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67 views

Relationship between VIX and Vega

Assuming that all other factors (such as underlying price, strike price, etc.) remain unchanged, I want to see how a spike in VIX would affect the price of the average call option? Assume Vega is ...
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1answer
25 views

Why are implied parameters preferred over expectations of future implied parameters?

For example, when we price options on assets under the Heston model, we often compute the volatility of the volatility of the price of those assets implied by the market at time $t=0$ using the market ...
1
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1answer
92 views

The best approach for screening ATH values for equities

I am trying to automate the trading strategy that I have been previously executing manually. I am having problems with figuring out the most efficient way for a specific step of the strategy. An ...
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0answers
38 views

How should Aggressive Limit Orders be Processed in a Limit Order Book

I am a little confused about how orders get processed in a limit order book, hope to get a better understanding with this post. If we start off with an order book ...
1
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1answer
74 views

Why should future short rates tend towards the current term structure of interest rates?

I'm currently looking at the Hull-White model reproduced below: $$\mathrm{d}r = \lambda(\theta(t)-r)\mathrm{d}t + \sigma\mathrm{d}W(t)\text{.}\tag{1}$$ I have a simplistic understanding of the model. ...
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1answer
66 views

What is a cumulative return series?

I guess this is pretty easy but I cannot find a definition anywhere. I am trying to reproduce a paper and they say they use a cumulative return series at some point. Does anyone know exactly what this ...
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0answers
7 views

Quantlib: loan cash flow

Situation: I would like to make a small script which prices loans (fe annuities or fixed payment) for the ALM purposes. However, I am stuck in the amount of classes existing in Quantlib and would like ...
1
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0answers
43 views

Comparing Negative Sharpe Ratio

It is widely accepted that the higher the Sharpe Ratio, the better. But, how do we compare two strategy with negative Sharpe Ratio? Suppose we have two trading strategy $A$ and $B$. Consider the ...
0
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1answer
59 views

How to get the weights for a beta neutral portfolio?

Given a ranking of 100 long stocks and 100 short stocks. Looking at these 200 betas: How can I find the optimal weights to get a beta = 0 long/short portfolio?
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2answers
200 views

Large data of Equity Price download from Eikon thomson reuters datastream

I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
6
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1answer
247 views

Non-contractual accounts behavioural study

I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ...
1
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0answers
56 views

Is day-trading not a zero-sum game in practice?

I would consider day-trading (by which I mean people sitting in front of their screens, buying and selling assets when they find it appropriate based on (to me very mysterious) indicators such as ...
2
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0answers
68 views

Interpolation 2dimension in Python

I am in trouble with the Chebyshev Interpolation with a function that depends by two parameters. In the case of just one parameter it works, my goal is to approximate the first and second derivative ...
1
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0answers
32 views

How to measure accuracy of SABR volatility surfaces?

I would like to test how accurate are SABR volatility surfaces with respect to historical volatility over a given time period and for a specific equity index. Reading a few papers I realised that one ...
2
votes
1answer
99 views

A question about exercise from “Paul Wilmott introduces Quantitative Finance”

I am new on this forum and i have just begun my adventure with finances, so please be patient. I was solving exercises from "Paul Wilmot introduces Quantitative Finance" and i came across ...
2
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0answers
28 views

Wealth process in the Black-Scholes model with discrete dividends

Good evening, The following problem is the sequel of a previous post I made here a few days ago. Consider the Black-Scholes model with discrete dividends in the interval $[0,T]$. This means that ...
1
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1answer
67 views

Autocallables under LSV

I’m looking at prices of Autocallables under Local vs. Local-Stochastic volatility. The stochastic part of my LSV model is driven by the Heston model. Increasing the volatility of variance parameter ...
0
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0answers
40 views

What happens to options on a SPACs unit class post deal closure?

SPAC unit share classes are typically structured as following: Unit = Stock + (1/5) Warrant When the SPAC deal closes the ticker changes and the unit converts to ...
3
votes
1answer
93 views

How to parameterising Greek Surfaces?

