All Questions

-2
votes
2answers
32 views

Search for all bond with particualar fields in bbg terminal [closed]

Is it possible to get list of e.g. bonds from bbg terminal with some particular fields. Example: Can I get list of all bond which has some particular day count convention, some frequency, a long ...
-1
votes
0answers
22 views

Vasicek 2 factors model calibration

I am working on to calibrate two factors Vasicek interest rate model. Can I start by asking a really stupid question? For the stochastic model $dr_t=\kappa(\mu−r_t)dt+\sigma dWP(t)$ with the real ...
3
votes
2answers
84 views

Random Walk with normal increments and n time periods why is the increment $\sqrt{(t/n)}$?

Question is basically in the title. I have found several sources stating that $R_i = \sqrt{\frac{t}{n}}$, but I couldn't find the intuition behind taking the square root. And it seems to be crucial ...
0
votes
0answers
24 views

Data request: Option prices for a liquid index/stock

Currently doing a course project on option pricing as a part of my undergraduate studies. However I cannot find a free dataset $D=[d_1,d_2,...,d_N]$, which would represent a time-serie of daily option ...
-2
votes
1answer
69 views

Is R suited for a Quantitative Finance executable application

I wonder if a R-Shiny application works well for a production environment or the only option is C++. I make this question taking in account that R and C++ have a widely set of quant libraries that ...
2
votes
0answers
23 views

About buying and selling a cumulative parisian options

I ask my question here because I want to know more about the cumulative Parisian options introduced by M. Chesney, Mr. Jeanblanc-Picué and Mr. Yor in 1997, then developed by Hugonnier in 1999 and F. ...
-1
votes
1answer
70 views

How to calculate number of round trips given volatility?

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...
-1
votes
0answers
24 views

Backtesting assumptions and implementation details

I've found several pieces of software that implement backtesting (e.g. Quantopian's ZipLine, various GitHub repositories, etc.) but I've been unable to find any set of backtesting assumptions written ...
1
vote
1answer
27 views

Fama Frech SMB factor and testing for size-effects on the market

I´m currently working on a project where I basically want to compare historically returns between large and small-capitalization stocks in a given time period. I want to approach this problem by ...
0
votes
1answer
68 views

How to calculate annualized simple returns and annualized simple standard deviation given historical daily data

I have daily log returns of my asset that run over several years and I would like to calculate a time series of the Rolling Sharpe Ratio. This Sharpe Ratio asks specifically for: Annualized simple ...
-1
votes
1answer
185 views

Is being a quant as easy to look for high paid jobs as before [closed]

I've heard quants are not as popular as before, due to regulations etc, there's less things to do in terms of maths and algorithms. I wonder if it's true?
0
votes
1answer
36 views

How to find basket of stocks that are the inverse of yet another or ETF (never short)?

Suppose want to long an inverse of an ETF, rather than short the ETF itself. Is there a way to determine some mix of component stocks that would mimic the returns of such an inverse ETF (where also ...
4
votes
1answer
96 views

Compute distribution of a stochastic variable

$sign(x)=1$ if $x\geq0$ $sign(x)=-1$ if $x< 0$ Consider $$ X_t = \int^t_0 sign(W_u)dW_u $$ where $W_t$ is a wiener proces. How can I determine the distribution of $X_t$ and compute $E[\exp(\...
0
votes
2answers
76 views

Integral of Wiener process over time

This should hopefully be an easy question to answer, but I am new to Stochastic Calculus and am gapping as to why the following is true, for a brownian motion $W_t$: $$d(\int W_t dt ) = W_t dt$$ I ...
-1
votes
0answers
18 views

PRIIPS for Category 3 - effect of dividends paid on VEV and scenario calculations

If I use a series of the daily net asset value returns to derive the VEV, corresponding risk class and the unfavourable, moderate and favourable scenarios should I add back all the dividends paid to ...
1
vote
1answer
78 views

