# All Questions

12,138 questions
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### Is there a way to pull SPX index option open interest daily data?

Currently I just use Bloomberg API in Excel for preliminary data analysis and manipulation, and I have one function call that gives me the ticker and IV today ...
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### Calculate the True daily Time Weighted Return

I have an access database with records of securities in my portfolio as well as my trades for each security. My aim is to calculate the "Daily Time Weighted Return" then down the line, export it and ...
38 views

### Why currencies and futures contracts can be considered as assets with known yields?

I understand why stock index can be considered as assets with known yields due to the dividends. But why currencies and futures contracts can also be considered as assets with known yields? In the ...
89 views

### Binomial Trees vs FDM

Binomial trees as the number of time steps is increased (or equivalently as the time step tends to 0), converge to the exact value for an option. So why do people use FDM for pricing options (for ...
116 views

### The VaR of a portfolio with Student t returns

A portfolio consists of 300 stocks,150 of A and 150 of B, their annualized covariance matrix is as following: $\begin{pmatrix} 0.09 & 0.018\\ 0.018 & 0.04 \end{pmatrix}$ Thoese two stocks ...
73 views

### Finding Lead-Lag Relationship [duplicate]

Given two series of data, volatility and returns, is there a way (Excel) of finding which one is the leading factor and lagging factor? Thank you for your help.
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### SABR Question: Why does the market take the beta parameter as a constant?

SABR Question Why does the market take the $\beta$ parameter as a "constant"? I see most brokers quoting SABR parameters nowadays. I've seen many banks use $\beta$=0.5 as a rule. I've seen quants ...
107 views

### Hidden Markov Models for Higher frequency trading

I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
56 views

### Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)

I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, ...
64 views

### Asset pricing and dividend discount model

I want to derive the dividend discount model from the asset pricing formula described in "Efficient Capital Markets: A Review of Theory and Empirical Work" by Eugene Fama 1970. The formula that I am ...
37 views

### Effective Annual Interest Rate (EAIR) in a 12-month loan [closed]

A \$980 loan is paid over 12 months in 12 equal payments of$90 each. What is the loan's EAIR? 980/12=81.666…. (monthly principal payment) 90-81.6666….=8.3333….. (monthly interest payment) ...
130 views

### What is the second derivative with respect to price of a put option? [closed]

What is the reasoning/meaning behind the second derivative of a put option
39 views

### What is the true “value” process of American derivatives?

Consider a continuous-time market where LOOP (law of one price) holds. The first fundamental theorem of asset pricing states explicitly that in the absence of arbitrage, the risk-neutral measure ...
139 views

### Risk neutral modelling of a stock

Suppose a stock $S$ follows $$dS(t) = \alpha(t)S(t)dt + \sigma(t)S(t)dW(t),$$ where $W(t)$ is a Brownian motion under $P$. Also suppose there is a short rate process $r(t)$. My question would be is ...
205 views

### Sticky Strike or Sticky Delta

Given market tick data for a single tenor for a futures and a set of options on the futures, how can I say if the IVs in the market at this point is sticky strike or sticky delta? I was trying to ...
144 views

### Fitting Function for Skew

I am faced with having to fit skew/smile to option quotes with different strike and same maturity. In order to keep things reasonably simple and to avoid potential artifacts from fitting higher order ...
44 views

### Why can only non-dividend paying assets serve as numeraire?

In Kerry Back, A Course in Derivative Securities, Sect. 1.4 (page 29), the author stated the FTAP in the following form (in boldface): If there are no arbitrage opportunities, then for each (non-...
149 views

### Are there recommended books/readings for advanced option pricing

I am learning option pricing and derivative markets this year in class. I have had some background on stochastic calculus so it was relatively manageable for me to write vanilla and American option ...
56 views

### portfolio information ratio calculation on daily returns including hedged strategy results interpretation

I am tasked with calculating the portfolio information ratio on ~15 years of daily portfolio returns and I am finding several approaches online which is quite confusing. The first approach simply ...
57 views

### Can the value of a swaption at any time become more negative than the swaption premium?

I am interpolating swaption values as a function of parallel shifts in interest rate and have come across some peculiar shaped options among the data I have at hand. Here is an example of a simple ...
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### Bayes Theorem with change of measure

Tomas bjork- arbitrage theory in continuous time. Appendix B, proposition B41 says: The proof is not clear to me. Thanks to Gordon's comment below of $E^Q (X/G)$ being $G$ measurable, I think the ...
55 views

### How to calculate the price of an asset using Black-Scholes equation?

I'm trying to solve this problem given: The dividend yield for asset 1 (asset 2) is 0.05 (0.03), and it is also given the time zero stock prices, and both assets' Black-Scholes equation. I ...
126 views

### How to compute the dynamic of stock using Geometric Brownian Motion?

I have been given the following question: Given that $S_t$ follows Geometric Brownian Motion, write down the dynamic of $S_t$ and then compute the dynamic of $f(t,S_t) = e^{tS^{2}}$ For the first ...
42 views

### Monte Carlo VaR w/ Multivariate Normal vs. Parametric

In Aladdin's Monte Carlo VaR, the default setting for the joint distribution of factor returns is multivariate normal. Given that normal distributions do not capture the fat tails seen in empirical ...
39 views

### Threshold to consider the daily change of a bond price unusual?

In the context of compliance and market abuse monitoring, what relative change threshold would you choose to decide if transactions should be looked into? For example, if a bond price had a relative ...
23 views

### Example of Coherent Risk measure with Compact Representation

Every coherent risk measure $\rho$ can be represented as $$\rho(X)\triangleq \sup_{Q \in \mathcal{Q}} \mathbb{E}\left[ -X \right],$$ for a set of probability measures $\mathcal{Q}$ defined on the ...
304 views

### Efficient frontier doesn't look good

Hi I'm trying to draw an efficient frontier. Below is what I used. returns parameter consists of 9 column returns of portfolio. I selected 10,000 portfolios and this is how my efficient frontier ...
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### Group name for currencies, equities and other financial products

I am working on a financial software system that deals with crypto currencies. This system has a model called 'Currency' that describes for example 'BTC' and market for which there is a 'base' and '...
138 views

### Defining an objective function for machine learning task of trading

A simplified example. Given: asset's price time series fixed distances to stop and target. A function of these inputs has two possible output values: $1$ if price is likely to hit the target ...
45 views

### Preferred Stock pricing model

I am trying to build a model to price a preferred stock. I want to model the dividends as random payments. I can't find any papers online on the subject. Does anyone have a reference for me?
59 views

### RQuantLib: BermudanSwaption(): effective date later than or equal to termination date

When running the command in the RQuantLib library: ...
56 views

### What is the reasoning behind 'terminal time' in market making literature?

Market making literature and models often include a factor for 'terminal time' (1), (2) within which the market maker's inventory is liquidated. What is the reasoning behind this idea? Is it simply ...