# All Questions

12,670 questions
8 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 ...
37 views

32 views

### Difference between modelValue from HestonModelHelper and NPV() from VanillaOption

I am trying to calibrate an Heston model and price vanilla option using Quantlib 1.15 and Python 2.7. I use the following code ...
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 ...
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 ...
97 views

### How to create a volatile market, by combining less volatile markets?

This might be against the law of gravity, but I'll give a try 🙂 Is there a way to combine two financial products $p_1$ and $p_2$, into a single product $p_c$ that is more volatile than its ...
68 views

### exponential weighting on volatility

I am trying to apply a volatility strategy. I am reading a paper where the authors defined the volatility as: "Exponential Weighted Volatility of returns with a 1-year window and 3-month half-life" ...
30 views

### Choquet integral risk measure

I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?
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 ...
50 views

### 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 ...
77 views

### Reference on Futures basis trading strategy

I have heard that it is possible to trade on the futures basis. In my understanding, the futures basis is essentially the difference between the futures price and the underlying asset (also referred ...
25 views

### Strange results in Fama-Macbeth regression estimates

I am reading the paper Chordia, Tarun and Subrahmanyam, Avanidhar and Anshuman, V. Ravi, Trading Activity and Expected Stock Returns (Undated). Available at SSRN: https://ssrn.com/abstract=204488 or ...
47 views

25 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 ...
76 views

### Geometric Sharpe ratio

I'm computing different metrics for mutual fund performance. I want to use classic Sharpe ratio, but I also got to know there is geometric Sharpe ratio. Unfortunately I didn't find enough info about ...
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. ...
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.
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 ...
37 views

### Why doesn't tenor of Euribor index change spot rate in Quantlib?

I'm trying to create a yield curve in QuantLib based on swap rates. The swap rates I'm using have a 6 months fixed frequency and a 3 month float frequency based on LIBOR. What I don't understand is ...
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?
51 views

Relatively simple question, but came upon it in class and have not been able to come up with an answer: The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
51 views

### Practical Skew Model For Equity Options?

I'm looking for a simple model I can use to calibrate equity implied volatility surface. There are several models published in the literature, and most of them seem far too sophisticated for my ...
36 views

### Dependence modelling in Finance

we have copula as a function of cdf of random variables to describe how they are related to each other. I have one question in my mind that, how can we generate a new copula function?
93 views

### How frequently is local volatility calibrated to implied vol surface, in practice?

This has two related questions - How frequently do equity derivative traders re-mark the implied volatility surface - (i) once a day (e.g. at start of trading day, or end-of-day), or (ii) ...
50 views

### How to add annualized quarterly returns? [on hold]

I have four quarterly returns that have all been annualized. How do I calculate the annualized return for the year from these values? Or do I need to back into them to get the holding period returns
47 views

### How would one go about pricing a FX future?

What model/equations would I require to calculate the price for a foreign exchange future? This is in an attempt to mitigate foreign exchange risk. Also, how could one measure a business's exposure to ...
25 views

### high quality daily data [duplicate]

I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices. Currently I am ...
41 views