# All Questions

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### Connections between logistic regression, information value and Kullback-Leibler

I am new to credit risk modeling, my background is in mathematics and physics, so I am looking to justify some commonly used techniques from first principles. Suppose that we are interested in ...
0answers
26 views

### Option Bounds in a risk-averse incomplete market

I was reading the article "On option pricing bounds" by Ritchken(1985). It uses linear programming to determine options upper and lower bounds. Given a single period model, the stock price will have ...
0answers
48 views

### Another ZCB calculation

I am not getting the $f(t,t)dt$ term in the last equality when we have $df(t,T)=\alpha(t,T) dt +\sigma(t,T) dW$ and $f(0,t)=f^{*}(0,T)$. Instead I have an additional $\int_{t}^{T}f(0,u)du$ in the ...
2answers
527 views

### Hull White help needed

I've been trying to calibrate Hull-White 1 Factor & 2 Factor model using Caps but I've some major doubts about my methodology, and would really appreciate some help. I am using these formulas ...
0answers
32 views

### Are there any known text analysis NLP bots that read 8k filings, news, twits, articles - “understand” them and trade based on their derived meaning?

I want to build an NLP bot that "reads" and understands meaning and sentiment of articles, twits and trades on them. E.g. understand general sentiment of comments under important financial blog posts ...
0answers
41 views

### Dollar bars in Advances in Financial Machine Learning book

Does anyone have use the dollar bars for building a strategy? I would like to know what ways you guys might be interested to set the dollar bars' parameter ( the dollar value ). I have thought of one ...
1answer
44 views

### ARMA moments proof

Consider a standard ARMA(1,1) process such as $$x_t - \beta x_{t-1} = \theta u_{t-1} + u_t$$ where $u_t$ is i.i.d. $u_t \sim N(0,\sigma^2)$. I know how to derive mean and variance with stationary ...
1answer
114 views

### Zero coupon bond calculations

I am given the following forward rate dynamics $df(t,u)=\frac{\partial}{\partial u}(\frac{\sigma^2}{2})dt-\frac{\partial}{\partial u}\sigma dW$ and want to calculate the dynamics of the ZCB $p$ via ...
1answer
65 views

### Curve building for a swap

I'm a student learning how to build a swap curve, I've deposit 6m rate = 5%, fra 6-12m rate = 5.8% and 12m-18m rate= 6% and swap 2y =7% and 3y swap rate = 7.5%. I get the correct discount factors for ...
0answers
44 views

### Bloomberg C# / CS.NET SDK for STDY Functions

I have downloaded and installed the CS.NET SDK from STDY. I have installed this as admin and had no problems with the install. However, when I open VS2017 (last version supported by BBG) I do not see ...
2answers
816 views

### probability question about brownian motion

Assume $W_{t}$ is a standard Brownian Motion, calculate the the probability that $W_{t}*W_{2t}$ is negative, i.e., $P(W_{t}*W_{2t}<0)$. I find it tricky to calculate the probability.Thank you.
0answers
31 views

### HJM Model proofs

I am looking for a source that possibly has the proofs for the material in the first paper on the HJM model Heath, David, et al. “Bond Pricing and the Term Structure of Interest Rates: A New ...
1answer
102 views

### Portfolio rebalancing question

I found this question and am not too sure how to answer it. How would you determine the minimum cash deposit,m, needed to move a portfolio back to it's target weights, given only the following: ...
1answer
52 views

### How to test ESG score as a factor against traditional factors

I have created my own ESG scoring system. I would like to test it as a factor against the traditional factors (growth, Value, quality, size etc) In essence a correlation test. Could anyone please ...
1answer
99 views

### Different volatility surface ( Local vol, Stochastic vol etc.)

Despite many questions about local and stochastic volatility available on this forum, i still have a few doubts left. Essentially I am seeking validation whether I am interpreting things correctly. ...
0answers
85 views

