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What is the reference for excluding a covariate if there is many missing observation?

Normally, I exclude a covariate out of the regression equation if there are many missing observations, let's say it is one-fifth less observation compared to other variables' observations in general (...
-1
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0answers
41 views

Binance future executed volume is too low compare to % increase in price

It might not be directly related to quant, but if anyone could help, I would be very appreciated. I closed a ETHUSDT long position with leverage 1x. It gives below result. Executed:2013.65 USDT ...
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0answers
29 views

Replicating Bloomberg's zero rates bootstrapping

I'm interested in manually replicating the bootstrapping procedure that Bloomberg uses to built ICVS179 (RUB vs MosPrime 3M) curve up to a two years tenor as of October 12th 2021. These are the market ...
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0answers
15 views

Including Exogeneous variables in short rate models

I am trying to use short rate models (e.g. Vasicek, CIR or Hull-White) to forecast next one or two months yield curve. In this context, is there a way that I can include some exogenous economic or ...
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0answers
28 views

how to measure the stability of factor loadings?

Is there any research on how to measure the stability of factor loadings, for example from Fama French/Carhart type factor models? The goal is to test different ways to construct a risk factor, such ...
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31 views

How can I simulate the barrier option call model in Python?

We have a barrier call option of European type with strike price $K>0$ and a barrier value $0 < b< S_0$, where $S_0$ is the starting price.According to the contract, the times $0<t_1<....
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32 views

Quantlib match clean price with bbg clean price

I'm trying to match QL clean price with BBG clean price for POLGB 2.75 10/25/29 1029 priced for 15th of October 2021 for 2.5% yield. I'm not sure if my setup of bond is wrong or if there is a problem ...
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0answers
20 views

Counterparty Exposure calculation [closed]

Hey I have some questions about Exposure calculation. I know that this process is based on Monte Carlo methods. Which models are currently the most popular for simulating interest rates, equities, FX ...
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0answers
24 views

What will be the operating cash flow? [closed]

The net profit before taxes as per the profit and loss account, of Gaman Ltd is Rs 269244. With the given set of information, classify the given items as (operating / investing / financing), share the ...
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0answers
29 views

Calculate the size of the up move from volatility for Binomial model

I'm given a European Put option, current and exercise prices, $p$ and $P$ and stock volatility $q$. What is the way of finding the size of the up move from the problem?
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0answers
26 views

value of annuities at different time times/periods

\usepackage{actuarialangle} Suppose we have a 4-year deferred perpetuity with a payment of $M$ at the end of each year/period and an annual effective interest of $i$. Express the following annuities ...
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39 views

Option pricing with risk-neutral approach

Problem Given $Y_t$ price of a stock (no-dividents), and a derivative paying $Y_T^2$ at maturity $T$, evaluate the price of the instrument now using risk-neutral approach and check that it satisfies ...
2
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0answers
81 views

Weights don't add up to one Markowitz Portfolio Model

I have recently implemented MPT in Python, however, when I allow negative weights (short selling), they do not add up to one. Isn't it suppose not to happen? On the other hand, when I don't allow, ...
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0answers
38 views

Distribution of Stochastic Integral Example

I am looking for help on justifying how the integral $$\int_{0}^{t} (t-s) \, dW_{s}$$ is normally distributed. I realize that the general fact that Ito Integrals with deterministic integrands are ...
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0answers
25 views

How to calculate present value of annuity [closed]

So right now i am doing a course and this is one of the problems on there. "You have received an inheritance in the form of a 6-year annuity paying $5000 per year. Now is Year 0 and you will ...
1
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0answers
27 views

How to explain the " no anticipation effect" testing result in Diff-in-Diff?

Regarding Difference-in-Difference, the main assumption is the parallel trend satisfication. Regarding the parallel trend test, just simply prove the joint null test of leads coefficients equalling to ...
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0answers
30 views

Duration and convexity of an open term loan/bond!

