# All Questions

12,688 questions
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### Where can I get the actual info about how many stocks are there in markets all over the world?

I need to test an algorithm for large-scale data in stocks market. I wanna know how many stocks are there all over the world and the data source.
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### Term structure equation in the Vasicek model

Consider the SDE $$dr_t = (b-ar_t)dt +\sigma dW_t, \text{with } a; b > 0.$$ Let $$F(t; r) = E(\exp(-\int_{t}^{T}r_sds)| r_t = r).$$ (F can be interpreted as price of a zero coupon bond with ...
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### Pension funds co-investing with private equity?

Not a quant question, but not suited for Money stack exchange... I've heard rumblings of a trend of pension funds co-investing with private equity and was curious as to the reasoning of that strategy ...
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### Valuation of Callable Bonds

Is there any way to price American Callable Bonds (those which can be called on any date before expiration) other than basic CRR interest rate trees, since they won't be accurate enough to give ...
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### Convexity in interest rate curve bootstrapping

Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
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### In a multi-curve context which numéraire is used to change to the payment probability of a forward asset X paid at time T?

Should it be the coupon associated to the funding curve of the asset? Thanks.
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### Crank–Nicolson for Discrete Type Barrier: Backward propagation

The boundary conditions for Discrete Type Barrier (e.g. Up-and-Out) are: - Dirichelet boundary condition (set to 0 when spot is bigger than Barrier) on Barrier event dates - Otherwise (the other sides ...
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### Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
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### Gatheral's SVI implementation in Java/Scala

I am trying to fit equity option implied vols using SVI model in Java, and I am using apache math commons library. Some of the option expiries fit very well, but others are completely off, and I am ...
555 views

### List of interesting Quantitative Finance podcasts

Which podcasts are interesting to listen too for quants? If you recommend one, why?
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### Risk-factors and autocorrelation

I wonder in how far risk-factors and autocorrelation are related. Detected autocorrelation in stock returns is often discarded as not being profitable and thus not impacted market efficiency. ...
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### Does adverse-selection have a time-frame associated with it?

When my limit order gets filled, the price almost always moves against me due to adverse-selection. However, given 'enough' time the price may yet move back in my favour. Has there been any study ...
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### Efficient market hypothesis vs random walk

I am having trouble to understand the distinction between the EMH and random walks. If I understand correctly, the EMH states that all available information is incorporated into prices, which ...
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### A crash course in pricing

I need to refresh all the pricing theory. Is there anything like a crash course with practical and intuitive explanations? I will provide any further information. I am a mathematical engineer. I am ...
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### Fast implied volatility for american options

Peter Jäckel has developped a method to compute implied volatilites from option prices, called "by implication", see the papers : By Implication Let's be Rational on its website -- as well as a ...
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### Anyone know a GJR-GARCH-MIDAS Multivariate

I'am trying to run a model like mfGARCH package but with multivariate, not univariate like mfGARCH does.
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### What are the main problems for calculating the implied volatility of in the money American put options?

As stated in the question I have a problem with calculating the implied volatility for in the money put options I have a data set of 2.6 million American style plain-vanilla call and put options. For ...
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### When to use which zero curves

I have a very basic question. Why are there many different zero curves for a given currency/market? For example, there are zero curves constructed using gov bonds, swaps, STIR futures, OIS, Inflation, ...
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### How can stationary time series data be used as input in an ML model?

I am halfway through "Advances in Financial Machine Learning" by Marcos Lopez de Prado. I understand that a time series like stock prices can be transformed to make it sufficiently stationary. ...
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### How does one introdce originality in a master's thesis in quantitative finance?

I wish to write my thesis in quantitative finance, but as I understand it, a thesis needs to have some sort of originality to it. You can't just take some theory written by others and just rehash it ...
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### Testing pricing errors on the SML for significance with R

I have been attempting to do a cross-sectional test of the CAPM. To do this, i have estimated the betas of 49 industry portfolios with time -series data. And then done a cross sectional regression, ...
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### How to programmatically define financial leverage?

Financial leverage could be easily described as the tool that allows traders to multiply returns at the cost of multiplying also the risk involved in every trade. So, for instance, if a stock today ...
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### Is there an asset pricing model that actually works? Can you point me to research that test APMs?

As far as I know there is no APM that is able to explain all stock market anomalies. However, my search for papers empirically test a set of widely accepted APMs was not very successful. I would like ...
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### How to use both yield curve and discount curve to value call in QuantLib

I'm new to QuantLib, and I'm trying value a simple European call. QuantLib's Black-Scholes-Merton Process makes sense to me, but I don't know how to incorporate a discount curve into it. Please see ...
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### How to properly hedge a short vol taking into account hedge stop loss?

Suppose a short straddle. In practice, hedging with long/short futures exposes to the risk of hitting a stop loss when market movements are wide. Eventually, it may very well happen that the hedge ...