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5 views

Capped Variance Swap // Fair volatility using replication portfolio

I know that the Heston volatility model should be the best approach for computing fair volatility on capped variance swap but is there a way to estimate it from replication portfolio? What I call ...
0
votes
0answers
3 views

Configuration of control parameters tol and delta in the rsolnp package

I am working with the rugarch package which includes a solver.control argument. I am using the solnp solver. I can pass values for tol and delta. In the rsolnp the authors suggest that the control ...
0
votes
3answers
61 views

Ito Integral of functions of Brownian motion

How does one show that: $$ \mathbb{E}\left[ \int f(W_s)dWs \right] = 0 $$ For all $f()$ that are powers of $W(s)$?? I assume that one would have to go via the definition of Ito integral and express ...
1
vote
1answer
33 views

How do leveraged ETFs achieve their investment objectives?

I am interested in the ways how those leveraged ETFs, e.g. TQQQ, achieve their leveraged investment objective. Questions are around, Do they use stock options of the underlying asset primarily to ...
0
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0answers
23 views

Using Timeseries DB for Tracking Asset Performance over time

I am building a system that allows users to purchase digital assets, and i would like to know the asset's performance of individual users. A user may purchase an asset multiple time in a single day, ...
1
vote
1answer
32 views

Simulating the Rough Heston

I found this paper here https://arxiv.org/abs/1810.04868, "The Lifted Heston", but since I'm not an expert in stochastic volterra processes , nor in fractional ricatti equations, the math is ...
0
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0answers
26 views

What is the formula for the global minimum variance portfolio with positive weights?

I know how to algebraically solve for the weights when short selling is allowed but I can’t seem to find the formula for when it’s strictly positive an the weights sum to 1 anywhere online.
0
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0answers
32 views

Ultrashort ETFs and YTM

Currently I hold the ETF JPST with steadily declining yield. For example, the last published YTM was .81 on 6/30/20, and the most recent SEC daily yield was .57 on 8/7/20. My question, with JPST as ...
3
votes
3answers
48 views

FED rate cuts don't exist

I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...
0
votes
1answer
23 views

Consistent offset/lag in time-series prediction using Neural Network (all code provided)

I'm using a neural network (keras package) to predict Bitcoin prices 48 hours in advance. The issue is that for some reason, my predictions are "correct" but they are lagging behind the true ...
1
vote
1answer
43 views

help with derivation of equation 8 in Derman and Kani's binomial tree for local vol

in this paper "The Volatility Smile and Its Implied Tree" - Derman and Kani 1994 i understand the derivation of all equations up to 7. But eq 8 i cannot figure out how to derive! i have ...
0
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1answer
39 views

Calculate annualized returns and annualized volatility from monthly returns?

I have a dataset with monthly returns (In decimals) Jan-2008, Feb-2008 .... Dec-2008, Jan-2009 .... Dec-2017 This is what I have done, ...
0
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2answers
48 views

What do large weights above 1 in a portfolio represent?

If I have a portfolio consisting of weights -12,11,3,-2,5,-5, I know that negative weights correspond to shorting but what do these large weights represent? I thought the weights are the proportion of ...
0
votes
1answer
79 views

Quantlib: How do I price a ZC bond using the Hull White model?

I am trying to use QuantLib to model short rate and looks like QL has some material here http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html I have been able to simulate ...
-2
votes
1answer
46 views

Quanto CDS- basic question- [closed]

Just wanted to know if the quanto CDS hedge each other or not, if we assume that the quanto ratio is 100%(1). Also, is it true that in stressed condition the volatility of CDS with home ccy decreases ...
1
vote
1answer
56 views

Why is the liquidity of ATM stock options often relatively low even if the underlying security is being traded in large quantities

I am currently trying to learn more about options trading and option strategies. One thing I have noticed recently is that for a lof of stocks I look up on yahoo finance often a very low open interest ...
0
votes
1answer
53 views

FX convertability modelling: have FX markets ever closed down?