Imagine an open term loan with monthly interest payments of [x]% and the principle due when the loan is closed. Both the lender can call the loan, and the borrower can return the loan (with no penalty)...
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39 views

Structural Models vs. Intensity Models

Which type of models is commonly used for XVA calculation - Structural or Intesity? What are the main differences between them? In case of Intensity models, what type of this model is used (constant, ...
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2answers
89 views

Quantlib USDLibor() method

I'm attempting to shift both a discount and projection curve but am having trouble passing through the VanillaSwap() because of the Ibor input requirement -- I'm trying to calculate the dv01 of a US ...
1
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0answers
61 views

Choice of grid for numerical integration

I have to compute an integral involving the characteristic function for pricing options in a model and it so happens that accurate approximation seems to be mostly about putting lots of points in ...
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0answers
50 views

LIBOR Rate in Short-Rate Models

Hey I have problem with understanding the relation between short rate $r$ and LIBOR rates (which we need to calculate payoff from FRA, Caps, Swaption etc.). We know that Zero-Coupon Bond price is $$P(...
1
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1answer
47 views

conditional expectation formula of default in CVA

Here is the formula of CVA in page 74 in book Modern Derivatives Pricing and Credit Exposure Analysis. Here $t_0 = t<t_1<\cdots<t_n = T;$ $\tau$ is the ...
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0answers
14 views

How can I solve a linear optimization problem with bounds that are a function of the decision [migrated]

I am using the rDEA package's linear optimization function multi_glpk_solve_LP(which is built on top of the ...
0
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1answer
63 views

Calculate interest

I'm kinda stuck with the following problem. I am given the terms in Month, a net-value, a residual value, and a monthly rate. Now my job is to calculate the interest. Usually I am giving the interest ...
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0answers
38 views

Compute call option price given two stock price scenarios? [closed]

I was asked the below question, but wonder if enough information was given: For an AAPL European call option expiring in 1 year, strike price is $159.60 AAPL is now \$144.00. In one year, it can go ...
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0answers
34 views

Best optimization target for maximizing the odds of including the highest returning asset

I have an investment universe with several thousand assets that have different expected returns. All assets have the same expected volatility but different correlations to one another. Expected ...
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0answers
39 views

Probability of a certain financial instruments movement

I want to calculate the probability of a certain financial instrument moving above or below a certain threshold within a certain time frame. Let's say up 0.5 % within the next 4 hours. If we assume ...
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0answers
39 views

how should i interpret the gjr-garch output where the gamma coefficient comes positives but insignificant?

i run gjrgarch model on russia stock market where the gamma coefficient in gjrgarch(1,1) model output is insignificant but positive. "gamma1 -0.026240 0.033785 -0.77669 0.437340" how ...
0
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1answer
57 views

Significance of annualized volatility over 100% on the normal distribution?

Assume stock is 50 dollars. From what I understand, an annualized vol of 20% means there is a ~68% chance the stock will be between 40 and 60 a year from now; a ~95% chance it will be between 30 and ...
0
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1answer
87 views

How to measure Steepener/Flattener/Butterfly sensitivity? (in 01)

This seems like a simple concept but I'm a bit lost. How can I calculate the dollar value sensitivity for a yield curve slope or butterfly position? I understand how DV01 can be calculated, but it ...
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0answers
44 views

Regression analysis for financial performance

Would very much appreciate any help in finding the right way and tools to conduct a regression analysis of financial performance based on various independent variables. The goal is to estimate the ...
0
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0answers
23 views

Looking for a measure of a simple Trend and Strength Indicator

I'm not literally a Quant but rather an analyst working in Process Control and I have a problem that I think could be solved with the Financial tools. Basically I have a matric called DPM (Defect Per ...
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0answers
30 views

Easy, but doubts - Annualize daily turnover

I am fairly certain I am correct but I just want to double-check on portfolio turnover calculation. I need to annualize the daily turnover rate. To calculate, the daily turnover, I am using the ...
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0answers
57 views

