All Questions

3
votes
0answers
21 views

How to perform Shanken (1992) correction for errors-in-variables issue?

I have two questions pertaining to the Shanken correction: The formula of Shanken correction shown in the Cochrane (2001) Asset Pricing book is as follow: $$\sigma^2(\hat{\lambda}_{OLS})=1/T[(\beta^{...
1
vote
0answers
17 views

Extract historic share prices for certain securities at certain points in time with Bloomberg Excel Add-in? [closed]

In order to create some sort of basic framework for everything we are planning on doing in a research project, we would need to get historic intraday data about share prices at certain points in time. ...
4
votes
1answer
79 views

What is the purest way to get exposure to Jump risk premia, is there a jump swap

So to get exposure to Variance risk premia one could use variance swaps, is there a equivalent security for jumps. Hedging against jump but not diffusion risk could allow one to take targeted exposure ...
1
vote
0answers
44 views

Deliver Futures before last trading day

I found that for the exchange traded Futures, we can deliver the Futures before the last trading day, namely you can sell a Future then deliver it immediately, which definitely has a arbitrage ...
1
vote
1answer
49 views

How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
2
votes
0answers
87 views

What are some unanswered questions or unexplored areas in financial mathematics? [closed]

EDIT: Specifically Ito/Stochastic calculus or alternatives to the Wiener process framework itself. Context: This might or might not matter, but I am currently pursuing my MSc in Financial Mathematics....
0
votes
0answers
16 views

Which formula may be used to calculate the ROI of an investment from its cash flow? [closed]

I'm kindly ask for your forbearance since I'm not an english native speaker and my accountability experience is minimal (I've studied some exam at the university 10 years ago). It's also my first ...
-1
votes
0answers
47 views

Indicator of over and undervalued price stock [closed]

I know that dilution might be a good way to see if a stock price is overvalued. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in ...
1
vote
0answers
17 views

Historical options data for FX/FI

I know that my question is quite large and that quite a lot of questions already deal with the options data. However most of questions deal with options on American equity markets. Could you ...
1
vote
0answers
29 views

How can we value NPV for a standard FX Swap?

hope you are all well! Was just wondering how we can value the NPV on the value date for a FX swap - i'm sure it's by evaluating the interest rate payable/receivable from the trade date until the ...
0
votes
1answer
59 views

Reference material (EV/ betting game questions) for Quant Hedge Funds Interviews [on hold]

I need material to practice EV games questions.But I lack practice in betting questions where a set-up of a game is given and one has to respond to the best strategy or best bet to take. A good book ...
1
vote
0answers
23 views

Statistical procedures on comparing the four Asset pricing models [closed]

I'm a business student and currently writing my thesis on comparing asset pricing models on industry portfolio returns. Being a business student, I lack the knowledge for statistical analysis ; so I ...
0
votes
1answer
62 views

Difference between timing option, end of month option and wild card option of bond futures

I cannot understand the difference between timing option, end of month option and wild card option of bond futures. i think they are all timing options which is optimal delivery. Only difference is ...
1
vote
2answers
74 views

Is it possible to model path-dependent clauses using finite difference methods?

I'm trying to build a convertible bond pricer. In my case a convertible bond is a complex derivative with call, put and conversion price reset clauses, and all of the clauses are triggered in a path-...
2
votes
2answers
48 views

American Option Exercise

Suppose I am a market maker in American options. At end of day I have positions in various options but my portfolio is overall hedged. Now, after the market close, someone decides to exercise an ITM ...
0
votes
0answers
27 views

Bond pricing simulation [closed]

For a simulation problem I need data on outstanding domestic bonds in the US market. What's an efficient way to gather that info? Just copy-paste it from Bloomberg? Can I export it somehow?
0
votes
2answers
99 views

What is the price of the European option with the payoff of $\max(S^a-K,0)$?

