# All Questions

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79 views

### Is there any funds that do market making?

In spite of banks, market making firms, brokers is there any funds that specially do market making?
23 views

### Milan Stock Exchange model [closed]

I would like to ask whether some of you know what kind of model (order driven/quote driven/hybrid) is used within the MAT market at Milan Stock Exchange or alternatively where is this information to ...
35 views

### Portfolio Return Decomposition

Barra gives factor weights for a common set of factors, for each asset. Given a long-short portfolio, is there a way I can combine the individual factor weights to get the factor exposures for the ...
49 views

### Are pure PIK bonds' payoffs known from the start?

I am developer working in the financial field and I would like to understand what I'm doing. My latest work subject involves Payment In Kind bonds with coupons fully reinvested (e.g, no coupons ...
31 views

### Why does an American option on a continuous dividend paying stock have a critical price above which it is optimal to exercise early?

An American call on a continuous dividend paying stock must be above its intrinsic value, i.e $c(t)\geq\max(S_t-K,0)$. Why is there a critical price above which it is optimal to exercise (i.e. we ...
551 views

### Why somebody buy the defaulted loans?

Why somebody buy the defaulted loans from the banks, if the debtors can not pay back their debt? If I bought these loans I will cause losses myself, because nobody will pay me (or just a lower price ...
334 views

### Black and Normal Model for Caplet using Python

I am able to Price Caplet using Black 76 model in Python. However, I am unable to price the same with Normal Model. Can anyone suggest what is missing ? I am valuing caplet that caps interest rate on ...
62 views

### Chorent risk measure with superaddative

In some definition of chorent risk measure Superadditive is one of the properties I don't understand Why? With subadditivity and homogeneous CvaR is convex, but if we assume another definition for ...
37 views

### Will the Delta of an Option always be the same irrespective of the underlying stock price?

Suppose, under the Black Scholes model we keep all the parameters the same except that we vary the asset price. Will the Delta of the option always remain the same?
103 views

### Questions on CDS

I have a few questions on CDS and especially sovereign ones: I've read that usually CDS are generally traded in millions of notional value, which means that not everybody can purchase sovereign CDS, ...
62 views

### Pricing eurodollar futures

How are Eurodollar futures priced in practice? What I already know: The implied 3 Months rate by the futures is 100-price, since it matches the payoff. Using daily LIBOR rates, one should be able to ...
379 views

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/...
122 views

### 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 ...
31 views

### OIS vs Libor for cross currency

I would like to understand the convention for discount rates fro cross currency swaps. It seems to be market convention (Australia) to discount collateralize positions with OIS and uncollateralized ...
28 views

### Swaption pricing and strategies

I am looking for resources (books, papers, websites, etc.) that deal with Vanilla and Exotic swaptions from a more advanced and quantitative perspective. I am interested in both the pricing side (e.g. ...
649 views

### List of interesting Quantitative Finance podcasts

Which podcasts are interesting to listen too for quants? If you recommend one, why?
49 views

### Black Scholes Replication If Underlying Does Not Move?

Let's say you are long a call and want to replicate that call buy being short underlying and long bonds. If the underlying moves up in the next period but not enough to cover theta, the option ...
125 views

### Calculating Flat Price Risk for Physical Commodity Trades

I've been reading Craig Pirrongs Economics of Trading Firms published by Trafigura: https://www.trafigura.com/media/1364/economics-commodity-trading-firms.pdf Very informative read. The point I have ...
40 views

### ISDA SIMM swap sensitivities

Most of the commercial SIMM models require sensitivities to be passed in in CRIF format. The documentation mentions that "par sensitivities" need to be used. What exactly is a par sensitivity? When we ...
22 views

### Where do the zero returns in QMNIX (AQR Market Neutral) come from?

QMNIX, Which is a market neutral offering from AQR, has a surprising number of totally flat days. https://finance.yahoo.com/quote/QMNIX%3FP%3DQMNIX/history/ Looking at the returns, 124 of them, which ...
18 views

### How can i insert a if condition in my loop to create returns for my formation period [closed]

I'm trying to implement a momentum strategy. To do this i need to sort my stocks based on their return in the previous 11 mths. My current code works quite well: ...
18 views

### predefined model structure for stock data

I've signed up for stock data service (IEX Cloud). I now want to fetch and save the data locally. I will need to design the ERD, is there a pre-defined open-source model (preferably Django) that I ...
44 views

### Basic FX-Forwards trading Guide

What fundamentals or other factors should one follow to trade currency Forwards intraday?
61 views

### Compute implied volatility surface of a put option from a call option

Suppose the function double bsCall(double S0, const double &K, double T, double r, double sigma) computes analytically the Black-Scholes price of a call option ...