I'm currently working on my master thesis, where I have data on option trading volume and flow (number of shares bought minus sold; i.e., net position), divided among three kinds of market ...
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0answers
53 views

Is this an Example where Maximum Adverse Excursion (MAE) is not useful for a Stop-Loss?

Below is an attached screenshot of a scatter plot of a long position Percentage Return of a Asset Security on the Y-axis, and the Maximum Adverse Excursion (MAE) Percentage on the X-axis. Green dots ...
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0answers
55 views

Trying to recreate results from a research paper on HMM and Kolmogorov-Smirnov Test for forecasting regime switching on SP500

I am trying to recreate this research: Regime-Switching Factor Investing with Hidden Markov Models, by Matthew Wang, Yi-Hong Lin and Ilya Mikhelson https://www.mdpi.com/1911-8074/13/12/311/htm My ...
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1answer
48 views

How do I get European tick size or historical intraday opening and closing prices?

I'm looking for each European stock, the tick size. Given that obtaining this information directly is difficult (I don't think that databases, even the ones for academic purposes provides this ...
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0answers
31 views

Options Exchanges vs Equity Exchanges

I appreciate help in understanding difference between Options exchanges and Equities exchanges, and the domain language used. Per The Options Clearing Corporation (OCC), I see they have exchanges ...
0
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0answers
17 views

FTSE 350 historical constituents

I would like to do some research on the past data of FTSE 350 from 2009 up to the end of 2020. For this analysis, I need to check which components were consistently a part of the index from the ...
5
votes
1answer
141 views

Why are negative option prices possible for callable US treasury bonds?

I am not familiar enough with the theories of option pricing to understand how negative option prices are possible. I found two research papers indicating that negative option prices are indeed ...
5
votes
2answers
158 views

Overall CAGR calculation

I'm one of those data analysts who doesn't have a MBA, so I'm still figuring out the basics of finance as work gets assigned to me. Here's the exact wording I was given: What's the unit cost ...
0
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0answers
60 views

Which curves to use for different swaps?

How do we determine which curve to use for pricing different swaps, for e.g. I don't understand how following come: Interest Rate Swap (USD) Fixed: USD Treasury Floating: none CCS (USDINR) Fixed: ...
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0answers
82 views

How to efficiently scan to whole stock market! Algo [closed]

i'm struggling with a way to scan all stock market symbols looking for condition X while using one data source (websocket). doing iteration like "for symbol1 to symbol11000" is not efficient....
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0answers
26 views

Help with pulling company fundamentals from EDGAR

I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database. I've downloaded the entire US equity universe in JSON ...
1
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0answers
51 views

How to identify active vs inactive ISINs?

Background I understand that through the work of ANNA and GLEIF, the relationships between ISINs and their respective LEI (Legal Entity Identifier) are now more accessible. GLEIF API Lookup To lookup ...
1
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1answer
46 views

What would be the ideal way to develop ECL model for startup fintech when there is no historical data

What would be the ideal way to develop the IFRS9 ECL model for startup fintech when there is no historical data.
11
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1answer
1k views

Market Making Strategies Found by Hamilton-Jacobi-Bellman Equation

Im working my way through the book "Algorithmic and High-Frequency Trading" (AHFT) by Cartea, Jaimungal and Penalva and i'm curious to see how the market making model with an exponential utility ...
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0answers
26 views

Spread duration curve by issuer or by sector

I was surprised to see that spread duration was not offered as a curve in Bloomberg. As a result, I'm trying to find a curve (in Bloomberg) or build a curve (maybe using the Excel API) which ...
1
vote
0answers
28 views

Pricing of a tracker certificate on basket of index futures

i'm new to Quant Stack Exchange but i already saw that the quality of the answers is outstanding, however, i have a question for which i haven't found an answer yet: I'm looking for a pricing model/ ...
3
votes
1answer
214 views

Approximate Asian option price under Heston Model

I am looking to see if there is a formula or a derivation at least of an approximation of an Asian (Average Price) option under the heston model of stochastic volatility. Please advise
0
votes
1answer
78 views

