All Questions

Filter by
Sorted by
Tagged with
0
votes
0answers
2 views

How to derive Parameter Derivative within an FFT integral

I have the following function (Carr-Madan) of which I am trying to take the derivative wrt $\theta$: $c(k)=\int_0^\infty \frac{e^{-iuk}}{\alpha^2 + \alpha - u^2 + i(2\alpha+1)u} e^{\phi_T(u-(\alpha+1)...
0
votes
0answers
13 views

Applying day trading strategy into a quantitative strategy

I have been day trading US equities for a while successfully. I have a set of technical indicators and time frame that works for me plus profit taking and stop loss rules. I want to apply the rules ...
0
votes
1answer
31 views

Compute the pivot points

I am interested in calculating and identifying the pivot points on a candlestick plot (i.e. stock values) for different time intervals (e.g. 1min, 5mins, 15mins, 1hour, ...). What is the best way to ...
0
votes
0answers
24 views

What is a cumulative return series?

I guess this is pretty easy but I cannot find a definition anywhere. I am trying to reproduce a paper and they say they use a cumulative return series at some point. Does anyone know exactly what this ...
0
votes
1answer
24 views

Delayed Settlement Option- how will values in Black Scholes change

If there is an option that expires a year from now, but is settled after 2 years, how would the Black Scholes formulation for such a situation look like? Will the risk free rate now be for 2 years or ...
0
votes
1answer
36 views

change in implied volatility with respect to change in spot

It's clear that IV increases as spot decreases, and vice-versa. In pricing an option, is there any model that is useful in estimating the change in IV with change in spot price? For example, if the ...
1
vote
0answers
16 views

Dealing with the ru term in an ADI Finite Difference Scheme

I'm trying to code up the algorithm from this paper. The paper presents an ADI algorithm for pricing options in the Heston-Hull-White model. The starting point is the Heston-Hull-White PDE, given ...
1
vote
0answers
39 views

Compare rich / cheap options on 2 underlyings

this question can turn out to be very basic but its something that has been bugging me. Say I want to buy/sell an option on A vs sell/buy an option on B. Facts I know A and B are different ...
0
votes
0answers
22 views

Remaining Balance Formula for Actual/360 and Actual/Actual Accrual Methods

Is there a concise formula for calculating the remaining balance of a loan with actual/360 and actual/actual accruals? I know for 30/360 amortizations, the remaining balance is just the FV of the ...
6
votes
1answer
129 views

Why is it wrong to rank stocks by P/E ratio, sell the top quartile, and buy the bottom quartile?

I am reading Advances in Financial Machine Learning by Marcos López de Prado. In chapter 11 The Dangers of Backtesting, exercise 11.5 asks: We download P/E ratios from Bloomberg, rank stocks every ...
2
votes
0answers
33 views

What do I need the Error correction model for in the two step Engle Granger approach (bivariate Cointegration)

could someone kindly explain what I need the ECM for in a bivariate Cointegration test? I am currently trying to reproduce the results of Rad et al. (2015): "The profitability of pairs trading ...
0
votes
0answers
19 views

Default rate short majurity

What is the best way of measuring default rates for a portfolio which contains mostly loans which are either 30, 60 or 90 days term? Normally I use the following methodology Look at all loans which ...
1
vote
1answer
104 views

Expected stock price range using implied volatility calculated by Black-Scholes

What's the correct way to calculate the expected stock price range using implied volatility, without the simplifying assumption that the stock price follows a normal distribution?
7
votes
2answers
256 views

Heston: Variance of Integrated Variance

Consider the standard Heston model\begin{align*} dX&=\left(r-\frac{1}{2}v\right)dt+\sqrt{v}dB,\\ dv&=\kappa(\theta-v)dt+\xi\sqrt{v}dW, \\ dBdW&=\rho dt. \end{align*} Computing $\mathbb{E}\...
0
votes
0answers
15 views

Best stock market data streaming API that covers Foreign exchanges, Tadawul (Saudi Arabia) and Dubai Financial Market (UAE)?

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...
0
votes
0answers
83 views

Why can't central bank reserves ever leave the Fed's balance sheet?

