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Is there any way to check my delta hedging is implemented correctly?

When implementing a Black-Scholes delta-neutral portfolio using Python to perform delta hedging, I am not sure whether I implemented it correctly or not. Unlike coding binomial trees for European ...
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0answers
4 views

Beta and standard deviation

IS beta of a stock formula equals to correlation coefficient multiply with annualized standard deviation of stock A divide annualized standard deviation of market . i am not sure whether to use ...
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0answers
22 views

Numeraire correlated to the traded asset

The Fundamental Theorem of Asset Pricing states that: \begin{align*} \frac{X_0}{N_0} &= \mathbb{E}^N{ \left[ \frac{X(t)}{N(t)}|\mathcal{F}_0 \right] } \end{align*} The usual conditions apply (...
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1answer
24 views

Reference of using $\mu = \frac{1}{T}(\log K - \log S_0)$ in binomial tree model

Notations: Given a binomial tree with $N$ periods and time to maturity $T,$ let $\Delta t = T / N.$ It is well-known that CRR uses the up and down multipliers as $$u = e^{\sigma\sqrt{\Delta t}} \...
2
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1answer
57 views

Multiple Risk-Neutral measures in incomplete market

This question is in regards to incomplete markets where multiple risk-neutral measures exist. I am a little bit confused by this idea. Say we have an incomplete market with only one stochastic process ...
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1answer
29 views

Minimum Variance Hedge Ratio and Risk Capital Relation

So I understand that the minimum variance hedge ratio minimizes the second moment of the portfolios. My question is how is it related to the size of the risk capital (which is calculated as the Value ...
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0answers
24 views

Structured question on mark-to-market value of a variance swap

anyone can provide solution or some idea to the following question? thanks
0
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1answer
34 views

How can a stock have negative returns but positive 3-factor alpha?

I've come across a research paper where for a specific period of time, the portfolio has negative returns (or roughly flat returns). During this same period of time, the portfolio's Fama-French 3-...
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2answers
104 views

Factor selection for predicting fund returns

I have a list of factors (and their returns) as well as a set of mutual fund returns. What are some techniques I could use to select relevant factors for the funds. For example, fixed income factors ...
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1answer
105 views

How to find sector/industry and market cap for securities in my portfolio using R?

I am working on a project where I need sector/industry classification and market cap for some securities, many of them are not in SP500, but are part of US market. I am using R for this. I don't have ...
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0answers
19 views

Just wondering any algo strategy popular for vanilla bond trading?

I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
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1answer
71 views

Convexity of an American put option

Is the price of an American put on an underlying without dividend convex with respect to the strike?
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0answers
15 views

What backtest platforms will accept an imported trade list?

The platform must accept and execute trades at specified Open, Close, or intra-day limit prices. The platform must accept the common ETFs.
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1answer
15 views

How can i calculate the yield given price, or price given yield for a callable bond, with several callable dates and strike prices (quantlib)

import QuantLib as ql ql.Settings.instance().evaluationDate = ql.Date(2,3,2020) maturity = ql.Date(10, 5, 2023) coupon = 0.09 issueDate = ql.Date(30, 12, 2019) frequency = ql.Semiannual dayCount = ql....
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0answers
7 views

What are the margin set up or requirements in commodity swap?

Are there any margin requirements on a commodity swap ? Say it is a swap for a period of 5 years where in the actual commodity is exchanged, how does a party accepting the commodity insure against the ...
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0answers
14 views

Does anyone have codes that would solve the multi-period Kyle model?

Whenever I begin working on something new, I like to find existing examples of how things are done so that I can double check at least the basics before moving on to more complicated problems. I am ...
2
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1answer
80 views

FX ATM-volatility quotes

Is the implied volatility ATM the same for a currency pair as for the inverted currency pair. I.e, can I expect the same volatility quote ATM for (for an instance) EURUSD as for USDEUR? And does this ...
2
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2answers
1k views

Reliable stockmarket holiday, open and close time dataset/api?

Is there a reliable machine readable source of stock market holiday calendars? I found this source: https://eresearch.fidelity.com/eresearch/markets_sectors/global/holidayCalendar.jhtml I could ...
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1answer
47 views

Hedging With Zero Coupon Bonds from The Concepts and Practice of Mathematical Finance by Mark Joshi

In section 2.5 he describes an example of arbitrage-free pricing (attached below). I have a pretty solid understanding of how we arrived at $K' = K\frac{1+d}{1+r}$, but I got a little lost when he ...
1
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1answer
585 views

Market Risk - Trading and Banking book in light of Basel III

I can not understand whether Basel III (in the part of market risk) applies both to Trading Book and Banking book or just to the first one. I have read that for what concerns Banking book you only ...
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1answer
210 views

Historical Simulation of Bond, Stock and Option Portfolio

If I have a portfolio consisting of 1-one stock of unit price equal to S, 2-one 9% coupon American bond with 20 years to maturity and a par value of $1000, 3-and one European call option on the ...
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1answer
28 views

Bachelier Normal Implied Vol Python Script Jaekel Not computing?

Encountering issue with Python Script for computing Nomral Implied Volatility from (Bacherlier). Using industry standard method, Jaekel-> https://jaeckel.000webhostapp.com/ImpliedNormalVolatility.pdf ...
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0answers
14 views

How to do simultaneous dual curve bootstrapping?

