Questions tagged [finance]

Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.

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

What are credits for incoming risk rate and outgoing risk rate? [closed]

I am currently working on admin panel for PSP and writing helper texts for users. Can smne explain me what credits or/and requirements can be for incoming risk rate and outgoing risk rate so I could ...
0
votes
0answers
48 views

Is there a financial instrument that is exposed to the change in growth of an asset over time?

Is there a financial instrument that is exposed to the rate of change of the value of a specific asset? If I believe a stock price will continue to grow in the future, but grow more slowly than in the ...
0
votes
0answers
50 views

Help interpret an event study methodology used in a famous research paper

I wonder if someone out there familiar with reading research articles, especially finance research can help me interpret which event study methodology the author uses in her famous research article. ...
0
votes
0answers
48 views

Correlated Geometric Brownian Motion - Drift rate for different stocks from different countries

I am valuing a structured product where the payout function depends on the paths of two assets. The key in my valuation is to use Monte Carlo simulations of a payout function tied to a geometric ...
0
votes
0answers
71 views

How do you do a geometric average if the numbers are unequally weighted?

If you have an investment of 54 months with the following returns, year 1 = 15% year 2 = -12% year 3 = 14% year 4 = 21% last 6 months / year 4.5 = 8%, what is the ...
0
votes
0answers
64 views

Forward Looking vs Backward Looking Returns for Forecasting

I have a general question about the best way to setup returns for a forecasting problem. Most of the time I see issue of studying returns carried out with the following formula: $ r_{t, k} = \frac{r_{...
0
votes
0answers
41 views

Difference between number of stocks and number of bonds: Predictable vs adapted

Let $\nu_k$ and $\eta_k$ denote the number of stocks and number of bonds in the portfolio. According to Schweizer, we need $\nu_k$ to be predictable and $\eta_k$ to be adapted. In the text, the ...
1
vote
0answers
69 views

Change of Numeraire technique (Cross-currency models)

Hey I have problem with understanding change of numeraire technique. For example we have $dr^d(t)=\kappa_1(\theta_1(t)-r^d(t))dt+\sigma_1 dW_1$ (under measure $Q^1$ associated with domestic bank ...
0
votes
0answers
34 views

Instantaneous correlations in multi-currency G2++ model

Hey in "Interest Rate Models - Theory and Practice With Smile, Inflation and Credit" by Damiano Brigo, Fabio Mercurio we have dynamics for two interest rates and FX rate between them: $$r_1(...
0
votes
0answers
21 views

How to calculate increases in equity of a valuing asset

I would like to know how to calculate equity of an owned asset. My problem specifically is that I own a BTC wallet and have some family members contributing to that wallet as well. Having person A B ...
0
votes
1answer
87 views

Intuition behind reasoning around interests-in-advance

I quote Life Insurance Mathematics (Gerber, 1997). Let $i$ be an annual effective interest rate and $d$ an annual effective discount rate. In case of interests-in-advance, a person investing an ...
0
votes
1answer
161 views

Game theory and stochastic calculus

Does anybody know any details of game theory literature combined with stochastic calculus in finance? If yes, please recommend some papers of any authors who are doing exceptional work on the filed. ...
0
votes
1answer
152 views

Why we should use log(1+Age) rather than log(Age)?

Normally, when calculating the firms age in finance, I saw that people usually use firm age= log(1+age). Apart from the reason documented by Loderer, 2009 that we avoid the age of zero that log(0) ...
0
votes
0answers
36 views

How can I calculate the annual Standard Deviation for Sharpe Ratio of Daily Portfolio Returns?

I'm somewhat confused with regards to calculating the annual standard deviation and Sharpe ratio for my portfolio of daily returns. I have daily data ranging from 1960-2020 and use Excel to make some ...
-3
votes
1answer
178 views

How to calculate the BHAR (Buy-and-Hold Abnormal Returns)?