I'm reading Joseph Wang's Central Banking 101 and there are two statements which seem to be contradictory to me, and I'm guessing there's an element of misunderstanding on my part which I'm looking to ...
0
votes
0answers
30 views

Industry standards for vol control index options

Consider an index of the type: $I(t)/I(t-1) = 1+ a(t) (S(t)/S(t-1)-1)+(1-a(t))r(t-(t-1))$ It is arbitrarily initialized. $r$ is the risk free rate. a(t) is determined piecewise as: $a(t)=s_{target}/s_{...
0
votes
0answers
44 views

Monte Carlo Simulation of GBM Process has a Very High Variance - Explanation Needed as to why?

I use Geometric Brownian Motion (GMB) to simulate a share price from March 24, 2020 to March 24 as follow: \begin{equation} S_t=S_{t-1}exp((rf-0.6\sigma^2)*(2)+\sigma*sqrt(2)*\mathcal{N}(0,1)) \end{...
0
votes
0answers
46 views

Is there an equation that gives you the optimal spread width or strike prices when opening a vertical options spread?

On a specific leg, when going to open a spread is there an equation that can tell me at what strike price I should sell at and what strike price I should buy at? I look at this options calculator ...
1
vote
0answers
105 views

Derivation of Bergomi model

In Stochastic Volatility Modeling, L. Bergomi introduces in Chapter 7 the pricing equation (7.4) : $$ \frac{dP}{dt}+(r-q)S\frac{dP}{dS}+\frac{\xi^t}{2}S^2\frac{d^2P}{dS^2}+\frac{1}{2}\int_t^Tdu\int_t^...
1
vote
0answers
31 views

Replicate an fixed income index in python

I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio ...
-1
votes
0answers
48 views

Calculation of divided in forward contract [closed]

I am reading the "Problems and Solutions in Mathematical Finance" from Eric Chin and Sverrir Olafsson and in page 15 they have a problem : Let the current price of a stock be $12.75$ that ...
0
votes
1answer
97 views

Finite Difference Method in Greeks (Options)

I need a way to approximate the analytical formula of Greeks of a generic call option using the Finite Difference Method. For example, the FD method for Delta/Gamma is the following one: Now, I am in ...
0
votes
1answer
117 views

Trade anything?

I have a question after reading the post below. https://www.onlinebetting.org.uk/betting-guides/can-you-bet-on-anything-you-want.html Question: I want to bet on a niche topic or asset or anything that ...
0
votes
0answers
29 views

How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
1
vote
1answer
63 views

IV on FOP (futures options) being higher than IV on equivalent ETF

I've been observing that options on /es has a higher IV than the options on SPY even though they're both tracking the S&P 500. What causes this? Doesn't this mean that the options on /es is more ...
0
votes
0answers
18 views

Simulating FX OPTION PRICE for Counterparty credit exposure under SA-CCR

I am looking to generate/simulate the prices for FX option price to calculate the counterparty credit exposure under SA-CCR. However, I have some doubt since I want to use PDE (Black-Scholes model) ...
0
votes
1answer
69 views

Difference of polynomial interpolation for volatility smile

I am using 5 volatility points to build a volatility smile : put 10D, put 25D, ATMF, call 25D and call 10D. I have thus 5 pairs of data : (Delta, Vol) let's say for example (10;5.75) ; (25; 5.50) ; (...
0
votes
0answers
50 views

Risk sensitivities of equity TRS

If we go short on an equity TRS (as in we sell the swap and pay the equity returns). Is it correct to say that we are: -Short spot -Long borrow cost -Long interest rate (the rate benchmark of the ...
4
votes
0answers
92 views

Why exchange basis exist in swaps

For example, swaps traded in CME versus LCH are quoted with slight difference? how do we decide the theoretical boundary of the basis ? what factors need to be consider? I think the principal to ...
0
votes
0answers
27 views

Pricing for CDO tranches

Is it possible to calculate the price of a cdo tranche given the expected loss and probability of default for that tranche
0
votes
1answer
97 views

Question on Ito's lemma involving $\mathrm{d}W(t)$

I am new to Ito-calculus, so please forgive me if the question is stupid. Let $W(t)$ be a Brownian-Motion and $f(W(t))=W(t)^2$. If I want to calculate the differential $\mathrm{d}f(W(t))$, Ito's lemma ...
3
votes
0answers
54 views

BAW with deterministic rate, dividend and volatility term structures

Is anyone aware of a paper or B.Sc/M.Sc. thesis that derives the Barone-Adesi-Whaley approximation for American options with deterministic rate, dividend and volatility term structures? I have googled ...
0
votes
0answers
32 views

event study and Covid-19 using panel data problem

I am doing my master thesis and my subject is how covid-19 has affected the stock market. I have already calculated abnormal returns and CARS using market model and OLS regression for different ...
0
votes
1answer
37 views

Right way to standardize price based features across different stocks for supervised learning

Let's say we have an OHLCV dataset for a universe of stocks. We want to create features based on these price data. Since each stock may have a very different price range from the other if we just take ...
2
votes
1answer
62 views

Can you shift a standard libor market model with regard to only at-the-money options?

