All Questions

Filter by
Sorted by
Tagged with
0
votes
0answers
6 views

How to calculate mean annualised returns

I am trying to calculate the mean annualised return for a fund using historical monthly returns but I am having difficulty in finding an appropriate method to do so.
0
votes
0answers
11 views

Python Quantlib : How to value the Non Deliverable Interest Rate Swaps?

I followed all the procedure in Quantlib to process interest rate swap valuation through Python Quantlib. I valued more than a million records. All the valuation is almost the expected amount. But '...
0
votes
0answers
25 views

Where does the “Rule of 72” comes from?

I was watching this Khan Academy video. The question is: if I deposit $C$ in a bank that pays an interest rate of $r%$ compounded annually, how long does it take to double my money? Doing the math ...
0
votes
0answers
19 views

What is the difference between “Notional” and “Nominal” values?

Actually I am facing a huge discussion at work about the vocabulary we are using to test products. We keep returning on the question; when do we use the term "Notional" and when do we use "Nominal" I ...
1
vote
1answer
35 views

Outperform the market with a Beta lower than 1, is it possible?

I have a portfolio which seems to have outperformed the benchmark for the past 2 years however the risk system I use advises that using recent past data (lookback period of 2 years) the Beta to this ...
0
votes
1answer
47 views

Throwing a dice and risk neutral probability

Consider the game of throwing a "fair" dice. Not sure if the answer is obvious but is there any proof (e.g. replication argument) that under the risk neutral measure the probability of any outcome is ...
3
votes
1answer
60 views

Solving Stochastic Differential Equation

Given the stochastic differential equation: $$dZ_t = -Z_t \theta_t dB_t, \quad Z_0 = 1.$$ for an adapted process $\theta_t$ and Brownian motion $B_t$, how exactly do I apply Itô's Lemma to obtain: ...
0
votes
0answers
62 views

Recruiter from large firm asking for where I was submitted [closed]

I am copying the question posted on workplace SE below: https://workplace.stackexchange.com/questions/153937/recruiter-from-large-firm-asking-for-where-i-was-submitted I decided to ask here as well, ...
0
votes
1answer
36 views

How many seconds of Longstaff Schwartz would it take to get machine accuracy?

Roughly speaking, using a standard programming language, a standard computer, and a standard implementation, how many seconds would it take to price an American put option to 10+ digits of accuracy in ...
1
vote
0answers
39 views

L2 Assumptions of the Longstaff Schwartz method

In page 121 of the original LS Paper they use the fact that the space of functions they are dealing with (payoffs of American options), belong to the $\mathcal L^2$ space. They use this assumption ...
0
votes
1answer
73 views

How much shall we bet on head/tail with $1m bankroll?

I was asked this question in a trading interview: how much would you bet in a game where you win 300 on tail and loses your 100 on heads? how much will you bet if you can play game once or multiple ...
0
votes
1answer
66 views

Quantlib InterpolatedDiscountCurve zero forward-rate at endpoint

I use QuantLib Python to calibrate a curve based on interpolated discount factors (https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/discountcurve.i). Using LogLinear interpolation on ...
2
votes
1answer
48 views

Marginal Probability of Default for Credit Risk

I am working on a model to predict credit defaults. We have worked out PD's of clients using logistic regression. When calculating the default amount, we have to convert PDs to marginal PDs. The ...
0
votes
0answers
39 views

WACC: should the new issue of debt be averaged?

If a company already has debt in the amount of 3M with the cost of debt of 10% before taxes and common shares in the amount of 4M with the cost of equity of 8% and then decides to raise more money ...
5
votes
0answers
41 views

Intuition behind the Carr and Wu (2014) static hedging for ordinary options

Let $(S_t)_{t \geq 0}$ be the price of an underlying asset, $r$ be the risk-free rate of return, $q$ the dividend yield, $C_t(K,T)$ is the price of a call option written on $S_t$ at time $t$ with ...
2
votes
2answers
60 views

Does the non-causal nature of quant models limit their applicability?

I understand that to describe financial data, we build stochastic models and calibrate their parameters to past data. When coming up with new algorithms, we rely on rigorous backtesting to convince ...
1
vote
0answers
34 views

What is a good way to think about and estimate VIX half life?

