# All Questions

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### Classic dynamic delta-gamma hedging in Python

I am trying to run a delta-gamma hedge for a Black-Scholes model in Python.The Euler disceretizatioin of the paths is the simplest possible. I wrote the code below but the PnL looks undesirable and ...
32 views

### Expense ratio in ETF price

I am examining the relationship between the price of an ETF and the index it is tracking (in this particular example, the Vanguard S&P 500 ETF (VOO) and the S&P 500 index). I can see the ...
776 views

### Currency risk USD>EUR>EGP

Seeking input on hedging risk on USD to Euro with a 3rd component of payroll issued in Egyptian Pounds. We are a US corp invoicing a Germany entity in Euro with massive payroll being paid in Egyptian ...
8 views

### How to make profit from your own portfolio

Can someone please explain to me after creating my own optimized portfolio, how do I make profit from it? Do I make the portfolio and set it aside for a couple of years and then sell the stock in it? ...
46 views

### Backtesting model results, but backtesting output sampled at different frequency than model output

So, I'm trying to backtest a model that computes P&L. This model pulls sensitivities on a weekly basis and applies market shocks to these sensitivities to project quarterly P&L. I want to ...
36 views

### Banks' use of written interest rate options

I study US commercial banks data. I look at the notional amounts of their different OTC interest rate derivatives for the recent years. When I look at non-dealer banks (i.e. end-users), I find that ...
16 views

### Numerical Solutions to PDEs with Financial Applications

I am reading a paper by Richard White, Opengamma named Numerical Solutions to PDEs with Financial Applications. There is an implementation codes as stated in paper hosted at https://opengamma.com/...
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31 views

### Cointegration between prices and dividends. How do I get the following expression?

Actually, I have two questions: 1. Let us assume that expected returns are constant. Then, we have the following expression for how the prices should be determined, provided that the operators are ...
28 views

### Beta: Cumulative vs. Simple Returns

How would calculating Beta using cumulative returns differ from Beta calculated with monthly returns? Is one more appropriate to use than another? https://en.wikipedia.org/wiki/Beta_(finance)
15 views

### Consider a single period security market with two assets. Assume the current prices are [on hold]

Consider a single period security market with two assets. Assume the current prices are s1(0)=1,s2(0)=2 There are two states at time one and the payoff matrix is A= ( \begin{matrix}1 & 1\\ 1 ...
14 views

### Black-Derman-Toy model AND European-type bond call option

In a Black-Derman-Toy model in which Ω ={ ω1, ω2, ω3, ω4 }, the risk-neutral probability for each state ωi, i = 1, 2, 3, 4 is 1/4 . The spot rates in BDT model are given as follows. ω r1 r2 ...
284 views

### Exposure calculation of a re-coupon swap

How to calculate the exposure of a recoupon swap (when the MTM of an i.r. swap is settled and the fixed rate is reset to the prevailing swap rate for the residual maturity). It's used to reduce the ...
67k views

### A simple formula for calculating implied volatility?

We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility. Is there a simple, closed form, ...
27 views

### How to price a phoenix and snowball type autocallable options?

I'm currently studying the pricing of autocallable options, especially snowball (accumalated coupon) and phoenix (accumlated coupon, but the coupon may also be autocalled if the underlying price ...
25 views

### Which technique determines if var x1 leads var y? Assuming var x1 may need to be transformed

Suppose I want to predict future changes in variable y (stock price over time). I notice that variable x1, inverted and delayed three months, tends to lead y. Which technique can I use to find other ...
2k views

### How to tail a hedge? (Question 3.26 from Hull, edition 10)

I am new to finance so I apologize if my question is really basic (which it probably is). If this is not the right "stackexchange" group for this, kindly refer me to the right one. Let's say you own ...
17 views

### how to model NGARCH using 5min frequency data?

NGARCH model using 5-min High-frequency data in R I wanted to analyze some 5 minute frequency data of stock market. My teacher asked me to use NGARCH to model, but I didn't know how to program.Here ...
16k views

### What is a Heat Rate Option?

I tried a search with google but I can't find a clear definition of what a Heat Rate Option is. I would appreciate if someone could explain to me what this type of option is. My understanding is ...
21 views

### Anywhere to find historical float shares (or restricted shares) of US stocks?

I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
29 views

### Monte Carlo (resampling) in m.v. portfolio optimization

The instability and high sensitivity of optimisation results can be augmented by adding another layer of quantitative methodology in the form of Monte Carlo Simulation. The name Monte Carlo alludes to ...
15 views

### How would I develop confidence bounds for a function of 3 random variables, 2 of which are correlated?

I am tasked with developing confidence intervals for the function x = 1 - |(a+b)/c| where a, b and c are random variables. a and b are normally distributed, but c is heavily skewed left. further ...
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### Does convexity in the IV space means convexity in the price space?

Let's assume that we only look at OTM options to construct a Risk Neutral Density (RND). As the RND is the second derivative of the price of the option with respect to the strike, we would expect ...
12k views

### Probability of touching

For a vanilla option, I know that the probability of the option expiring in the money is simply the delta of the option... but how would I calculate the probability, without doing monte carlo, of the ...
359 views

### API for fundamentals for NSE and BSE

I want APIs for accessing fundamental data of all stocks in NSE and BSE India. I have searched a lot But no luck. Any such services available please guide me. I'm looking for specifically quarterly ...
26 views

### Relationship between correlations of long only and short only portfolio with long-short portfolio?

I am working on one quality and value factor, the correlation between a long-only or short only portfolio of these two factors is respectively 0.7 and 0.8, and the correlation between combined long-...
58 views

### Carry & roll - question regarding the repo transaction

Could someone please explain the carry and roll trade that a lot of traders are doing with negative euro debt? I read an example that they borrow in the repo market then buy a longer dated bond to ...