Suppose I have an LMM defined using the spot measure as in Brigo and Mercurio: $dF_k(t) = \sigma_k(t)F_k(t)\sum^k_{j=\beta(t)}\frac{\tau_j\rho_{j,k}\sigma_j(t)F_j{t}}{1+\tau_jF_k(t)}dt + \sigma_k(t)...
0
votes
0answers
47 views

larger sample weights for larger absolute returns?

In section 4.6 of Advances in Financial Machine Learning, Lopez de Prado writes In the previous section we learned a method to bootstrap samples closer to IID. In this section we will introduce a ...
0
votes
0answers
65 views

General question regarding delta heding

I was wondering if I have to take the strike prices of options into consideration when doing a gamma and delta hedging. As an example, let's suppose that I have 2 positions: a long position call ...
0
votes
0answers
107 views

Exotics - Combination of different payoffs using Black-Scholes

I'm currently struggling with the derivation of a formula to price the following exotic option with Black-Scholes. The option has the maximum payoff of $(S_T-z)$ and $(y - S_T)$, where $S_T$ is the ...
1
vote
1answer
66 views

How to calculate basic components like trend, momentum, correlation and volatility in Pandas(Python)

I am new to quant. finance and trying to calculate trend, momentum, correlation and ...
0
votes
0answers
46 views

Liquidity risk in Python / R? [closed]

Does someone know a book or site that contains Python or R code for implementation in liquidity risk?
0
votes
0answers
16 views

Where can I find the PEG ratio fo ETFs like \$VOOV or \$VSMAX?

Where can I view the P/E to EPS growth rates for ETFs like the Vanguard VOOV (Value fund) ETFS?
0
votes
0answers
30 views

Weight of asset has to be smaller than b% in the portfolio(Portfolio Optimization)

Given a certain portfolio with y assets, calculate the weight of each asset in the portfolio based on the asset position. The weight for each asset is calculated by (yn is the position of a certain ...
0
votes
0answers
31 views

Algortihm for distributing volume for 1min candle

Context: I have historical 1min prices for stocks, including premarket. However, when importing real-time data, the standard practice in the financial data industry is to give only OHLC (open, high, ...
2
votes
0answers
96 views

Perpetual Option Price under Black Scholes model

Would like to ask you, how would you price an Option which has its starting underlying price S0 = 70 dollars, with no dividends, and that pays 0.5 dollars each time the underlying price hits a barrier ...
-3
votes
0answers
46 views

Why discounted stock price process must be a martingale? [closed]

Could someone explain to me why the stock price process has to be martingale for option pricing? What would happen if we calculate the price of the option in a situation where the process is not ...
0
votes
0answers
23 views

Bond VaR with z-spread

I want to calculate VaR for bonds using historical z-spread changes. I want to apply the changes to the present day z-spread, reprice the bond and obtain the PnLs from which I can calculate VaR. But ...
0
votes
0answers
34 views

zero-beta portfolio $z$ solves optimization problem

Consider a market with $p$ risky assets with expected return $\mu \neq k 1$ and positive definite covariance matrix $C$. Let $z$ be a zero-beta portfolio w.r.t the market portfolio $x_M$. Show that z ...
0
votes
0answers
26 views

Any way to identify optimal lag length for garch model using Python

Is there any python library that automatically calculate p and q for the GARCH model? (for example: auto_arima in pmdarima) since that for both statsmodels and arch library in python needs to manually ...
1
vote
0answers
33 views

Replicating call option in market which only trades stock and forward contracts

I am having a bit of trouble with a problem I've been given. Consider a market which only trades a stock and forward contracts. There's only time 0 and 1. Initial stock price S_0 is 10, the forward ...

15 30 50 per page
1
2 3 4 5
374