I wish to understand how dual curve bootstrapping is done? Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
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0answers
16 views

How to calculate VaR price space according to PRIIP flow diagram

My question is regarding the European regulation on standardizing the information in the KID's for PRIIPs. (https://esas-joint-committee.europa.eu/Publications/Technical%20Standards/JC%202017%2049%20(...
5
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1answer
285 views

Estimation of Radon–Nikodym derivative from historical returns and option price data

Say we have an estimate of empirical density function $f^{\mathbb{P}}_S(s)$ of historical log-returns on a stock $S$ over a 30-day period under the real-world objective measure $\mathbb{P}$. We also ...
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0answers
23 views

Option pricing PDE Black Scholes one-factor Hull-White (or Vasicek) model

I am trying to find the option pricing PDE of the Black Scholes one-factor Hull-White (or Vasicek) model using a self-financing portfolio strategy. The system is as following \begin{equation*} \begin{...
-1
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0answers
9 views

Fair value DCF by API

Simplywallstreet has this thing called fair value, where they do a 2 stage DCF according to cashflow estimations which they also publish,I'm wondering if there there's a SAS API for this? thanks
1
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1answer
25 views

FF 6-month lag of the accounting variables

I have a fairly short and straightforward question. I am running a dynamic optimization strategy and therefore need to construct the FF5 characteristics. I am using COMPUSTAT quarterly accounting data....
0
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1answer
50 views

Market Capitalisation Weights for Black-Litterman portfolio

I am implementing the Black Litterman model for a few assets, in particular I am using five ETF: EFA (EAFE stock index: developed markets outside US and Canada) EEM (stocks from Emerging Markets) ...
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1answer
147 views

1 minute data: Japan, Australia and India stocks

Where I can find 1 minute historical market data for Japan, Australia and India stocks markets?
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1answer
89 views

GARCH Model Estimation with Standard Deviation

I want to examine exchange rate volatility on Stock Returns. Please, if I Generate Exchange rate volatility (ER_vol)using standard deviations approach, can I include the (ER_vol) as a regressor in the ...
0
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1answer
30 views

Is the differential between risk free rates the drift of an exchange rate only in the risk neutral world?

Take for example this passage from "Monte Carlo Methods in Financial Engineering". Is this a result of the risk neutral world or is this the real world drift as well? I've never seen the explicit ...
2
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0answers
29 views

Applying GRS-test on non-normal residuals with autocorrelation

Is it valid to apply GRS-test (Gibbons, Ross and Shanken 1989) on non-normal and autocorrelated residuals? I got residuals using 10 test-assets regressed on 3-factor and carhart. If it is valid, how ...
0
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1answer
36 views

how can i see the cashflows of a specific bond created in quantlib in Python? this is the code i have, how should i change it

This is the code i have, what would be the way to see the cashflows of this specific bond i created
22
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5answers
8k 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 ...
5
votes
5answers
202 views

Quantitative finance for physicists

I am looking for good books to learn quantitative finance. As I have strong background in physics, I would appreciate introductions that do not hesitate to show the equations, but in the same time ...
0
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1answer
51 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
2
votes
1answer
121 views

How to get the price of a bond if the yield is given or viceversa in QuantLib

For example Can u provide with a detailed example please if i have ( maturity, issue date, coupon, frequency, days_countbase, (price or yield) what is the (yield or price given this information. ...
1
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1answer
67 views

Hedging with forward contract

I am wondering what strategies that can be used in hedging with forward contracts in commodities market. I only need to buy the forward contract (long position), let's say a one month contract. So my ...
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0answers
17 views

CIR from the summation of Ornstein–Uhlenbeck processes with different parameters?

Here I see how the CIR developed from OU s with the same parameters. I wonder how the solution will change if we are adding squared of OU processes with different parameters? In this proof, it is ...
5
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1answer
2k views

CIR Process from Ornstein–Uhlenbeck process

The wikipedia entry on the CIR Model states that "this process can be defined as a sum of squared Ornstein–Uhlenbeck process" but provides no derivation or reference. Can any one do that? I could only ...
0
votes
1answer
43 views

relationship between the expected rate of return and the value measured by the beta factor

Assume that only two companies are listed on an effective capital market: companies A and company B. Capitalization (market value of all shares) of both companies is the same. Expected rate of return ...
2
votes
0answers
29 views

Stability of Finite Difference method for Breeden-Litzenberger

I am trying to derive a risk-neutral density from European call option prices using a second order finite difference scheme. Let $C(K,T)$ be the price of a European call with strike $K$ and expiry $T$ ...
2
votes
1answer
54 views

Trying to measure “radius of diffusion” in the stock market

Good evening! I'm quite new to quantitative finance (coming from the math world!), so please excuse me if I'm not familiar with every concept! I am currently studying the Black-Scholes equation, ...
3
votes
1answer
119 views

What is Dual Curve Bootstrapping? And how to do it, with an example?

I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve. 1) I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear ...
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0answers
52 views

Risk-neutral probability

At period $t=0$, I have a risk free asset with price 100 with annual rate $r=5\%$ and two different stocks, $S_1$ and $S_2$, whose initial values are 100. Prices at $t=1$ are different for 3 ...
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1answer
56 views

Does Black Scholes + Stochastic interest rates result in a unique price

Black-Scholes with its assumptions results in a unique price for the call. If we introduce stochastic interest rates, would this still remain the case?
4
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0answers
112 views

Black-Scholes market and payoff with integrals

I am struggling with the following exercise: Prove that on Black-Scholes market, with some parameters $r, \mu, \sigma >0$, a payoff $$X=\int_{0}^{T}\ln \frac{S_t}{S_0}\mathrm{d}t+\frac{1}{\...
0
votes
2answers
57 views

Which Nikkei225 futures contract to take?

I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year. I want to ...
0
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3answers
90 views

Does asset volume, rather than asset returns, predict performance?

Asset returns are the most common data type used in finance. They are derived from closing price data. Ordinary level 1 data for stocks not only consists of closing prices, but also gross volume ...

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