All Questions

0
votes
1answer
6 views

Holding Period Return

Bought stock for $12.00$/share. Sold 3 years later at $20$/share. Paid $1$ dividend each year for 3 years. Stock's value at the end of the first year was $18$ and $15$ at the end of the second. Find ...
0
votes
0answers
20 views

Monte Carlo computational cost

Hello. I'm reading the above paper and I do not understand how they managed to solve eq (17.35) -- i've seen many papers skip through this as trivial and didn't bother to show the method to get there. ...
6
votes
3answers
1k views

Which volatilities should I use for Quanto Options?

Quanto options pricing formula, as described in this paper is a function of two volatilities: one from the underlying asset and another from the exchange rate. How can I read the "right" volatilies ...
1
vote
1answer
45 views

Interest Rate Futures Question from Hull, 8e

There is this question 6.16 in Hull, 8e: Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 ...
2
votes
1answer
22 views

Tick Imbalance Bars - clarification on T index

I have been trying to learn quant related things on my own. I recently picked up a book called "Advances in Financial Machine Learning" by Marcos Lopez De Prado. I am having difficulty understanding ...
2
votes
0answers
35 views

Jarrow-Yildirim $\sigma_I$

Under the Jarrow-Yildirim model, the nominal short rate $r_n$, the real rate $r_r$ and index $I$ are modelled according to the following stochastic differential equations under the Martingale measure $...
0
votes
1answer
33 views

Sum disappearing when we assume constant some elements to be constant over time [on hold]

I have the dividend discount model, which is the following expression: $$ P_{j,t} = \sum_{\tau=1}^{\infty}D_\tau(1+g)^\tau(1+r)^{-\tau}=\frac{D_{\tau+1}}{r-g} $$ Where $D_t$, is the dividend at time ...
1
vote
1answer
58 views

Inherent volatility of selling longterm options and buying short term options

A two-month option has an implied vol of 60%, the corresponding 2-year option has an implied vol of 34%. You buy the short terms and sell the long terms. What is the inherent volatility of the total ...
0
votes
3answers
83 views

bayes theorem probability Jar

I am trying to come up with different theoretical answers below. I believe the standard one is based on Bayes theorem, but I am struggling to prove it. A jar has 1000 coins, of which 999 are fair ...
-2
votes
0answers
37 views

Momentum investing: several questions [on hold]

How to align momentum investing with current stock market trend? Is it a good idea to short the stocks which have low relative momentum score? Are there any academic papers about it? Which periods ...
0
votes
0answers
56 views
+50

Quantlib-Python: use zero rates to get the originally bootstrapped curve

Let's say I am trying to build a curve using deposits, future and swaps with one of the three Quantlib methods in Python as below: ...
1
vote
0answers
36 views

Possible application of Polya's Urn on Portfolio's Investments?

I wanted to find some more information of this topic, but I found very little. I might be interested in optimizing a stock investment portfolio. Maybe I could use beta or some other common risk ...
1
vote
0answers
21 views

Options Portfolio Drawdown Based On Beta

If I want to calculate drawdown of an options portfolio based on beta, is the following correct? SPY moves down 3% (-.03). Portfolio: ...
0
votes
2answers
50 views

Options Delta Meaning of Term

not able to understand delta in options. Whilst I understand, it is how much the option moves when the underlying moves by 1 unit, I fail to understand, when someone books a currency option, why does ...
0
votes
1answer
55 views

Eurodollar Futures - ED1, ED2 etc. How to build series?

I am looking at Eurodollar Futures contracts and was wondering how to build series ED1 up to say ED20. Let's assume I have data from 01-01-2004. My understanding is that: ED1 - perpetual front-...
2
votes
2answers
808 views

Alpha vantage API Not working for NSE while the same query is giving output for NYSE stocks

Was trying to pull intraday data with free api from alpha vantage but unable to download it; While At the same time I'm able to download daily OHLC data. Also, intraday data query is working for NYSE ...
-2
votes
0answers
19 views

Chinese Saving Rate - does it include mortgage (down payment + monthly)? [on hold]

Chinese Saving Rate - does it include mortgage (down payment + monthly)? Chinese it's like 30%, American it's like 10%? Really? https://tradingeconomics.com/china/personal-savings
-3
votes
0answers
19 views

Monthly 1% Dividend bond or mutual fund [on hold]

Which mutual funds or bonds pay at least 1% dividend monthly.
5
votes
0answers
67 views

Quantitative strategies in the Fixed Income space

I'm looking to learn more about systematic strategies in the the fixed income space, particularly in Rates products (anything from simple cash to inflation or vol). I've been reading a couple of ...
0
votes
0answers
22 views

Hedging Down IRR Shocks

Looking for inventive ways to hedge risk exposure between ATM-150 and ATM-200 rate movements. Thought of a floor spread, and it seems to work fine, but is there anything else that could achieve the ...
0
votes
0answers
29 views

Bid-Ask spreads of Sovereign Bonds in Bloomberg

I'm currently looking to find the historical bid-ask spread for 10 Year Government Bonds and important these into an excel spreadsheet. They are intended to be a proxy for liquidity. Ideally, would be ...
-3
votes
0answers
24 views

Adding argument to ERC function in Python makes it break down

I am using xlwings to implement Python code in Excel. I put the following code in Spyder and imported it into Excel to arrive at equal risk contribution weights for a 7-asset portfolio. ...
2
votes
2answers
162 views

Application of Itô's lemma - Forward process

How would be applied the itô's lemma in the following equation: And we know that:
4
votes
1answer
50 views

Monte Carlo for Asian Pricing

I'm trying to verify the accuracy of my Monte Carlo method for pricing mean options. I came across this paper that supposedly gives an 'exact' solution for the arithmetic mean option (asian). It's a ...
4
votes
4answers
295 views

Modelling HFT data

In the context of Market making, how important is recent trades? In general, would i be able to get away with just modelling the Limit Order Book (LOB) and the evolution of the LOB in order to ...
0
votes
1answer
80 views

How to conduct an event study for multiple companies with different event dates?

