Questions tagged [financial-engineering]
The financial-engineering tag has no usage guidance.
22
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Rate Distortion Minimization in a Python Clustering Algorithm
I'm attempting to solve for $\hat{k}$ clusters, such that the rate distortion is minimized, as described here, however, the answers that I am getting from my algorithm are not following the "Jump" ...
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Test for stationarity and make use of non-stationary points in financial market?
I have two questions to ask:
What are the best methods to determine stationarity in a financial market (such as stocks) using MATLAB?
What methods would you recommend to use in order to change from ...
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How to apply a funded equity collar to illiquid stocks?
I investigate a specific case of the funded equity collar [1].
Let's assume that counterparty $A$ already has a stake in share $XYZ$ and wants to get funding out of it from a bank $B$, which does not ...
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Information asymmetry models
I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
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Pre-requisites for Finance Mathematics
I would like to pursue research in the areas of Financial Mathematics. Hoping to look into Operations Research, Risk Management and Stochastic Modeling. Anyone got some suggestions on useful resources ...
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Can I extend the private information model of Kyle in in a continuous analogue, e.g. the Ornstein–Uhlenbeck process?
Taking into account an old post of maths.stackexchange, I recall the following:
On the one hand, we know that the Ornstein–Uhlenbeck process can also be considered as the continuous-time analogue of ...
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121
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Questions on the calculation of time series momentum
I read Moskowitz, Ooi, Pedersen's Time series momentum (2012).
The ex-ante volatility estimate (equation (1) in the paper) is
I am not sure about the period of the return reflected in the volatilty ...
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86
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Mechanism design in continuous time models
I am interested in mechanism design and information design. Is there any part of the literature in financial mathematics that is associated with them. I mean could we bring somehow these topics under ...
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106
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using moment matching to price spread options (multi asset)
this is my very first question in this forum, after having been a greed follower since a few years, feeling that I need your help in a topic.
I need to price a multi asset option that has the ...
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0
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180
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How to Show an Arbitrage Opportunity Exist From a Market-Linked CD?
A bank issues a market-linked CD that guarantees the original principal with an interest at an effective annual rate of 2%, plus 70% of the percentage gain on the ABC Inc. non-dividend-paying stock ...
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Credit default swap replication by corporative bonds
I want to get literature or information related with the topic of CDS replication for those counterparties that do not hold. But that have traded bonds (with different degree of liquidity). What could ...
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Pricing methods in the real world when there is more than one free arbitrage price
Perhaps this question sounds trivial and obvious, but I am starting to study this new field. When we are in a complete market without arbitrage opportunities there is only one risk-neutral martingale ...
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179
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European Call Option Modelling under 2 factor Hull White interest rates
I have modelled the yield curve through the two factor Hull White Model. Now I want to implement in Matlab the price development of a ATM-Call-Option (European).
Has someone an idea how to combine ...
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Can someone suggest some good reads on OAS and Spread Duration?
I have been through the CITI Yield book paper and the OAS by Barclays. Is there is anything else that tackles this topic?
Any help would be much appreciated.
Cheers!
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Why is shorting (oil) futures a bit of a negative gamma trade?
From this article, http://www.zerohedge.com/news/2017-01-22/oil-speculators-have-never-been-long,
"I get what you're saying about the price risk which is always the danger of shorting crude oil it's ...
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120
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Need help understanding basics of cash flow engineering
I'm studying Financial Engineering, a subject I'm completely new to.
I'm using Principles of Financial Engineering 3rd Edition and trying to solve the exercises ...
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Annuities problem
First problem is like this:
loan amount: 20,000,000.00
First six months: There is no payment but there are interest (grace period)
Next six months: payment of 600,000.00
Since 13 month: payment of ...
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Hurst Exponent and Smoothed Hurst Exponent values are the same and incorrect plotting
I'm working on a script to calculate and plot the Hurst Exponent and Smoothed Hurst Exponent for a stock's historical price data using Python. When I run the script, I face two major issues:
The ...
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66
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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 ...
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85
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Brownian Bridge from timestep 1 to timestep @ expiration, proper mathematical way to generate
When I was learning finance, we didn't cover the subject of Brownian Bridges. So I am trying to learn the proper way of generating paths when you have an arithmetic Asian option which has an ...
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Hedging costs and BS-price
I'm looking at the chapter, "The Greek Letters" in Hull's book (Options and derivatives...) and in particular the paragraph "Dynamic Aspects of Delta Hedging". He demonstrates two ...
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Is there a mathematical way of showing the slowing down of economic markets?
I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ...
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