I am working on modelling the risk that a bank's cash in one currency could not be converted into another currencies. This convertability risk has liquidity implacations for the asset liabilities ...
0
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0answers
25 views

Do asset return correlations have strong non-linear interactions? [duplicate]

If I compute the correlation matrix for $N$ stocks or indices, are there always expected to be strong non-linear dependencies between each asset pair-wise? Or are there only linear dependencies in ...
0
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0answers
30 views

Is there a performance measure for the entire efficient frontier?

The Sharpe ratio is an example of a performance measure for individual mean-variance efficient portfolios, regardless if they maximize the Sharpe ratio or not. The efficient frontier, however, ...
0
votes
2answers
83 views

Do basket options have a closed form valuation formula?

Suppose I'm simulating a European call option on a basket consisting of N stocks with slightly varying volatilities but all other parameters remain the same. From the perspective of an estimate, it ...
0
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0answers
27 views

Why do only portfolios of indices show elliptical dependence?

Elliptical distributions imply an asymmetric relationship between variables such as financial returns of different assets. I'm guessing this is mainly due to skewness, although I might be wrong and ...
0
votes
0answers
20 views

Secured Overnight Financing Rate (SOFR) ISIN

Does anybody happen to know the ISIN of the Secured Overnight Financing Rate (SOFR)? I can't find it anywhere on the NY Fed website.
1
vote
1answer
61 views
-1
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1answer
69 views

How to simulate Poisson and Compound Poisson process

someone knows, maybe websites / blogs where I can find tips (preferably ready codes) to simulate the trajectory of processes? So far I only need the Poisson process and the compound Poisson process ...
2
votes
2answers
163 views

Exchangeability of random vector

I hope you can help me with this rather basic question that I asked myself. A random vector $(X_1,...,X_n)$ is said to be exchangeable if it has the same distribution as the permuted random vector $(...
0
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0answers
39 views

Adding Constraints to Efficient Frontier

I'm using an optimization method to solve an efficient frontier but I want to add two restrictions additionals. My optimization problem is: ...
0
votes
0answers
49 views

Can I build an efficient frontier using matrix algebra?

If i have a vector of expected returns $A$, a covariance matrix $C$ and a vector of the corresponding weights $W$ for each investment, is it possible to generate the efficient frontier with vector ...
1
vote
0answers
70 views

Good textbooks on xVA

I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few? Your pointer will be highly appreciated. Many thanks,
0
votes
0answers
36 views

Optimizing Portfolio Return by Targeting Variance

I understand Markowitz and targeting returns to minimize our variance. I know this optimization problem well and its constraints. However when the reverse scenario is to be considered I get very ...
0
votes
0answers
49 views

Wrong way risk exotic option

I've priced an exotic option with Monte Carlo method under the Heston model. Then I want to estimate Wrong way risk. In a paper I've found this method to calculate WWR: WWR can be modeled by means of ...
-5
votes
0answers
26 views

Compute the fair value of an American call option [closed]

Compute the fair value of an American call option with strike K=110K = 110K=110 and maturity n=10n = 10n=10 periods where the option is written on a futures contract that expires after 15 periods. ...
0
votes
0answers
11 views

FF 3 factor Data for china

I have visited http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, I found it only available for US,Is there any way to get FF 3 factor data such as SMB and HML for chinese stock ...
-2
votes
0answers
55 views

Covid cause and effect [closed]

Is covid related lack of demand the cause of poor job growth? Or does the poor job growth cause poverty and covid? Or, do they interact? How do I model this quantitatively?
-1
votes
0answers
48 views

Estimate interest rate in USA next year and GBP/USD one year forward exchange rate [closed]

Spot Exchange Rate: GBP 0.825/USD Expected Inflation rate (USA): 5% Expected Inflation rate (UK): 2% Annualized Interest rate (UK): 6% Annualized Interest rate (USA): Unknown Both PPP and IRP hold.
1
vote
0answers
70 views

How to implement an “Active Long Volatility” Strategy?