Non-Finance applications of the Black Scholes Model [closed]

Are there any non-financial applications of the Black Scholes model? Thanks.
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0answers
24 views

Put call parity without dividend confusion [closed]

If the underlying asset pays no dividend, then CE(t,K)- PE(t,K) = S(t) - Ke-r(T-t) Proof for the above formula: First, we have Portfolio 1. At time t, long 1 call option and short 1 put option, so ...
0
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0answers
16 views

Calculating avg weighted interest rate , rate, loan balance and term in days [closed]

I have the data below and need to summarize the data for a class case Calculate: Weighted Average Interest Rate and Concentration by State Since the interest is paid annually I know I need to prorate ...
0
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0answers
33 views

Calculating DV01 of a swaption

Given a certain option price (premium) and implied volatility, how does one calculate the DV01 of a swaption? Is there any way to compute it analytically with Python?
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0answers
20 views

How to calculate discount factor, zero rates, and forward rates [closed]

Given the following par risk-free rates with annual coupons and compounding: a. what are the discount factors? b. What are the zero rates with annual compounding? c. what are the annual forward rates? ...
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0answers
22 views

Martingale-equivalent compound Poisson process

My question is related to the paper "a Martingale approach to premium calculation principle in an arbitrage-free market" by Delbaen and HAEZENDONCK (1989). In short, they characterized all ...
3
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0answers
37 views

How does the cryptocurrency market rely on USD Tether?

The core of my question comes down to wondering what happens in the following scenario: Consider a situation where it turns out that USDT (Tether) is actually not backed by any assets, which would ...
0
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0answers
44 views

Cross Currency equivalent swap

I am reaching out for some help to get an equivalent basis in another currency. I would like to buy a FRN with a current spread SONIA 1M + 35 bps. And I would like to have the equivalent spread in ...
2
votes
1answer
153 views

backtesting guide for research

I am a master student in finance and I am working on my portfolio management thesis. Within my thesis I will have to backtest a portfolio strategy for a balanced portfolio. I am looking for a guide/ ...
2
votes
0answers
36 views

Double sort portfolios

I am studiying the impact of two variables A and B on stocks returns. When I sort the stocks individually, I find that the long-short portfolios returns obtained for A and B exhibit high correlation. ...
0
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1answer
46 views

Evaluating principal and interest at different points in time

Consider simple interest and suppose we have a certain principal and interest at t=7 months, we want to find the value of that amount of money when t=3 months. I would like to do it in two different ...
0
votes
1answer
68 views

Eurodollar futures volatility

Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%...
2
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0answers
40 views

Ansatz and HJB equation

Suppose we have an HJB equation of the form $$ \frac{\partial v}{\partial t}+\frac{1}{2}\sigma^{2}\frac{\partial^{2}v}{\partial s^{2}}+max_{\delta^{a}}\left\{ \lambda^{a}(\delta^{a})\left[v(t,s,x+s+\...
0
votes
2answers
119 views

Option pricing using characteristic function

I'm currently on a mission trying to calculate option prices using the rough Heston model. I've found that this is usually done using the characteristic function of the model, but I must admit that I ...
0
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0answers
67 views

Why would one need forward prices to perform derivatives pricing?

I am trying to understand the purpose of inputs the software of my company is using. Amongst others it needs calibration instruments, a model type, initial values of the respective underylings and a ...
2
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2answers
85 views

Estimate yield of coupon bond given yield of zero coupon bond

Suppose that now is August 2006 and we have the following zero-coupon bonds: Maturity: August 2007, Price: 95,53 ...
-1
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0answers
34 views

Construct an arbitrage portfolio using combination of European call options [closed]

Suppose that the continuous compounding rate is r = 0.05 and the maturity time T=1. How can I construct a portfolio using some of the European call options below and the bank account to find an ...

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