Would it make sense to run an AR(1) regression to estimate a beta and then estimate the half life as -ln(2)/beta?
0
votes
1answer
41 views

QuantLib Error “=negative probability”

I am trying to calculate the price of an american option. The code works fine for some options but for an deep out of the money call, I get the above error. Below is my code that I am trying to run. ...
1
vote
0answers
46 views

What are some special trading phenomena that would be interesting to research?

I'm looking to research special trading phenomena like end-of-month bonds activity, daily closing imbalances in cash equities, futures expiration/settlement manipulation (like in VIX) etc. What are ...
0
votes
0answers
41 views

What are the most traded Forex and Equity derivatives? [closed]

I'm willing to add new products in my Equity and Forex pricing and risk management website Valometrics.com. So, I would like to know what type of products to incorporate in the web platform. I ...
0
votes
0answers
24 views

xperi tivo and metis buyout deal

Anyone have a feeling as to what is going on here? Trying to follow along to learn more ... looks like Metis has offered all-cash for 20% premium on current share price but board is blocking. I think ...
0
votes
1answer
37 views

What can I do with AIG+

Got the following (after the star symbol) What Can I do with AIG+ WARRANT I have? What will happen on 01/12/2021? What will happen on 01/14/2021? Will I get $45.088365 PER WARRANT ? What will ...
1
vote
0answers
39 views

Kupiec Test Backtesting VaR

I am currently analyzing the Kupiec test used for backtesting $VaR$. Suppose that I backtest a $VaR$ system for $n$ days (for example 250), with a confidence interval of $1-\alpha$ (for example a $1-\...
0
votes
0answers
11 views

Central Pricing Relation CCAPM

I need to understand what to do, when i take the covariance of an expression that looks like this: $\operatorname{cov}_{t}\left(\frac{U_{1}\left(\tilde{c}_{t+1}\right)}{U_{1}\left(c_{t}\right)}, \...
0
votes
0answers
50 views

American option pricing [closed]

Let $C(S,T)$ an american call option with maturity $T$ on the underlying $S$, then: 1) The price of the derivative is greater than the equivalent European call option 2) The higher the delta, the ...
0
votes
0answers
31 views

Delta approximation of an option [closed]

If f(t,s,sigma) is the price of an option, where t is time, s is the spot price of the underlying asset and sigma is its volatility,ù which of the following quantities is an approximation of option ...
1
vote
0answers
55 views

Vanilla option pricing at different points in time

Let $C(t) = C(t; S,K,T)$ the price at time $t$ of a plain vanilla call option with maturity $T$ and strike $K$ on an underlying $S$; if for $t_1<t_2$ we have $C(t_1) > C(t_2)$, it could not be ...
0
votes
0answers
43 views

What does “invest in portfolio volatility” mean?

In this paper, Barnea, Amir, Henrik Cronqvist, and Stephan Siegel. "Nature or nurture: What determines investor behavior?." Journal of Financial Economics 98.3 (2010): 583-604. it is mentioned ...
0
votes
0answers
45 views

Expected growth of a function of a GBM [closed]

Suppose that $S_t$ follows a Geometric Brownian Motion and that $Y_t = F(t,S_t)$. Let $\sigma_S$ and $\sigma_Y$ be the volatilities of $S_t$ and $Y_t$ respectively. If the expected return of $S_t$ ...
0
votes
0answers
31 views

Prerequisites to learn Quantitative Trading [closed]

I am a computer science student and I wanted to get into quantitative trading. Which parts of trading, finance and economics do I have to learn. Please suggest a path and books or other resources ...
0
votes
3answers
63 views

Where can I retreive the end of day fx prices?

I'm developing a reporting tool and I need a data source for end of day price data. For example, it should give me the XAUUSD price at a specific date, say 2019-12-05. Do you know such a data source? ...
1
vote
1answer
31 views

GARCH(1,1) estimation in R via fmincon

I try to replicate Duan's (1995) results on option pricing in GARCH model. I have the same dataset and I follow MLE method described in book Pricing Option under Stochastic Volatility (Pretoria 2003). ...
0
votes
1answer
14 views

What does it mean when cumulative return intersects or is below the risk free rate?

I am learning about the basics of Risk Adjust Performance when I stumble upon something odd with some sample data about UPS. Clearly, the UPS stock's cumulative return is underperforming the market; ...
0
votes
0answers
24 views

What can be used as a good proxy for OIS?