What are common risk controls banks use when utilizing Trading Algorithims

Trying to understand what risk controls are used for algorithms that are classified as a) execution algos such as twap, vwap b) market making algos such as auto pricing, inventory management, auto ...
0
votes
1answer
82 views

Why should we use log returns? Log normality

According to this link, there are some reasons we have to use log returns. But I can not understand the first reason provided in the link: First, log-normality: if we assume that prices are ...
-1
votes
0answers
12 views

Find Bloomberg data for FTSE100 and SX5P

I need to compute the relative quoted spread, the daily average of the 5 min RQS and the book depth of FTSE100 and SX5P from January 2008 to November 2018. Could someone explain me the steps I need ...
-1
votes
0answers
37 views

Swaption - underlying forward swap rate

I H. Corb's bookabout interest rate swaps and oder derivatives, the present value of an T into n payer swaption is given via $A\sigma\sqrt{T}\left[\frac{1}{\sqrt{2\pi}}e^{-\frac{d^2}{2}}+d\,\mathcal{...
2
votes
1answer
48 views

Swaption annuity factor

In H. Corb's book about interest rate swaps and oder derivatives, the present value of an T into n payer swaption is given via $A\sigma\sqrt{T}\left[\frac{1}{\sqrt{2\pi}}e^{-\frac{d^2}{2}}+d\,\...
1
vote
0answers
21 views

Johansen Cointegration Test in R

I know its probably been asked bevor but i just don't get it. I have 2 values (Oil and corn price) and i want to check if they are cointegrated. Bevor that, i have tested if they really are non ...
0
votes
0answers
36 views

Valuing stock employee compensation securities

This may be a simple question but I wonder if Im oversimplifying it. I'm trying to decide how to value different Stock Employee compensations and in particular a Stock Appreciation Rights (SAR) Reward....
-1
votes
0answers
16 views

Transform American Future Options to European Forward Options

I am trying to reproduce the results of the paper Bond Variance Risk Premiums. In the online appendix A they noted their metholodology. I have a data set of American future and option prices on these ...
-1
votes
0answers
77 views

AlgoTrading101 course vs Black Algo Trading at Udemy

Is there anyone that had experience with either one of these courses? https://algotrading101.com/ https://www.udemy.com/build-your-trading-robot/ Both course are created by the same person and by ...
2
votes
0answers
30 views

Confused by Solution to the Expected Profit when Hedging an option using Implied Volatility (from Wilmott 2006)

Paul Wilmott on Quantitative Finance 2nd Ed (section 12.5.1) gives a solution to the initial expected profit when hedging using delta based on implied volatility as $$\frac{1}{2}(σ^2 - σ̃^2) \,\int_{...
1
vote
1answer
33 views

Are bitcoin futures daily settled at T+1 or is there another mechanism?

As in the title, are bitcoin futures daily settled at T+1 or is there another mechanism? Both CBOE and CME
2
votes
0answers
130 views

RiskMetrics VAR calculations and conditional distribution of sum of log returns

According to Tsay's book in Chapter 7, for the Risk Metrics model: A nice property of such a special random-walk IGARCH model is that the conditional distribution of a multiperiod return is ...
3
votes
1answer
127 views

Who trades exchange options in practice (Margrabe's formula)?

I'm currently studying the pricing of the exchange option. https://en.wikipedia.org/wiki/Margrabe%27s_formula While I can appreciate the theory, who actually buys these options in practice? Are ...
0
votes
1answer
20 views

Tracking historical short interest

I am looking for a source of historical (more than one year) short interest in a specific equity. NASDAQ provides only one year of short interest history. I am interested in looking back 2 to 3 years. ...
1
vote
0answers
39 views

Black-Scholes to Diffusion Initial Condition

I'm having troubles with the transformation from the Black-Scholes PDE and transforming it to the diffusion equation. I read this other stackexchange post (Here) and I understand most of the process, ...
0
votes
1answer
40 views

Value at Risk Calculation

In historical simulation VaR, if we have stale data for some of our risk factors, which means daily returns on a particular risk factor is 0 on multiple occasions. Is there any way to solve this other ...
0
votes
1answer
51 views

How to match future price from the market with the one computed with a model?