I interpret such an option as a power option but I do not find any literatures or existing methods to price it. Can it be priced with Black-Scholes with simple changes?
3
votes
0answers
49 views

Two barrier options puzzle

I come across an interesting question about barrier option as shown below. Two barrier options are given with the same parameters including the barrier level. The first one is knocked out when it ...
5
votes
2answers
108 views

Importance of filtrations that are NOT natural filtrations

I know the natural filtration intuitively represents the history of the process as the process evolves over time, and hence can be used to talk about conditional probabilities and conditional ...
1
vote
1answer
79 views

Objective function: as close to equal weight as possible

I am having trouble coming up with a function to optimize the weights to be as equal as possible. It is a long-short portfolio with 6 positions weights is a cvx variable: [long, long, short, short, ...
0
votes
1answer
42 views

Simulating stock prices with and without intermediate paths

So I am simulating stock prices with what I believe to be geometric Brownian motion using parameters from the usual Black-Scholes framework (Please correct me if I am wrong) with the following formula:...
1
vote
1answer
33 views

CDF&density of stock price modeled by standard brownian motion

Assume that the price of the stock follows the model $S(t) = S(0) exp ( mt − ((σ^2)/2 ) t + σW(t) )$ , (1) where W(t) is a standard Brownian motion; σ > 0, S(0) > 0, m are some constants. Derive the ...
0
votes
1answer
67 views

How equity dilution could be profitable for short sellers?

I am trying to understand the concept of dilution. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in the ownership percentage of ...
1
vote
0answers
28 views

Is every filtration a natural filtration of some stochastic process?

We have a notion of natural filtrations, which intuitively represents the history of the process as the process evolves over time. We also have a notion of filtrations in general, which are ...
0
votes
0answers
45 views

Get data from Yahoo or google finance

I want to get all data symbols belong to TSX (Toronto Stock Exchange) I have all symbols, but sometimes some symbols do not exist in yahoo finance. Is there any special package for my goal? I use ...
0
votes
1answer
30 views

Expectation and variance of standard brownian motion

Assuming that the price of the stock follows the model $ S(t) = S(0) exp ( mt − (σ^2/ 2) t + σW(t) ) , $ where W(t) is a standard Brownian motion; σ > 0, S(0) > 0, m are some ...
0
votes
0answers
22 views

city level data in bloomberg

Does bloomberg terminal provide economic information on the city level such as GDP, etc for countries other than us? If yes, just can I use the GDP function or there are other available functions? ...
0
votes
1answer
34 views

Portfolio Risk-Return

I have a question on risk-return portfolios. How do I go about calculating up to 200 opportunity sets by varying the weights of three assets for each portfolio $w_1$,$w_2$ and $w_3$ given: Mean ...
9
votes
2answers
123 views

Permanent or long-term (months) market impact of large trades in stocks / equities

I need an estimate of the "permanent" long-term price impact of large institutional trades. When an investor makes a large trade, there will be a price impact due to the trade. Institutional ...
1
vote
0answers
37 views

How to solve for K when setting the differential of a vega option with respect to K equal to 0?

The question is as follows: Let $v = S_0 \phi(d_1)\sqrt{T}$. Solve the following equation for $K$. $$ \frac{\partial v}{\partial K} = 0 $$ By finding $\frac{\partial v}{\partial d_1}$ and $\frac{\...
1
vote
0answers
79 views

Spot trading: exact mathematical definition of the positions for a portfolio

Let us say that I want to spot trade a portfolio constituted of a pair of two stocks of respective prices (for example in USD) $S^1_t$ and $S^2_t$, and suppose for example that they co-integrate ...
3
votes
2answers
154 views

Replicating the square of an option $C^2 (S,K,t,T)$

Given a vanilla options market, i.e. $C(S,K,t, T)$ for all strikes $K$, is it possible to replicate $C^2 (S,K,t,T)$? So I am looking for a self-financing portfolio which has a price equal to $C^2(S,K,...
0
votes
0answers
30 views

Calculating the interest portion of a loan between two dates

The IPMT function in Excel calculates the interest portion of a loan between 2 dates. Is this a closed loop formula? Or are the payments projected and the interest summed up? I need to implement ...
-1
votes
0answers
20 views

