All Questions

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 ...

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 ...

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 ...

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 ...

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 ...

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.

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% ...

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 ...

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 ...

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 ...

Currently studying on techniques to estimate the bid-ask spread. Perhaps the most widely known model is the Roll model (1984). Let $P_t$ indicate log prices $\begin{cases} Bid_t=P_t-c, \\ ...

I have been doing a research on comparing Fama-MacBeth and panel regression procedures. Think of it as an emerging market case for Petersen (2009) link. My research consists of a route based on full-...

How do you take back-tested code written using the zipline API and convert that into forward-testing code using the IB API (or better yet ib-insync API)? It seems like you would have to completely re-...

I am reading about american option pricing and the variational inequality, and the book I am reading states, in the derivation of the variational inequality, the following is a martingale: $$M_s = U(s,...

I am wondering what methodology exists to check if a fund/portfolio is having momentum bias or chasing the past performance, assuming you have their full returns and full portfolio holdings for past ...

I'm trying to understand example 2.6 taken from McNeil and Embrechts "Quantitative Risk Management". The example consists of obtaining the risk mapping of a portfolio of $d$ zero-coupon bonds. The ...

Just to be clear: By "in practice" I mean what the banks and other financial companies do. Do financial companies use SABR for pricing equity options? Consider a stock with price $t$ being: $S_t$. ...

I have had a few experiences or chats with teammates about the Hull-White model. The famous model has 2 parameters : The volatility The mean reversion Very often I hear that the mean reversion has ...

I read here that CFA students are taught that $$ D_{C} = \frac{\Delta_{C} D_{B} B}{C} $$ Where $D$ is the duration, $\Delta_{C}$ is the first derivative of the options price with regards to the ...

I'm trying to understand how the trading of crypto-currencies work. I imagine it's not that different from standard currency (or asset) trading, so I ask in this site. Consider the crypto market ...

Let $r$ a random process defined by : $$dr_t=\theta(t)dt + \sigma dW_t$$ $\theta$ is deterministic in $t$ and $W$ a brownian motion. I don't know where my calculation below is going wrong : Let $...

Gijbels et. al. Positive quadrant dependence tests for copulas (25 page PDF) What could potentially be application of this concept in economics and finance? From what I read from a couple of papers, ...

I'm looking at a formula for valuing a portfolio of different bonds that sums the market value times the par value for each bond. Conceptually, why are the bond values weighted in this way by their ...

I would like to convert a 5-year lease rate into 1-year lease rates? I'm assuming all you would need to do this is the depreciation curve and the yield curve. Does anyone know how to do this or know ...

Do you have any examples of 2 assets that are non linearly correlated? And any models that calculate portfolio risk based on non-linear correlation?

I recently plotted Gamma and Vega against Delta for a European call option and found that the graphs look very similar. This makes sense to me mathematically since the two formulas are pretty much the ...

I am still asking myself what the pricing error terms in the Fama-MacBeth regression are. Are they the intercept I regress across all assets in each month, once? Or are they the residuals of each ...

My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module: $$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...

I am trying to simulate a VAR model with heterokskedastic errors. I have no problem simulating a VAR model, And I have no problem simulating heteroskedastic errors. My problem is trying to do ...

I'm deciding an interesting topic for my dissertation, and would like to know your thoughts/advices I want to work in trading/structuring, with preferred topic crude oil or natgas market The two ...

I am estimating CVA/DVA for derivatives... How to estimate PD and LGD (or RR) based on market data for the small enterprises, if there is no external rating for them and they don't have bonds or ...

I am trying to find the relationship of stock indices across the world. This has been done by the literature, however, I am wondering about the methods chosen. I have decided to go with what I think ...

Do you know why I have a vertical line ? My understanding is that instead of putting the log return by quantiles on the Y axis, it put directly the log return (which is very low and appear asa a ...

According to this article, Apple's stock split 7:1 on June 9, 2014. The stock supposedly closed at around \$645 on June 6 and was supposed to open at around \$92 on June 9. I confirmed that a split ...

I just started using Interactive Brokers because of their API. I'm using the IBrokers package in R. I've managed to get data for S&P 500 and other indices but now I want data for S&P 500 after ...

What is the difference between: A position in an asset (bond) w/ market value = 50 million 50 million notional of the asset (bond) I am still a bit confused about the distinction between these two....

I'm solving the classical Black & Scholes (BS) PDE for a European option using finite difference and the implicit scheme. In other words, I'm trying to solve $\displaystyle\frac{\partial V}{\...

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 ...

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 (...

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 &...

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 ...

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 ...

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(...

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 ...

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 ...

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} $ ...

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 ...

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 ...

all. I am looking into calculating margin on futures mixed with futures options. Say ES is trading at 2700 currently, I long 100 ES, 600k (Margin/risk). Then i buy 100 2680 puts. so Points Diff (...

In regards to ES im wondering If theres a scenerio intraday (price shock) that will effect the amount of margin im carrying. Besides PnL Kind of a dumb question, as I guess its just a function of ...