The research paper "The Allegory of the Hawk and Serpent" describes an asset allocation referred to as the "Dragon" Portfolio, which allocates 18% to "active long volatility&...
-2
votes
2answers
114 views

Why has the market gone up while earnings got pummeled? [closed]

Earnings are down 42% while the market is flat over march. Why are people assuming total economic collapse is great? Are they assuming iPhones will enter a massive growth spurt just because people are ...
2
votes
1answer
106 views

How to calculate the covariance involving Stochastic process

I was looking at some old post : Variance of time integral of squared Brownian motion I failed to grasp 2 derivations - $\text{Cov}\left(\int_{0}^{t}W^3_sdW_s\,,\,\int_{0}^{t}W^2_sds\right)$. I know ...
2
votes
1answer
94 views

PV of the Floating Side of an “Overnight Index Swap” (at the fixing Date)

I have a mathematical / theoretical question regarding the PV of an Overnight Index Swap (Floating Side) at the time of fixing. Starting from this question: How to compute Overnight Index Swap (OIS) ...
0
votes
1answer
35 views

Where bonds are marked v.s.where bonds are traded

We can get bond live prices from various venues, for example, BBG's CBBT prices. Usually you would get bid/ask prices. Are these prices prices that people called bonds' marked prices ? are they ...
-1
votes
0answers
27 views

Sample 5 minute close price with SQLite

I've got price data in the following schema CREATE TABLE quotes( utc_time INTEGER, # seconds low REAL, high REAL, open REAL, close REAL, volume REAL ); ...
0
votes
0answers
45 views

How can the different r2 score of an AR(1) model on prices vs. returns be explained

This is maybe a silly question, but I want to understand. As far as I understand an AR(1) model, it is basically a linear regression model with the same but lagged variable, right? However I am ...
0
votes
1answer
52 views

Using Integrals With Internal Rate of Return?

I'm taking a Calculus 2 course this Fall, and for my honors project, I will be using the IRR function. My professor is requesting that I figure out a way to use an integral with the IRR. The cash flow ...
0
votes
0answers
52 views

What python library do you use for portfolio analytics?

I have been relying on empyrical and pyfolio, which are great packages but seem to lag a little behind the newer versions of pandas. I was wondering if there are other open-source python libraries ...
1
vote
0answers
42 views

Can you approximate stochastic volatility processes using GARCH processes?

Let me specific. Suppose that you have the following process: \begin{align} z_t &= \sigma_t \epsilon_t \\ \sigma_t &= \sigma \exp \left( \frac{v_t}{2} \right) \end{align} where $v_t$...
-1
votes
1answer
49 views

Good ways to select best decision among N decisions, each with a profit/loss distribution? [closed]

I'm working on a problem where an asset owner (e.g., owner of a factory, power plant, etc.) can take a number of possible decisions (say 10). Each of those 10 decisions entails certain actions, but ...
0
votes
0answers
16 views

Discrepancy for apple insider trades between Yahoo finance and other sources

https://finance.yahoo.com/quote/AAPL/insider-transactions/ https://www.marketbeat.com/stocks/NASDAQ/AAPL/insider-trades/ Yahoo says there is insider net buying over the past 12 months. Other sources ...
0
votes
0answers
45 views

Difference between IR01 and DV01? [duplicate]

So I understand that both measure interest rate sensitivity, however, DV01 = duration * notional * (1 bp change in YTM) / 10000 IR01 = ?? I understand it also reflects the value when 1 bp change in ...
1
vote
1answer
34 views

TD Ameritrade “Get Orders By Query” API call documentation/help

First time to algorithm trading, python, and Quantitate Finance so apologies up front. I have noticed a lack of any good documentation for the TD Ameritrade API anywhere and especially with any of the ...
1
vote
1answer
50 views

Factor Model Regression Market Factor Statistically Insignificant After Adding Extra Factors

I am running a simple 4 factor model which includes the factors: Benchmark (Market - FortyConsumerSixtyHealthcare), SMB, HML and MOM. When I simply apply the regression to the portfolio returns and ...
-3
votes
0answers
102 views

Why dont people just short leveraged etfs? [closed]

You can short uvxy for 30 and buy a vix 60 option for 1. ETFs go down like 19% a month. Why dont people just get a cheap hedge and short leveraged etfs? How is something this stupid allowed to exist?

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