I have a sample of 300 companies over the period of 5 years. Each company has one event per year and all event dates are almost different. Is there any short way to do event study instead of doing for ...
6
votes
5answers
298 views

Heston Model Integration Oscillations

Is there a way to reduce oscillations for the numerical integration when evaluating the Heston model. I am pricing a series of 5000 options scattered over the Heston model parameter space and I find ...
5
votes
3answers
180 views

Data sources to get past news articles

Are there data sources from which we could get news articles from the last 2 years? I tried reuters but they had data spanning back to just 3 months. Any suggestion/pointers are appreciated
1
vote
0answers
35 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using the autoregressive distributed lag models (ARDL). I usually get a counter intuitive results for the selected lag. For example. when examining the relation between GDP and Foreign direct ...
1
vote
1answer
73 views

Should Put/Call Parity result in Zero Return or the Risk-Free Rate?

Sorry in advance if this is a basic question. I'm examining some potential at-the-money put/call arbitrage. What I found surprised me somewhat: ...
0
votes
1answer
87 views

MLE error in R: initial value in 'vmmin' is not finite

I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error. Below is my code which contains two functions ...
0
votes
1answer
36 views

How to optimize a series of equations whose outputs are a variable of the subsequent equatinos

The basic question is, given $f(x) = y$ and $f(y) = z$, how can you find $x$ such that $z$ is at its maximum? I can optimize each equation independently, but I do not know how to optimize when ...
0
votes
0answers
35 views

High-frequency history of oil prices

It's fairly easy to find daily historical oil prices, but I need the history in more detail, at least hourly. I have access to Datastream, but can't find it there. Is this time series in Datastream? ...
2
votes
1answer
4k views

how to interpret the GRS F test values?

I'm comparing the performance of Fama French three factor and Carhart four factor models. For the regression analysis, I have used the 25 Value Weighted portfolios sorted on size and B/M. The Table ...
0
votes
1answer
54 views

CDS ISDA model/Bloomberg

I am becoming more acquainted with QuantLib as a platform. I've been using both the python implementation and QuantLib XL. As I have started to look at CDS, I would like to know if there is a ...
0
votes
0answers
23 views

How simulate a time series in R with fixed parameters [on hold]

I would like to simulate time series data (250 data points) where I can set a fixed starting value, ending value, mean, variance and CPT value. I did it with VBA but it takes really long to generate ...
0
votes
0answers
13 views

Termstrc data preparation from Bloomberg terminal

I am trying to use the R package termstrc to estimate yield curves for the Czech Republic. I have found the structure of the required class ...
-2
votes
0answers
13 views

Suppliers Lead Time [on hold]

I am calculating the suppliers lead time and I have the following doubt. An order placed today with delivery date March 31, but is actually delivered by the supplier on May 10. The lead time will be ...
0
votes
0answers
16 views

Realised option values. (Beginner in R/ Coding****) [migrated]

I have started playing around with R and quantmod. I want to create a dataset for realised option values on the S&P500 and compare this to the Black-Scholes estimated value for a finance class ...
1
vote
0answers
46 views

Pricing an exotic with barrier at discrete times

How would you price the following option on underlying $S$ without dividends? Time to maturity of option $\tau = 12$ months Option has a strike $K > 0$ and constant barrier $B > 0$. $t_0$ is ...
9
votes
1answer
2k views

How to forecast high-frequency data?

Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example bid/...
2
votes
2answers
295 views

How can I improve the numerical integration accuracy in Heston model?

I am trying to perform the numerical integration in the Heston using Gaussian quadrature but I obtain an error of 4e-3 while some of the deep out-of-the-money near expiry Call prices are smaller than ...
0
votes
0answers
33 views

Can we generate(in high dimension) uniformly distributed variables in a finite volume other than a cube?

I'd like to know if there is in the literature a (computationally cheap) algorithm to generate uniformly distributed variables in high dimension for a volume other than a cube and without using ...
10
votes
1answer
353 views

Variance swap volatility - ATMF vol, Skew and Curvature

In a pure diffusion setting, it is a well known result that the volatility $\sigma_T$ of a fresh-start variance swap of maturity $T$ as seen of $t=0$ verifies \begin{align} \sigma_T^2 &= \Bbb{E}_0^...
5
votes
0answers
111 views

No arbitrage conditions for normal implied volatility

usually the term implied volatility refers to Black-Scholes implied volatility (also Log-Normal volatility): it is defined as a quantity which when plugged in the Black-Scholes formula returns the ...
0
votes
0answers
18 views

Moneyness for Cancellable Swaps

Hi I wanted to know we can assess the moneyness of Cancellable swaps? For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the ...
2
votes
1answer
172 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 ...
-2
votes
0answers
32 views

Overnight Indexed Swaps

How can one enter into a OIS for 1month, when the borrowing is only overnight? Are these punts made or does a trader have to give a Underlying to enter into the swap. If in case the trader does ...
9
votes
2answers
119 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 ...

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