I am doing my research related to IPOs long term performance. For the BHAR formula, I just want to clarify the formula is that always compare with the first trading day price, or is compared with last ...
0
votes
0answers
61 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
vote
2answers
101 views

Validation of XVA models

Hey what is the validation of XVA models (CVA, FVA etc)? As we know XVA calculation is rather complex problem (simulation, Valuation, aggregation) so what steps should be taken to check if the model ...
0
votes
0answers
15 views

Factor Loading Precision/Details in Fama-French 3 Factors Model

I have a few questions regarding details about FF3F model. In the equation like following, $$ E(R_P)-r_f = \alpha +\beta_M[E(R_M)-r_f] + \beta_SSMB + \beta_V HML $$ Are SMB and HML factors are ...
1
vote
0answers
54 views

Does change of futures price influence spot price to change as well?

There is no problem in understanding how the changes in spot price can cause the future price to change. For example, if we have a big changes in supply and demand (e.g. war breakout, unexpected heavy ...
2
votes
0answers
54 views

A question in information strucutres and probability measures - How are they connected?

Suppose that $\mathcal{I}=(X,\sigma^{\mathcal{X}},\mu)$ is an information strucutre, which is a probability space, where $X=X^1\times X^2$ is the cartesian product of the individual finite sets of ...
0
votes
0answers
80 views

Matrix with two columns - ESG Momentum Strategy

Background: I am conducting some research on equity returns on portfolios sorted on ESG Scores from Asset4. Specifically, I am trying to test if trading on long-short ESG momentum portfolios yields ...
0
votes
1answer
65 views

Calculation of Fama-French risk factors

Background: I am conducting some research on equity returns across Denmark, Finland, Norway and Sweden. The analysis is seen from a Danish investor’s point of view, and therefore I have currency ...
-1
votes
1answer
78 views

CURRENCY ADJUSTED RETURNS: How to adjust stock returns in foreign currency (e.g., EUR) to local currency (USD)?

I have collected monthly stock returns (in %) denominated in EUR and exchange rate EUR/USD. I am trying to adjust the monthly stock returns denominated in EUR to monthly stock returns denominated in ...
0
votes
1answer
77 views

Simple three-pair triangulation question

I have a question I came across whilst self-studying and I need to use cross-currency triangulation. I am not too sure how to apply the cross-rate formula, and was hoping someone could show me how to ...
0
votes
0answers
23 views

Creating Dataframe of stock fundamentals from list of tickers

I have obtained a list of tickers of stocks in the S&P 500 using the following code (I've got this information from a table on Wikipedia): ...
0
votes
0answers
36 views

How could a group investors artificially lower the price of a stock

It's well known that a group of "large" investors can raise the price of a stock with "small" marketcap simply by buying up and holding as many units of it as they can. This ...
0
votes
1answer
86 views

Compounding negative returns?

Assume you're short AAPL. Say you sold short at 24.28 as of 2016-01-01 and cover 2021-09-13 on 149.74. So your return is (24.28-149.74)/24.28 or -517%. If you get the daily returns of AAPL and just ...
0
votes
1answer
70 views

Reference for path dependent options

I want to study path dependent options for which I am following the book Paul Wilmott on Quantitative finance.But here I dont find the detailed explanations or derivations for the various PDEs .So is ...
0
votes
1answer
68 views

Difference in pricing of American call and put

In Paul Wilmotts quantitative finance books he says that the the value of an American option satisfies the following $$ \frac{\partial V}{\partial t}+\frac{1}{2}\sigma^2S^2 \frac{\partial^2V}{\partial ...
3
votes
0answers
72 views

Independent variable in pricing of strongly path dependent options

I am reading Paul Wilmott on quantatative finance where he discuss the pricing of strongly path dependent options.The payoff at expiry T depends on the path taken by the asset in the sense that it ...
1
vote
1answer
132 views

Pricing a Forward Rate Agreement using QuantLib Python

Can someone please help with the pricing of the following forward rate agreement using QuantLib Python? A 3x6 forward rate agreement, with a notional of $100,000, the FRA rate being 6%, The FRA ...
0
votes
1answer
49 views

Computing the denominator of diluted earnings per share

I'm practicing for CFA level 1, and I faced this question. I don't understand the last part (802 − 481 = 321) because I understand that a company doesn't realize options of its own shares, if you are ...
0
votes
0answers
22 views