I have a future quoted in the market. Let's say $50 price. The price model of this future is : S * Exp (rate + storage - convenience - yield) How can I be sure that the model gives exactly the ...
1
vote
1answer
33 views

Properties of an itraxx index

I am working on maintaining the market data of itraxx indexes in our systems and I have the following questions. can someone clarify? 1.What events prompt change in series and version of an itraxx ...
0
votes
1answer
35 views

Filter options used in the construction of implied volatility surface

Currently trying to model the IV Surface using the APPL options, to compare how different models of the underlying move the IV Surface. However, after getting the data, I've seen that some option ...
-1
votes
0answers
33 views

bond portfolio calculation

Ok I got this weird question, which for some unknown reason I was surprised to be unable to resolve at all after thorough search ... I got a 10year bond with annual coupon 5% semiannual payment, 91-...
1
vote
1answer
116 views

Crossing the spread as a ML signal

In the optic of high-frequency trading, most of the standard trading algorithms work on the principle of mid-price prediction or mid-price movement prediction. However a big drawback of this technique ...
1
vote
3answers
72 views

How to compute gamma for at-the-money regular calls and puts when they approach expiration to avoid explosion of portfolio's gamma?

When and at-the-money regular call or put approaches expiration, gamma tends to infinity. However, for practical purposes, there is only a finite change in delta. The problem is that if any of the ...
1
vote
0answers
47 views

Yield Curve Trading Strategy Explaining Books

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...
0
votes
1answer
45 views

When a stochastic volatility model is calibrated?

In an Investment Bank, how often a stochastic volatility model is calibrated ? Is it calibrated daily ? Is it calibrated whenever a pricing is required ? Thanks.
1
vote
0answers
30 views

Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
1
vote
0answers
51 views

How to price equity options using a Black76 implied volatility surface?

I would like to calculate the fair value of american and european options on various equities and indices using QuantLib C++. Since I do have discrete dividends available for most underlyings, I use <...
1
vote
5answers
498 views

What actually drives a stock price up ou down?

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ...
1
vote
0answers
37 views

Interpretation of Market Price of Volatility Risk

In option pricing with market model equipped with stochastic volatility, there are numerous times mentioning "market price of volatility risk" without even define or give any explanation regarding the ...
-1
votes
0answers
32 views

Historical prices and fundamentals for US market with the right to re-publish

I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...
0
votes
0answers
40 views

Bulk Volume Classification Algorithm

I'm thinking of implementing the Bulk Volume Classification algorithm on my data of hourly OHLC bars and associated volume, but my sense of it is that hourly granularity is insufficient and that ...
2
votes
0answers
46 views

Vasicek model: joint simulation with discount factor

In Vasicek model, we have the following relation to get Discount factors given the value of short rate: $$P(t\,,T)={{e}^{A(t,T)\,-\,B(t,T){{r}_{t}}\,}}$$ So, Discount factors are known as soon as we ...
0
votes
1answer
65 views

VXX Put pricing

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....
0
votes
1answer
52 views

Bond is maturing in 10.25 years, YTM calculation

Bond is maturing in 10.25 years and has an annual coupon rate 4.15% paid semiannually and price 92-12+ I need to calculate yield to maturity Ok so I know that 92-12+ is basically 92 + 12/32 + 1/64 =...
1
vote
0answers
22 views

A hitting time of an open set for a càdlàg process is a stopping time

In Protter Stochastic Integration and Differential Equations, Springer (2003), the following definition is given: Definition. Let $X$ be a stochastic process and let $\Delta$ be a Borel set in $\...
3
votes
0answers
80 views

How to justify the martingale condition

By Radon-Nikodym theorem, the conditional expectation of $X$ with respect to a $\sigma$-algebra $\mathscr F$ is a nonnegative random variable denoted by $\def\E{\mathbf E}\E(X\mid \mathscr F)$, such ...

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