# All Questions

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### Create Random Portfolio Loop

I have semi annuals returns for 303 different stocks. What I want to do in R is create a portfolio of 1, then 1-2, 1-2-3 etc. untill 100 securities is reached. Now the problem is that whenever a ...
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### How to analyse under-weighting of boundary information in monthly overlapping one year observations

According to the EBA GL 2017/16 there is the possibility to estimate long run average default rates using overlapping one year default rates. Thus, let us define for each month $i=1,\ldots,m$: $L_i$ ...
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### Bootstrapping with QuantLib using deposit rates and Swap rates

I'm trying to bootstrap and to get a zero coupon yield curve with maturities ranging from 2019 to 2059 Here is my code: ` ...
28 views

### Valuation of Cash-Or-Nothing option

Studying options pricing, I'm stuck with the following problem: The price of a stock is described by the dynamic: $$dS_t = \mu\, dt + \sigma\,dW_t$$ Compute the fair price of a Cash or Nothing ...
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### is there a specific design pattern in C# to model a yield curve into the NS model?

I successfully managed to have a nice NS model to a yield curve I am studying using R, while I am still beginner in C# I wonder if there is a specific design pattern I should follow in order to put ...
32 views

### Portofolio optimization using ARMA-GARCH-EVT-Copula

I am currently trying to do some portfolio optimization by reproducing the methodology found in Sahamkhadam, Stephan & Östermark (2018) ("Portfolio optimization based on GARCH-EVT-Copula ...
24 views

### Generalisation of calendar arbitrage condition to options on futures

This question has discussed the condition on which calendar arbitrage opportunities arise for European call options on a stock. Do similar criteria exist for European options on futures? The most ...
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Suppose I am long spread option with underlying : rate A - rate B. The vega on the option would be positive. But if I want to compute the option vega with respect to individual rates, can I use the ...
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### Advantage of continuous time stochastic calculus over discrete version?

I'm new to the stochastic calculus, and I keep converting the continuous stochastic differential equation to its counterpart in discrete time, such as the autoregressive models. I wonder in practice, ...
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### Doubt about metrics in the Performance analytics package of R [on hold]

I have a large database of daily returns on investment funds. I would like to know if to apply the performance evaluation metrics, such as Sharpe ratio, Information Ratio, etc., of the "Performance ...
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### Monte Carlo Simulation with varying expected returns and volatilities

I have yearly CMAs which denote the 5-year forward looking returns and vols. These CMAs are updated every year. For example in 2004, the outlook for next 5 years is 11%, in 2005 the outlook is 10.8%. ...
23 views

### FX Options Greeks: Is there a meaning in converting the sensitivities values in different currencies?

Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93 Does it make sense for any reporting reasons to convert this value into JPY ? What is even the ...
100 views

### Intuition behind Implied Volatility Surface

When looking at an implied volatility surface, are there some intuitive conclusions that one can draw from the shape? E.g. the steepness of the wings, the skew etc? If one for example compares two ...
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I am busy working on a getting started guide for advanced quantitative finance (for alpha design) and have been searching for the seminal books/literature for the field. So far I have the following ...
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### Pricing eurodollar futures

How are Eurodollar futures priced in practice? What I already know: The implied 3 Months rate by the futures is 100-price, since it matches the payoff. Using daily LIBOR rates, one should be able to ...
88 views

### Overlapping vs Non-overlapping returns

Suppose I want to estimate the following regression: $R_t=\alpha + \beta X_{t-1} +\epsilon_t$. Where I use asset returns as the dependent variable. Both overlapping as well as non-overlapping returns ...