# All Questions

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26 views

### What is “risk-hit ratio”?

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 ...
27 views

### Breakeven Inflation Rate vs Actual Inflation Rate Study

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 ...
27 views

### What is the relationship between Vanna and Gamma?

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 ...
11 views

### QuantLib-Python Libor Market Model

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 ...
26 views

### Understanding GARCH

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. ...
22 views

### Reason why a European binary call should be worth half of its American counterpart when driftless and out-of-the-money

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-...
32 views

### Implementing a Variance Swap Hedging in R

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)...
26 views

### A question referring equites and beta

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?
51 views

### Random Walk Theory vs. Quant Trading

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 ...
21 views

### Cocycle Condition for FX and SABR

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 ...
52 views

35 views

### Question on boundary conditions when using Finite Difference

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)...
25 views

### Volatility vs. market returns [closed]

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 ...
35 views

### Is modern portfolio theory practical ? can I apply it to crypto currencies directly? [closed]

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, ...
74 views

### Survival probabilities starting from CDS spreads

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 ...
55 views

### decomposition of yields into global and local components

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 ...
74 views

### How to compute standard errors of an estimator with antithetic variates?

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 ...
92 views

### Reading Recommendations - Quantitative Investment Strategies from a “genuine” quant viewpoint

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 ...
22 views

### Non-fixed stationary “conversion”

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 ...
534 views

### Relationship between Vega and Gamma in Black-Scholes model

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 ...
18 views

### Is the market price of risk deterministic or stochastic in the Heston model?

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 ...
85 views

### Use of CNY and CNH derivatives

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?
23 views

### Guidance requested to learn Credit and Market Risk Modeling

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
19 views

### How to understand and address the problem of that 'using yesterday's information to predict today's close is more difficult than today's opening?'

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 ...
36 views

### Strange efficient frontier, when I try to calculate BTC & ETH ratios using MPT(Modern Portfolio Theory) [closed]

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 ...
28 views

### Exchange order matching system/core for local testing

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,+\...