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9 views

CDS pricing using reduced form (intensity models) incorporating liquidity

I want to price a CDS using an intensity based model, but I want to account for liquidity as well. General model: The default time $\tau$ is the first jump time of a cox process, and the survival ...
0
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0answers
7 views

Tickers of companies included in Euro Stoxx 600

I'm trying to analyze the historical data of the individual companies that are part of the Euro Stoxx 600 index. For that, I am using a Python code that needs the tickers of the companies. Due to my ...
2
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1answer
42 views

Do Perpetual American Options have closed form functions to compute the Greeks?

I was wondering if there were analytical formulas to compute delta or gamma for perpetual American options?
0
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2answers
107 views

From Libor Curve rates to “forward” zero-coupons

I am provided a 6M euribor curve, constructed from FRA's and swaps of tenor 6M on the euro, as well an EONIA curve, constructed from zero-coupons EONIA swaps. Both curves are provided as functions $d\...
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0answers
16 views
0
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0answers
6 views

Firm/Industry-level database cross-country|world-wide

I've been looking for a while any source of information, any firm-level or industry-level database with information like: number of employees, sales, market share, assets, liabilities, etc. cross ...
2
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0answers
10 views

Local Volatility with Monte Carlo Simulation

I am trying to implement a Monte Carlo Simulation using Local Volatility Model (Dupire’s Equation). I’m pretty sure I can build a very good LV surface, however, I do not know how to use it in the MC ...
0
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1answer
38 views

Fama French Three Factor Model: How do I get the risk premia?

I try to calculate the cost of equity with the FF3 model and already estimated the beta factors for the market, size and value risk premia by using regressions and the data provided on the Kenneth ...
0
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0answers
18 views

What data should be used for short-rate in simulaiton?

For short-rate models like Vasicek and Hull-White, what rate should be used as the starting value of short rate? Is it Federal funds rate or 3-month US treasury?
1
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1answer
44 views

Useful Book for starting to programming quantative Finance

Could anyone recommend me a good book for an introduction to start programming quantative finance (preferably in R)? I found a lot of different ones, but unfortunately without any reviews.
1
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1answer
74 views

Applying Interest Rate Shock to Equities, FX, etc

I am looking for resources on practical applications of non-parallel Interest Rate shock for a portfolio that contains different types of investments. Specifically: how to identify the tenors and how ...
0
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0answers
15 views

Performance Analytics SnailTrail Chart subscript out of bounds error

I am running the chart.SnailTrail function from the PerformanceAnalytics package in r. I get the following subscript out of bounds error. Error in chart.SnailTrail(z, Rf = 0.009261, main = "", : ...
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0answers
29 views

Why do these Monthly vs. daily plots differ?

I got my data from Thomson Reuters Datastream. As an Input for my plot i calculated daily Returns based on the Return-Index provided by datastream. Then i plotted the Monthly and the daily Returns.(...
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0answers
18 views

Why does IEX need THOR and SIP?

I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
2
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0answers
17 views

State price deflator in the Vasicek model

I am trying to implement a simple bond pricing model using state price deflators in a Vasicek model. I am simulating paths of the processes $$\mathrm{d}r^{P} =\kappa^{P}(\theta^P - r^P(t))\mathrm{d}t ...
4
votes
1answer
1k views

What equation will convert implied yield volatility to implied price volatility?

I am trying to figure out how to turn implied yield volatility of a short-term interest rate into implied price volatility. Is there an equation to do this? I have come across the equation for a ...
0
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0answers
27 views

Varswap replication product

I would like to ask about a product that some Flow desks sell : Varswap replication strategies. I know that it consists of weighted basket of calls and puts , however I would like to know how does it ...
0
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0answers
30 views

Spread vol for interest rate spread options in normal environment

Suppose I am long spread option with underlying : rate A - rate B. The vega on the option would be positive. But if I want to compute the option vega with respect to individual rates, can I use the ...
2
votes
1answer
1k views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
2
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2answers
951 views

Does QuantConnect use both bid and ask data for backtesting?

Or Quantopian? How about Python libraries like ultrafinance and PyAlgoTrader?
21
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5answers
6k views

Which Algorithmic trading library would you recommend for trading Bitcoin?

I am starting to do Algorithmic trading in cryptocurrencies using Python libraries. Most exchanges have RESTful API that make it easy to write you own code and get started. However, I would like to ...
0
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0answers
25 views

Why the weight vector of 'global minimum variance' the 'eigenvector' with the minimum eigenvalue?

Question Why is it the case that the weight vector of the global minimum variance portfolio the eigenvector of the covariance matrix with the smallest eigenvalue? Question with more details I ...
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0answers
16 views

What variables are important to describe a loan dataset?

I have a dataset of loans currently paid or charged off and as the dataset is very large I would like to to do a short summary of things I would think is worth knowing about. Yet I don't know a lot ...
-1
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0answers
17 views

Operational Risk Loss Distribution with Insurance

** Referring to part (c) First is 5000. Am I supposed to replace the 8000 with 5000 while maintaining its probability? For the second part, which includes the cost of insurance, do I add it to the ...
0
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0answers
15 views

Portfolio Values based on reference interest rates

How do I approach the following question? A portfolio has 100 million invested in equities. It has also transacted an interest rate derivative issued by counterparty X, which the value is 0 if the ...
0
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1answer
33 views

What's the formula to compute the divided difference approximation for the third order greeks?

I can't seem to find the quotient required to approximate the third order greeks Speed, Zomma, Color and Ultima
0
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0answers
29 views

Black-Scholes vs Blacks model. Which one to use with SABR?