Compute the intraday pivot points

I am interested in calculating and identifying the pivot points on a candlestick plot (i.e. stock values) for different time intervals (e.g. 1min, 5mins, 15mins, 1hour, ...). What is the best way to ...
0
votes
1answer
85 views

Geometric brownian motion small timesteps high volatility

I'm trying to generate some sample geometric brownian motion paths for an asset which is traded 24/7 without interruption and is highly volatile (upwards to 150% implied volatility on options markets)....
2
votes
0answers
51 views

What interpolation methods are standard to use for interpolating on equity volatility surfaces?

The answer to this question (Volatility surface interpolation for Black-Scholes delta hedging) names Cubic Spline Interpolation and Guassian Process interpolation (is this exactly the same thing as ...
12
votes
1answer
518 views

Quantifying climate change risk

I am looking for resources on applicable and practical solutions for estimation and quantifying climate change risk from asset owners perspective (for example, a portfolio of equity, fixed income, and ...
2
votes
1answer
99 views

Australian banks funding

"Typically, Australian banks pay a small premium to swap foreign currency into Australian dollars. This premium is also referred to as the basis, which is the difference between the implied cost ...
2
votes
3answers
3k views

Discount Factors to Zero Rates

I have obtained a Ibor-6Months curve using bootstrapping techniques. For the short-term of the curve I used spot, for the middle-term FRAs and for the long-term IRS. The curve that I have obtained is ...
2
votes
2answers
3k views

Using ISIN to identify stock at yahoo finance

I'm collecting stock data for private analysis. I found a very excessive list of stock at https://www.xetra.com/xetra-de/instrumente/alle-handelbaren-instrumente/boersefrankfurt but the problem is ...
1
vote
1answer
176 views

What is the probability of a lookback option ending in the money (CRR-model)

I would like to compute the probability that a certain lookback option ends in the money, let's say that the option has the following payoff $h_N=\max\left\{0,K-\min\{S_1,...,S_N\}\right\} $ where $K$ ...
1
vote
0answers
35 views

Question on model recalibration upon a spot shift scenario analysis

I am given a plot of the fair value of a complex derivative against a scenario spot shift for a range odd possible shifts (-40% to 40%). Let us say the pricing model is a local vol model. I am unable ...
0
votes
1answer
107 views

Difference of polynomial interpolation for volatility smile

I am using 5 volatility points to build a volatility smile : put 10D, put 25D, ATMF, call 25D and call 10D. I have thus 5 pairs of data : (Delta, Vol) let's say for example (10;5.75) ; (25; 5.50) ; (...
2
votes
2answers
60 views

Delayed Settlement Option- how will values in Black Scholes change

If there is an option that expires a year from now, but is settled after 2 years, how would the Black Scholes formulation for such a situation look like? Will the risk free rate now be for 2 years or ...
2
votes
0answers
41 views

Swap spreads behaviour before Treasury auctions

Not really a quant question but why would someone buy us swap spreads before a US treasury auction. I get the idea of bidding for the bonds and then using the swap leg to asw the bond but whats the ...
0
votes
0answers
53 views

Vanna Greek for a Call Option

I need to compute the Vanna for a generic Call Option, that is: , using the Barycentric Interpolation and at the end compare with analytical result (with BS formula). I am trying to implement this in ...
2
votes
0answers
26 views

How to derive Parameter Derivative within an FFT integral

I have the following function (Carr-Madan) of which I am trying to take the derivative wrt $\theta$: $c(k)=\int_0^\infty \frac{e^{-iuk}}{\alpha^2 + \alpha - u^2 + i(2\alpha+1)u} e^{\phi_T(u-(\alpha+1)...
0
votes
0answers
46 views

Applying day trading strategy into a quantitative strategy

I have been day trading US equities for a while successfully. I have a set of technical indicators and time frame that works for me plus profit taking and stop loss rules. I want to apply the rules ...

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