Interpreting flows divided by AUM

For a panel regression of some public fund flows, I have standardized the net flows by dividing flows at month $t$ by $AUM_{t-1}$. This puts the flows into perspective, but I feel that this kind of ...
0
votes
0answers
22 views

Incorporate Transaction Date to Price Fixed Rate Bond using Quantlib Python

I am trying to use QuantLib Python to price a fixed rate bond, based on the following data: Issue date is 28 September 2017 (issueDate), maturity date is 28 ...
0
votes
0answers
26 views

Broker limit for limit orders simultaneously outstanding

if my buying power is 100k, is there a way to have 200 different limit orders, 1k each? In practice only one or two orders will be filled, but I can not tell which one and IBKR will not let me have ...
2
votes
0answers
38 views

Equivalence of expectation condition for contingent claims attainable and contingent claims super replicable

We have the following definitions for set of contingent claims attainable and contingent claims super replicable I want to prove the following result How do I show iii $\implies $ ii.I understand ...
2
votes
1answer
169 views

No free Lunch and weak-star topology

The no free lunch is stated as follows What is the significance of the weak-star topology here .Also as far as I understand the weak-star topology is defined on the dual of a Banach space.So what is ...
0
votes
1answer
91 views

Specify fixing days for floating leg in Interest Rate Swap valuation using QuantLib Python

I am trying to price an Interest Rate Swap using QuantLib Python, and everything seems to be fine. However, I can't seem to understand where I can specify the number of fixing days. Below are my codes....
1
vote
1answer
91 views

Hypothesis testing book

I am looking for a book that is focused on hypothesis testing. I read "Hypothesis Testing: An Intuitive Guide for Making Data Driven" by Jim Frost and I'm looking for similar book which is ...
0
votes
1answer
88 views

Explanation for Different Piecewise Yield Term Structures from QuantLib Python

I am new to QuantLib on Python, but as far as I understand, there are different types of piecewise yield term structures which exist on QuantLib which are bootstrapped on a number of interest rate ...
0
votes
1answer
114 views

Zero Rates for Deposits using Quantlib Python

I have used QuantLib Python to construct a zero curve from deposits and bonds. Below are my codes: ...
1
vote
0answers
52 views

How to annualize kurtosis of returns (in simple terms)?

I'm confused by this post on how to annualize kurtosis. I don't understand how to apply it to annualize the kurtosis for my data. In other words, if I evaluated the kurtosis of, say, monthly returns (...
9
votes
2answers
544 views

Risk Model Validation

I have such a general question regarding risk model validation. Which tools are most often used for validation and how does the process work? Could you recommend any books that focus on this topic?
0
votes
0answers
74 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 ...
1
vote
1answer
128 views

Fat tailed can be estimated through a t-distributions?

I have a simple question that makes me doubt a bit. In a multiple choise exam I ecountered this question: "if the stocks returns are not normally distributed, the fat tail effect can be estimated ...
3
votes
2answers
710 views

Where can I find detailed information of famous quant companies such as Renaissance Technologies?

I am doing a report about famous quant companies such as Renaissance Technologies. Where can I find information such as ranking of these companies and their fund's rate of return.
0
votes
0answers
92 views

Quantitative interview questions - fixed income [duplicate]

I will pass a quant interview (fixed income). The interviewer said the questions do not have a right answer, they are not math exercises. He said the questions are like their job,the objective is to ...
0
votes
0answers
26 views

Finding historical data

I need T-bill rates in order to use it as risk-free asset from Jan,2003 t0 today.(monthly data) I don't know how to find it. Can you please suggest your idea about how to find it?
-4
votes
1answer
73 views

Sharpe Ratio of a Long-Short Portfolio

I have a portfolio High and Low (according to the highest profit). From this I have formed my long short portfolio and calculated my Sharpe Ratio. How to interpret this correctly? Does a positive ...
0
votes
1answer
61 views

Is Fungibility Dynamic or Static

I'm trying to work out if fungibility of financial assets / instruments is dynamic (i.e. it can be applied to a subset of the asset or instrument's properties) or is it static (i.e. it can only be ...

1
2 3 4 5
14