I was trying to find a good proxy for OIS. Let's say you have access to USD OIS rates only starting from 2016. What instruments or curves can be used to model OIS such that it can replicate OIS ...
0
votes
0answers
42 views

Finding the Efficient Frontier in Tensorflow

I have two assets A and B. Asset A has an expected return of 0.92% with a standard deviation of 2.10. Asset B has an expected return of 1.39% and a standard deviation of 2.20. I want to find the set ...
0
votes
1answer
17 views

Relationship between Data Size and Arima Prediction Interval Width?

When we use Arima model to acquire Interval Predictions, will the width of prediction intervals decrease if we use more data (longer history) to fit the model?
-1
votes
1answer
43 views

Link between spot and forward rates in no-arbitrage world

With reference to the forward exchange rate definition, let be: $S$: the spot rate $F$: the forward rate $r_d$ and $r_f$: respectively the domestic and foreign interest rates $DF_d$ and $DF_f$: ...
0
votes
1answer
35 views

MonteCarlo option pricing error estimate

Consider the problem of pricing an option via MonteCarlo with 10000 simulations. If the variance of the simulation is 100, which is the MC estimate of the error on the price?
-2
votes
1answer
54 views

Why is it not a markov process, but a martingale process?

I understand how the n+1 outcome depends on nth outcome, and nth outcome depends on n-1, but how to show it?
0
votes
2answers
38 views

Updated Time Series Prediction Model When acquiring new data Points - Basic Question

Suppose I have a Time Series Model (assume ARIMA) and use it to make one-step ahead prediction. If I acquire a new data point, (for example I was originally using the first 100 days to fit an Arima ...
-1
votes
1answer
67 views

How to show if this is Martingale or not?

Consider the outcome of a game played by repeatedly tossing a fair coin, where you win a dollar if heads appears and you lose a dollar if tails appear, the outcome is denoted $X_1$, $X_2$, $X_3$,...,$...
0
votes
0answers
18 views

What is the continuous time approx formula for the par yield curve?

I understand that the par rate is the single discount rate that you would use to discount all of the bond’s cash flows to get today’s market price. I also see that assuming a spot rate function $R(t)...
0
votes
1answer
34 views

How do we derive the Radon-Nikodym derivative for T-forward measures?

Let $Q^{T_e}$ denote the $T_e$-forward measure and let $Q^{T_p}$ denote the $T_p$-forward measure. I have seen the following Radon-Nikodym derivative being used in derivations. For $0 \le t \le T_p$, ...
1
vote
2answers
60 views

How do we determine the “correct measure”?

Frequently I come across the statement that the "correct measure" for a product is this-or-that measure. For example, Eurodollar Futures or Stock returns - Risk neutral measure Libor forward rate - T-...
0
votes
1answer
44 views

Cross Currency Swap - is par basis supposed to change while OIS discounting rate is changing?

Assume a USDJPY cross currency basis swap priced using usd ois & usdjpy basis curve as discounting, and usd libor & jpy libor as projection curve. Now if usd ois is moving in the market while ...
1
vote
0answers
34 views

Downloading all stocks of an index from CRSP

I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly? ...
0
votes
1answer
84 views

Derivation of Swap rate formula

Assuming usual notation, I derive the floating rate and fixed rate payoffs and set them equal. The par swap rate I get thus is: $$S_{mn}\mid_{t=0} = {\sum_{i=m}^{N-1} \tau_i L(0, T_{i-1}, T_i)Z_{0i} \...
4
votes
0answers
48 views

Relating two equations in a jump-diffusion process

I am trying to understand an argument involving the pricing kernel $\xi_t$ in the context of a simple jump diffusion model for the price of an asset $S_t$: \begin{align} \xi_t = \exp \left[ -\theta ...
0
votes
1answer
64 views

Why does a Bermudan option have a higher implied volatility than its European counterpart?

I get that the premium for an earlier exercise should be higher to compensate the seller but intuitively you would think that the spot has "less room to run" in a potentially shorter period of time (...
1
vote
0answers
42 views

Vol surface fitting with 5 degrees of freedom

For an options market making operation I need to be able to build a volatility surface, based on only 5 degrees of freedom, like e.g.: MaxPut, MaxCall, Skew, Curve and At The Money Vol. Is there an ...

15 30 50 per page
1 2 3 4 5 290