Say I want to compute a call price for a given set of SABR parameters. I use Hagans approximation and compute $\sigma_B$. The rate is not zero. Should I then compute the option price using Blacks ...
0
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0answers
34 views

Create Random Portfolio Loop [on hold]

I have semi annuals returns for 303 different stocks. What I want to do in R is create a portfolio of 1, then 1-2, 1-2-3 etc. untill 100 securities is reached. Now the problem is that whenever a ...
1
vote
1answer
90 views

Building a semi-discretionary system

I've been investing for the last 15 years in a weird Buffett/Soros way. For the last few years I've been toying with the idea of modeling myself. I want to build a 'stock screener' that will be able ...
0
votes
1answer
36 views

Momentum factor (mom) weekly

I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.
2
votes
1answer
2k views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
3
votes
3answers
440 views

Risk prediction based on financial statements

I have a profit loss statement and balance sheet with the following fields: Example P&L Turnover420,363 - Cost of sales £118,730 £140,169 - Gross Profit £...
1
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0answers
29 views

Who came up with 3/2 SV model

Sorry, not a very quantitative question, but does anybody know who was the first person to write down and publish the 3/2 stochastic volatility model? I need this for a reference/bibliography.
1
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1answer
172 views

Understanding the ZABR model (an extension of SABR)

http://janroman.dhis.org/finance/SABR/ZABR%20Andreasen.pdf In this acticle the SABR model is first presented in another form ( see equation 7 in the article ) and then extended to the so called ZABR ...
0
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2answers
63 views

How does the efficient market hypothesis fit with the rapid changes in prices?

The price of IBM changes from second to second, but there's no way that actual news about IBM is coming out that fast. The information available about IBM changes a lot more slowly than its share ...
2
votes
2answers
48 views

For Ito Integrals with respect to a Brownian motion, why would the amount of stock held be a stochastic process?

Suppose that $B$ is a Wiener process and suppose $H$ is a right-continuous, adapted, and locally bounded process. Suppose $$\int_0^t H dB$$ is the Ito integral of $H$ with respect to the Wiener ...
0
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1answer
56 views

Random Forests - Trees vs Predictors

This question relates to the use of random forests in finance and the relationship between the number of features, the observations, and the number of trees. Consider the relation between an RF, the ...
1
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1answer
49 views

Can a stochastic process be neither adapted to filtration nor previsible?

The idea behind the question arises from my intuition about the concepts of 'adapted to filtration' and 'previsbility'. If a process is adapted, it essentially means that the evolution of the ...
1
vote
1answer
87 views

change of measure expectation

How to find expectation of this stochastic process? Also, to show that the expectation of a stochastic process expression [Xt - St] in one measure is equal to expectation of another expression (of the ...
0
votes
1answer
100 views

Calculate forward discount factors and forward reference rate when discount factors are known

I am trying to learn how to value interest rate swap through portfolio of FRA's(forward rate agreement).But I have got stuck in calculation of floating leg. Here is the scenario as given below for ...
2
votes
0answers
73 views

Ito's lemma for special case

Assume a HJM framework with the same Brownian motion driving the dynamics for every tenor. $$ df(t,T) = \alpha(t, T)dt + \sigma(t,T) dw_t \,, $$ with $\alpha(t, T) = \sigma(t,T)\int_t^T \sigma(t,s)ds$....
1
vote
1answer
36 views

$\beta = 1$: Simulation of SABR and whether a solution is *exact*

Quick question regarding the conditional distributions (SABR is just an example here) Consider $$dS_t = \sigma_tS_tdW_t$$ $$d\sigma_t = \alpha\sigma_tdV $$ $$dW_tdV_t=\rho dt$$ Hence a SABR process ...
2
votes
2answers
85 views

What is the best book to learn about local vs. stochastic volatility, modelling and pricing of Exotics?

I am starting to delve into the world of Exotics and I am trying to find a rigorous yet understandable book that covers both mathematically and qualitatively (especially mathematically) the following ...
0
votes
1answer
35 views

Subadditivity of cvar(R)، R is random vector

$R=(R_1,\ldots,R_n)$ is random vector in $L^1(\mathcal{R}^n)$. Then is it true that $$ \operatorname{Cvar}(R_1+ \cdots + R_n) \le \operatorname{Cvar}(R_1) + \cdots +\operatorname{Cvar}(R_n)? $$ Can ...
5
votes
3answers
2k views

What latency should I use for backtesting a high-frequency strategy?

We're developing an HFT strategy for highly liquid futures traded at Eurex. We are planning to colocate our server and to use data feed of QuantHouse and execution API of ObjectTrading. Backtesting is ...
1
vote
1answer
37 views

stock specific volatility

I was unsure about the precise definition of "stock specific volatility". Used in this question "A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing ...
0
votes
1answer
26 views

BHAR Event Study - Index

I want to perform a BHAR event study. For that, I subtract the compounded returns of a benchmark portfolio from the respective stock. Is my assumption right, that I can simply take any underlying ...
2
votes
1answer
49 views

Is the Non-discounted Bachelier call option price a Martingale?

My math finance professor once said someting that I can't make sense of. Hope you can answer: For a foward process the non-discounted price for a European call option under Bachelier is $$C_t = \...
2
votes
1answer
73 views

FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
8
votes
4answers
897 views

Explanation of Standard Method Generalized Hurst Exponent

Apologies if this question is vague, I've gone over how to word it several times in my head, and I'm not sure it gets clearer each time. I've been looking at this website article https://www....

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