# Questions tagged [finance]

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### Convergence of Spot and Futures prices

Any explanation I've found explaining why future and spot prices converge over time seem to only focus the explanation on why the spot and future price must be equal at maturity. I understand that if ...
357 views

### What is the stambaugh bias? Why is it important for predictability regressions?

What is the Stambaugh bias? Why is it important for predictability regressions? Can anyone explain it in simple terms?
607 views

### Finding arbitrage opportunity

Find an arbitrage opportunity in this market. Can anyone explain how to mathematically solve this exercise with for example solving a system of linear equations?
782 views

### Covariance between two stocks in a two-factor model

I am studying the Arbitrage Pricing Theory using Pairs Trading: Quantitative Methods and Analysis.In page 44 the author gives an example on how to calculate the covariance between two stocks. I will ...
3k views

### How do banks actually make money on mortgages [closed]

This is a bit of a subjective question and relates primarily to the UK market There are a number of banks who are lending at BOE + 1.49% (ie: 1.99 %) whilst at the same time accepting deposits paying ...
892 views

### What is time-varying risk premium? Forecasting stock returns

I am trying to understand the concept 'Time-varying aggregate risk premium'. Here is an extract from a Forecasting book, written by Rapach and Zhou, "However, rational asset pricing theory posits ...
331 views

### Closed form solution of PDE of Option Price

Let $V=V(S_t,t)$ be the option price and \begin{align} V_t+\mu\,S\,V_S+\frac{1}{2}\sigma^2\,S^2\,V_{SS}=0\\ V(S_T,T)=\ln (S_T)^{2}. \end{align} My question: How can I obtain a closed form solution of ...
88 views

### Barrier Option from binomial tree

What is the smallest information structure that is required for using the binomial tree to calculate the price of a barrier (up-and-in) option? My gut feeling is any node below the node that reaches ...
425 views

### Struggling with tau in Black-Litterman

According to the omega formula in B-L tau is used in the Omega estimation to determine the degree of uncertainty given to views of the investor: So, if tau is given a low value then the inverse of ...
384 views

46 views

### Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
150 views

### How to simulate stock price with support and resistance level

I couldn't find good resources on how to simulate a stock price data sequence including some basic effects. The basis might be a Brownian motion model; but in real stock prices, there are additional ...
75 views

### What are your list of concept or model in standard textbooks that are always reliable to used in working?

What are your list of concept or model in standard textbooks that are always reliable to used in working? As opposed back to this: What concepts are the most dangerous ones in quantitative finance ...
2k views

### How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...