All Questions

In this article https://www.risk.net/awards/7741391/flow-market-maker-of-the-year-citadel-securities describing Citadel Securities the market maker, it says The firm’s electronically executed US ...

I am relatively new to the realm of TIPS and inflation rate and am working on a study. I wish to investigate the correlation between the breakeven inflation rate for (5Y, 10Y, 20Y) TIPS and actual ...

I'm trying to build a crude model for the effects of delta hedging on major indices like the S&P 500. My background is more in pure mathematics so a lot of this stuff is new to me. That said I ...

It appears that QuantLib-Python does not include Libor Market Model, although the C++ version has it. (https://rkapl123.github.io/QLAnnotatedSource/d5/d8d/class_quant_lib_1_1_market_model.html) Is ...

I asked this on stats.stackexchange but I realized this might be a better place to ask this question. I am new to finance and volatility forecasting and am trying to understand how garch model works. ...

Exercise 11 of chapter 8 of Mark Joshi's "The concepts and practice of mathematical finance", asks to compare prices of an American and a European digital (binary) calls when out-of-the-...

I am trying to compute a hedge for a variance swap, in a simulation. Fo that I am using the following equation:\begin{align*} E^Q\bigg(\sum_{i=1}^n \bigg(\frac{S_{t_{i}}-S_{t_{i-1}}}{S_{t_{i-1}}}\bigg)...

Let's say stock A has a beta of 1.32 and stock B has a beta of .8. Is it okay to say that, stock A moves 32% more than the market? And Stock B moves 20% less than the market?

I am quite new to random walk theory so please excuse my rather simply put question but I am wondering how can quant trading desks and other algorithmic trading firms exist if there is the random walk ...

I was wondering whether SABR model (or some of its modifications) is actually used by practionarers. Also, if one models the FX forward with SABR, would the cocycle condition be satisfied? That is, if ...

Assuming an Affine term structure model, where bond prices arebe defined as: $$P(t,T)=\exp({A(t,T)-B(t,T)r_t)}$$ and describing the Q-dynamics of the short rate according to the Dothan model: $$dr_t=...

I am trying to merge a list of adjusted closes of a multitude of firms for my research on ESG, in relation to risk/reward. None of the firms seem to have a problem, except for the Berkshire Hathaway ...

This may seem like a silly question, but I have trouble understanding the concept. I am performing regressions where the dependent variables are raw buy-and-hold returns and abnormal buy-and-hold ...

Looking for arbitrage opportunities when looking at 3 pairs of related currencies is easy. However if we assume that we have a large amount of currencies, is there an optimal way to swipe through them ...

I am trying to code a heston model pricer.However,it seems correct at the beginning but when inserting extreme data I retrieve myself with negative probabilities or negative prices. There is the code :...

I have seen in several papers on rough volatility using the following expression for the forward variances $$ d\xi_t(u) = \xi_t(u) \eta \sqrt{2H} (u-t)^{H-1/2}dW_t $$ Can anyone explain to me how this ...

Is it correct to write \begin{equation} E_t \int_0^{X_T} f(z) dz = \int_0^\infty \left(\int_0^x f(z) dz \right) p(x)dx \,\,? \end{equation} Here $X_T$ is a positive random variable with density $p(x)...

For a trading system that trades only one security we can easily compute the longest expected losing streak using this formula: where: n is the number of trades, ln is natural logarithm, P is the ...

Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...

Let $f(t, \omega), g(t, \omega)$ be functions that are independent of the increments of the Brownian motion $w(t, \omega)$ in the future. That is, $f(t, \omega), g(t, \omega)$ are independent of $w(t +...

Suppose the VIX index is at a hypothetical multi-year low of 15, yet the volatility of VIX has a reading of 100. If one were to surmise from this volatility of VIX a range for the VIX over the coming ...

Not quite from stat background so asking the question! I believe correlations are calculated on returns. However if I have time series of credit spreads and an equity index returns. How would I get ...

I am trying to take the derivative of the following stochastic integral, $$d\left(\int g(S_t) dS_t \right),$$ where $dS(t) = \sigma S(t) dW_t$ and $g(.)$ is some (smooth) deterministic function. My ...