### Intraday and Intra-Week Pattern of Implied Volatility in FX market

Q1. How does implied vol changes from market opening time to market close time? I have read that it decreases during the day i.e. it opens high and closes low. what is intuitive and mathematical ...
2answers
102 views

### What duration of treasuries to add to portfolio of stocks

If I have a portfolio of stocks and want to add treasuries would it be better to add very long duration treasuries or a levered position in shorter duration treasuries? Why?
1answer
58 views

### Some interpretation on some plots / statistics

I have been playing with a model just for learning purposes (I don't expect to make any money from the model) but I wanted to get some opinions on what you think are "good" values and some opinions on ...
1answer
111 views

### PCA FOR STOCK PICKING

lets say I am an equity analyst and I want to figure out what fundamental metrics I should use when I am analyzing an industry , I can use pca on a bunch of stocks in an industry using their ...
1answer
85 views

### Interpretation of Fama French portfolio

I have two portfolios, one "bad" and the other "good". I construct the portfolios by taking the average monthly returns based on some criteria each year. In any given portfolio there could be between ...
1answer
57 views

### Premium Adjusted Delta in fx market

Please explain the concept of premium Adjusted Delta in FX market. In EURUSD, why delta changes if premium currency is changed from USD to EUR and how this new delta is related to the old one with ...
1answer
151 views

### Why isn't the Vasicek model arbitrage-free?

Could anyone explain why the Vasicek model isn't an arbitrage-free model? Additionally, which interest rate model is arbitrage-free and why?
2answers
392 views

1answer
70 views

### Prove that the portfolio that maximizes utility lies on the efficient frontier

When maximizing mean-variance utility in a portfolio optimization framework $max \{R - \lambda \sigma ^2\}$ where R is portfolio return, $\lambda$ is a risk aversion parameter, and $\sigma^2$ is ...
1answer
2k views

### Why does depreciation not show up in my income statement?

I'm looking at a company's 10-K which gives me the following line items: Income statement Net sales Cost of goods sold Gross profit Selling, general and administrative expenses Operating income ...
1answer
29 views

### What is the meaning of multiplying price of contingent claim with e.g consumption level?

In the textbook Asset Pricing by John Cochrane, on p. 57, a budget constraint of a Lagrange optimization is: $c + \Sigma_s pc(s) c(s) = y + \Sigma_s pc(s) y(s)$ $pc(s)$ is "price today of ...
1answer
68 views

### What was the first formal theory for asset selection/portfolio management?

Just curious about the timeline and evolution of asset/portfolio selection theory from past to present
2answers
145 views

### Relation between Implied and Historical Volatility of GBPUSD and USDGBP

Q1. How is the implied volatility of GBPUSD and USDGBP related to each other mathematically? Please explain this intuitively as well. Q2. How is the historical volatility of GBPUSD and USDGBP ...
1answer
108 views

### Portfolio Optimization and Global Minimum Variance Portfolio (GMV)

I have few questions about classic mean-variance-optimization in general. I have a series daily returns of 15 assets and I want to combine these assets in a portfolio. 1) Do you think that 1 year of ...
0answers
23 views

### Coming up with a statistic that is responsive to changes in a time series, yet not too volatile

Let's say I have a fairly volatile time series $X_t$ - it doesn't have any reason to show an upward / downward trend, but it does show drops and spikes from time to time. It can also change level (e.g....
0answers
103 views

### Benchmark a Libor Market Model implementation

Assume I have implemented a solution of the Libor Market model PDE in terms of the Finite Difference method. What is a good strategy for validating and benchmarking the results of this implementation? ...
2answers
156 views

### Prove ρ(X,Z) = ρ

The covariance of two random variables $X$ and $Y$ is defined by: \mathrm{Cov}(X,Y）= \operatorname{E}(X-\operatorname{E}(X))(Y-\operatorname{E}(Y))=\operatorname{E}(XY)-\operatorname{E}(X)\...

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