All Questions

12,670 questions
4 views

Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
2k views

GARCH volatility modeling, squared returns, and convergence

After reading some more of Volatility Trading, I decided to try to make a simple volatility model using daily log returns of an ETF I follow. It turns out "simple" is sort of relative. Unfortunately, ...
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Black's Approximation - Discrete dividend for Put Options

I am currently trying to price and option chain for dividend paying stocks (american style exercise). I am able to calculate the Net Present Value (NPV) of dividends until maturity and then apply ...
1k views

Finding ETF Symbols for alpha vantange

I'd like to use the api of https://www.alphavantage.co/ which is pretty well documented, in terms of avaliable functions (but not parameters). However, in order to get an API response, one needs to ...
32 views

How is Kalman Filter used to estimate Term structure Models

I am implementing "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments" . This paper is using kalman filter to estimate the state and the mean variance and a parameters on ...
163 views

Getting sets of random correlated variables

For the training of a machine learning model I need to add additional features (macro variables), and these features are correlated. I need to run the model N times, and for each time I have to add ...
34 views

Symbol “.” in the derive of Quanto Adjustment

I am reading "Analysis, Geometry and Modeling in Finance". In section 2.10.2 which derives the quanto adjustment, it states that (in page 46) by definition the process $S_t^{d/f}S_t^f$ is the foreign ...
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Choquet integral risk measure

I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?
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Why do we need to borrow money in the call-put parity? [on hold]

As I understand it, the call put parity is given by $$c = p + S - \frac{X}{(1 + r)^T}$$ I understand the rationale behind simultaneously buying the call, put and underlying asset for $S$, but why ...
35 views

Max allowable return in Markowitz model

The Markowitz model solves the following problem: The portfolio with the smallest variance among attainable portfolios with expected return µV. Here we have to choose µV to get the optimal portfolio ...
83 views

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Interest Rate Assumption (Ornstein - Uhlenbeck Process)

Why can we assume that interest rate is stationary (identically distributed), Gaussian (has multivariate normal distribution), Markovian (the future is determined only by the present), and continous ...
81 views

What is upper left vol?

First time question, so please let me know if you have feedback for how I am asking. I am reading a market research piece and it makes reference to the performance of "vol, particularly the upper ...
73 views

Leverage constraints

I am trying to complete my project on Mean-Variance Leverage Optimization, and I have found lots of helpful advice on this forum. I wanted to ask you if you have some idea on how to implement a ...
29 views

Simulating from a multivariate clayton copula

I am recently into copulas for finance, I've read several examples of how to generate dependent random variables with most kind of copulas. The problem for me is that all the books describe the case ...
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One-day Binary Event Implied Moves

What is the convention for pricing the expected 1-day move of a binary event based off of the implied volatility of the nearest series which contains that event? How do you distinguish between the ...
35 views

Discounted self-financing portfolio still a self-financing portfolio?

Assume a self-financing portfolio $V_{t}=\theta_{t}^{0}S_{t}^{0}+\theta_{t}S_{t}$ with $S_{t}^{0}$ the value of the non-risky asset at time $t$ and $\theta_{t}^{0}$ the amount of shares of the non-...
139 views

ISDA CDS model Upfront Fee

Can the ISDA CDS model be used for "legacy" CDS? I understand that it lets you convert from traded spread to upfront and back on the day CDS was traded but what about CDS that was traded 2 years ago ...
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Has there been studies done on changes in model performance post-crisis?

My question is, has there been done any studies on whether the efficiency and accuracy of pricing and risk-management of derivatives using different models and algorithms has changed after the ...
43 views

CDS Quote Conversion - Quoted vs Par

Just to be on the same page, let me start with some nomenclature: Par Spread = Coupon for which the CDS has NPV=0, assuming a piece-wise constant hazard curve (considered in conjunction with all ...
24 views

Multi-factor vs Single-factor interest rate model for XVA / CCR

When calculating XVA or Counterparty Credit Risk (CCR), you can choose to simulate your interest rate with a Multi-factor interest rate model or a Single-factor interest rate model. What are the pros ...
17 views

TurnbullWakemanAsianApproxOption function in R not very clear to me - tau

I would like to price an Asian Call Option with 0 carry using the formula by Turnbull and Wakeman in the book of Haug. I found a package in R, fOptions, that has ...
24 views

why we seldom see application of copula-garch model in macroeconomic

I find a lot of reference about copula-garch in finance market,but it seems that articles about copula-garch model in macroeconomic are rare.Is there any instrinc problem when it comes to ...
17 views

Rescaled range analysis results in Hurst exponent close to 1 for Brownian motion

I am trying to use the the RS analysis method to estimate the Hurst exponent of a time series. Bellow i am posting my python implementation of the RS analysis. ...
73 views

Pricing structured products (Mortgage Backed Securities) [on hold]

What would someone have to do to be able to price a structured product like Mortgage/Asset Backed Securities?
6k views

What mathematical theory is required for high frequency trading?

I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
43 views

What is the basis for the ansatz here? [duplicate]

I'm reposting this question: Jim Gatheral's ansatz I have the same question, but the answer given in the comment is no longer applicable since the link does not work.
9k views

Duration of a floating rate note

I have the following C# code for calculating the modified duration of fixed coupon bonds: ...
36 views

Option Prices on Thomson Reuters Eikon Database

I would like to get hist. option prices from Eikon. I am not looking for the entire option chain and I was wondering if Eikon offers average data/prices. Average European call and put option prices ...