As title. The Interactive Brokers samples are exactly clear. Hopefully, some can help. Thanks in advance!

I understand this is quite the common question but I haven't been able to understand this concept through the previous posts. My situation is that each day, I'm interested in buying/selling one ...

I was wondering if anyone could tell me if my model is completely incorrect as I haven't been able to find anything online for this. I am running a Gjr Garch model to measure volatility in gold ...

I work in the financial industry and we want to implement an internal rating model for our clients (think corporates large or mid , banks etc. some listed on an exchange some others not). We want to ...

I have implemented a Monte Carlo pricer engine which includes the volatility local model based on Dupire formula. For now I can value several (european) options which I used to validate the model, but ...

I have the following dataframe df on which I want to compute a 4-window moving average : ...

Why do we discount things which do not pay compound interest, nor offer guaranteed reinvestment, as though they do? Ex. Treasuries Forget adjusting for term-structure or other hot-fixes in the ...

Does anyone know how the P and L on put backspread changes as a function of implied volatility and longer expiration? One wants as much gamma as possible as far as I understand, in turn being related ...

Consider a modification of the time-homogeneous version of the model by Black and Cox (Journal of Finance, 1976). The firm value $V$ follows a Geometric Brownian motion: $$dV/V = \mu dt + \sigma dZ$$ ...

It is clear to me that $$ \frac{dQ}{dP} = e^{-\lambda W_T-\frac{\lambda^2}{2}T}$$ is the Radon-Nikodym derivative that defines the change of measure in the framework described by Black and Sholes. But ...

I have two questions appearing to me (they are not related directly to each other). My first question is about boundary conditions when using Finite difference methods. There are two ways to do it: a)...

It turns out that it is possible to have a model that fits observed return distribution well, but its implied volatility dynamics is a very poor approximation of the realized volatility. On the one ...

I apologize if this is a dumb question - I'm a computer engg. who dabbles in finance. I built MPT portfolio with different crypto currencies & accessing them. But wanted to ask you professionals, ...

How is that possible to get survival probabilities starting from CDS spread? Could you please provide me with a demonstration? What is more, is that true that CDS Zero type is necessary so as to get ...

It is reasonable to assume that global yields move in tandem to a certain extent, driven by a global and a local component. Are there any ways to separate the two, beyond the obvious (regress the ...

I'm pricing American options using Longstaff and Schwartz Least square method. When using the following Python code, I obtain nearly the same prices and standard errors as in the Valuing American ...

I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in ...

Dear users of StackExchange, I was wondering why the log returns of a fixed period of time is such a common use in "transforming" a time series into a more stationary one? I thought that ...

my question is the following one: I don't manage to prove that, in Black-Scholes model, single-signed Gamma options have values that are monotonic in the volatility. I am looking for an exhaustive and ...

I am recently digging into the Heston model and I have noticed that every author refers to the market price of risk simply as $\lambda$, or sometimes it is more clearly specified to be bi-dimensional ...

I was wondering what are the reasons why investors use USDCNH forwards vs NDF on USDCNY? Do you usually pick CNH for trade reasons, while CNY more for speculation as these are USD settled?

Please lead me to a repository of programs and lectures / notes or reading material on Market Risk modeling and credit risk modeling, stress testing, VAR modeling or similar topics. Thank you

Given the available data on and before the $t$-th day, the target is to predict label-1: $open_{t+1}/close_{t}$ and label-2: $close_{t+1}/close_{t}$. I find that the prediction accuracy (measured by ...

The 10k Monte-carlo simulations all fall on the same line, instead of a proper scatter plot.. Not sure what I'm doing incorrect. It all works fine, if I include Monero in the mix. Any pointers ? I'm ...

I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core). I remember, that I have seen on GitHub repo, ...

I'm reading some articles about PDE and I found the following PDE, with $q_1,A >0$: $g_t(t,y)+ \beta^2yg_y(t,y)+\frac{1}{2}\beta^2y^2g_{yy}(t,y)-q_1 g(t,y)=0 \quad (t,y) \in [0,T), \times (0,+\...

Coming from here: https://quant.stackexchange.com/a/7616/43679 we have that for a European option, and due to the put-call parity, due to the non arbitrage rule, the volatility for a put and a call ...