Require a Paper Trading Platform API for Indian Stock Market

My objective is to integrate paper trading on my website. But i need an API to do the same for me. I am ready to pay for the API too. Also, it should be Indian Stock Market Data.
1
vote
1answer
54 views

Return On a Spread

This is a beginner level question. I have a $spread = aluminium - 0.7*lead $ $s = a - 0.7*l$ I have two methods to calculate return on this spread: $ return = (s_t - s_{t-1})/(a_t + 0.7*l_t) $ ...
2
votes
1answer
52 views

If S(t) is geometric Brownian motion, what is the distribution of S(t+h)-S(t)?

Suppose we have a geometric Brownian $S(t)$ which follows a lognormal process. Say $$ \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \end{equation} $$ My question is what is the distribution of $...
0
votes
0answers
32 views

Forward rate versus 10 year constant maturity swap

In Yield Book, the cashflows are projected using the current coupon + a spread on the 10 year constant maturity swap How is this 10 year constant maturity swap different from the forward rate curve? ...
0
votes
1answer
35 views

What's the difference between the short rate model projection and the 3M forward curve?

A term structure has a forward curve So what is it that the short rate model is projecting exactly? Why is it needed? How are they different?
0
votes
1answer
49 views

How to calculate the daily rate of return for an actively traded account

I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
0
votes
1answer
38 views

Option pricing models relation between theoretical and actual price

I have trying to figure out the relationship between theoretical option price and actual market price spotted from market which is determined by supply and demand. I yet cannot understand how to ...
0
votes
2answers
65 views

Value-at-Risk theory papers

I am looking for some papers related to the value-at-risk theory. I would like to focus on mathematical aspects of VaR. I would like to read something about modern approaches to VaR (maybe using ...
2
votes
0answers
76 views

Fitting Gatheral's SVI model

I was considering using Gatheral's formula for fitting option skew. In the specific (commodity) market that I am concerned with, the underlying is ca. at 50, and typically 5 integer strikes left and ...
1
vote
0answers
28 views

Probit and Fama-Macbeth procedure

I want to examine the predictive ability of volatility measures for returns prediction. One article used probit regression coefficient estimates to calculate Fama-Macbeth coefficient. I am so confused ...
0
votes
0answers
20 views

QuantLib - Discreet Dividend Binomial Two Rate Option Implementation

Can anyone point me in the direction of an implementation example in python of a two rate, discreet dividend binomial option model?
1
vote
2answers
86 views

How to numerically simulate exponential stochastic integral

For example given an integral $$ \int^t_0 \exp(aW(t'))\,dt', t\in\mathbb R_+ $$ where $W(t')$ is a standard Wiener process. I've been very confused about stochastic integrals like $\int^t_0 W(t')\,...
2
votes
1answer
183 views

LSV model calibration with only few quotes per maturity

At this link I have asked what is the market standard when pricing options in different asset classes. Based on the answers, the standard for FX and equities seems to be the local-stochastic ...
1
vote
1answer
35 views

Should one calculate CVA even when exposure is negative?

I have an example, where two companies have the bilateral nature of derivative contract. Companies have exchanged collateral a number of times, so at a certain point in time each sides holds some ...
3
votes
0answers
72 views

Uniqueness of the Hedging strategy

I am currently reading the book "Nonlinear Option Pricing" by Julien Guyon. In the book they defined an attainable payoff $F_T$ as a $\mathcal{F}_T$ measurable random variable for which there exists ...
3
votes
0answers
58 views

Why can the t-bill rate forecast stock returns?

The tbill rate is used as a predictor of the equity premium in a number of papers. Whilst there is not a general consensus about whether it is a significant predictor, it is still widely used. I ...
1
vote
3answers
135 views

What does Volatility Smile tell? [on hold]

Could you please share your opinions about Volatility Smile? What does it tell us when it gets more convex or when its level changes over time or any other change on it. Any paper/work/blog ...

15 30 50 per page