is a price : 50, 51, 49, $48... I'm trying to compute the delta of this contract at a certain date. I ...

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ...

We have been treating bonds issued in UK as a good benchmark to price bonds issued in the European Union - or vice versa. Does this still make sense post-Brexit?

In option pricing with market model equipped with stochastic volatility, there are numerous times mentioning "market price of volatility risk" without even define or give any explanation regarding the ...

I am reading Price dynamics in a Markovian limit order market by Rama Cont & Adrien de Larrard. They explained the bid-ask spread $s^a_t - s^b_t$ is equal to one tick more than 98% of the time. ...

I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...

I have a question pertaining Bergomi's modela and rough Bergomi's Model. It seems that it is the second gerneration of stochastic volatility models, (after Heston), because they are 2d stochastic ...

I'm thinking of implementing the Bulk Volume Classification algorithm on my data of hourly OHLC bars and associated volume, but my sense of it is that hourly granularity is insufficient and that ...

I am sitting with the following control problem. Given know the controlled Markov equation\ \begin{equation*} \begin{aligned} dX_t&=-\lambda X_t\cdot dt+ U_t\cdot dt+\sigma\sqrt{1+X_t^2}\cdot ...

In Vasicek model, we have the following relation to get Discount factors given the value of short rate: $$P(t\,,T)={{e}^{A(t,T)\,-\,B(t,T){{r}_{t}}\,}}$$ So, Discount factors are known as soon as we ...

I am looking to numerically solve the convection diffusion equation given by $\frac{dp}{dt}=-\frac{d}{dx}\big(u(x)p(x,t)-D(x)\frac{dp}{dx}(x,t)\big)$ where $D$ and $u$ are fixed functions, but NOT ...

I'm fairly new to quant finance/trading, and I've been reading up on material regarding pairs trading. One thing that I'm confused on is pairs trading inverse assets. Say you have an asset that ...

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....

Bond is maturing in 10.25 years and has an annual coupon rate 4.15% paid semiannually and price 92-12+ I need to calculate yield to maturity Ok so I know that 92-12+ is basically 92 + 12/32 + 1/64 =...

In Protter Stochastic Integration and Differential Equations, Springer (2003), the following definition is given: Definition. Let $X$ be a stochastic process and let $\Delta$ be a Borel set in $\...

When a random variable $X$ is discrete, the definition of conditional expectation of $X$ with respect to a decomposition $\mathscr D$ is $$ E[X|\mathscr D] = \sum_{i = 1}^m x_i \sum_{j = 1}^n P(X|\...

By Radon-Nikodym theorem, the conditional expectation of $X$ with respect to a $\sigma$-algebra $\mathscr F$ is a nonnegative random variable denoted by $\def\E{\mathbf E}\E(X\mid \mathscr F)$, such ...

I am doing PhD on momentum investment (Jegadeesh and Titman, 1993). My supervisor has some concerns over the momentum strategy that I know. Let me explain my steps in J6K6 momentum strategy, i.e. ...

A 3 month LIBOR that fixing at $T$, paying in 3 months does not have a convexity adjustment. However, 3 month LIBOR fixing at $T$, paying in 6 months needs a convexity adjustment. How is this shown ...

I have identified a pattern in different assets where a quick spike/flash crash often occurs, dropping the price between -5% and -15% for a few seconds and then going back to previous average. I am ...

Last year I opened a credit line using the bank's promotion, but account was opened without mentioned bonus. contacted the bank saying I am not paying anything on that line until you recalculate ...

Since in crossing network traders buy and sell at $\frac{(A_{1}+B_{1})}{2}$, this means that the bid-ask spread is equal to 0. And also in theory the depth of the market shouldn't change, but volume ...

I have exchange tick data and I was wondering how to calculate intraday volatility without having to resample the data set (e.g. to 1 or 5 minutes). I have a time series of n rows of the security's ...

When calculating the Pricing Kernel, one of the most common approach is to divide the Risk Neutral Density (thanks to options data) with the Empirical Density. Estimating a good Empirical Density is ...

There's a pretty good list of books suggested on Market Microstructure here -- Book on market microstructure I'm also interested to know if there are any courses (either mooc or on-campus), ...

Dear fellow python programmers, I have gpcc data for which I am trying to compute correlation coeeficient along the time dimension. it has some missing values therefore my results is always nans. ...

Reading the great book of Gatheral on Vol Surfaces (link) I can't help but notice that throughout he uses undiscounted option prices (though he obviously never assumed rates to be zero). See e.g. ...

If RW hypothesis holds true for a particular market or stock, what does it mean in terms of returns and log-returns autocorrelation and predictability? For instance, if prices are RWs, then the ...

I understand it is possible to synthetic a future using long call and short put ATM options which has the same expiry as the futures. Can we do the following to synthetic a future calendar spread? $...

If we suppose that r(t) follows a Vasicek model, which is: $$dr(t) = (\mu - \kappa r(t))dt + \sqrt\sigma dW(t)$$ How to derive an expression for Eurodollar future rate?

I think the question is no, as commodities trading requires far more exotic payoffs and hence higher variety of code. I know that there is a private company known Allegro, one of the main suppliers ...

I am wondering if random measures are used under a Levy process and how this connects to finance (particularly pricing). Any paper or books for suggestions is welcomed.

I want to define my interpolated zero curve directly from the zero rates themselves, as if these latters were quoted, leading to something like: ...

I am trying to search for some papers that calculate the survival rate for mortgage loans based on a number of characteristics like loan-to-value, FICO, etc... The survival rate is essentially a ...

I have a corporate bond curve which stops at 15 year maturity. I want to extrapolate the curve to 25 year maturity. I'm looking for a reasonable approach, not necessarily deeply technical. Thanks ...

I was wondering how to implement a BSDE approximation in R. For example, if I have the toy BSDE $$ dX_t = \mu dt + \sigma dW_t ; X_T\sim N(\mu_1,\sigma_1), $$ for fixed real numbers $\mu,\mu_1,\sigma,...

I have the cash dividend amount for each company and its sec code, how would i go about calculating the dividend yield of the sector? What other data would I need?

On the homepage of Corwin (https://www3.nd.edu/~scorwin/) there is an excel spreadsheet which showcases the calculation for the bid-ask spread, which is expressed as a percentage. What is this a ...

In my research on put options, I come across the ratio: $\frac{(1-\mathcal{N}(d_1))}{\mathcal{N'}(d_1)}$ where $d_1=\frac{\log(S/X)+(r+\sigma^2/2)t}{\sigma \sqrt{t}}$ and $\mathcal{N}(.)$ is the ...

Assume that the current S&P index value is 2000. Suppose that the \$1,000,000 portfolio has a beta of 2.5. The portfolio manager wants to use index put option to protect the portfolio value to a ...

I'm trying to find DB quant research papers in "Signal Processing" series - particularly interested in "Signal Processing: The options issue" (2010). Would appreciate if anyone could share it.

Why is calendar spread arbitrage equivalent to $\partial_t \omega(k,t) \geq 0, \forall k \in \Bbb{R}$ where $\omega(k,t) = \sigma^2(k,t) t$ and $\sigma(k,t)$ represents the Black-Scholes implied ...