# All Questions

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14 views

### Limits of Credit Card Factoring [closed]

I'm building a business plan for a company that would operate in the hotel reservation field (similar to Trivago and others). It's an exercise on credit card processing for e-commerce businesses. In ...
16 views

### How to Take Advantage of Arbitrage Opportunity of Two Options

I got the following interview question and corresponding solution, but I have a different understand that might be wrong, so I really appreciate your advice on it: A European put option on a non-...
76 views

### Why is it desirable to receive fixed on a zero coupon swap, and undesirable to pay fixed on a zero coupon swap?

In most established rates markets, swaps are discounted using risk-free reference rates, such as Sonia in the GBP market and Eonia in the EUR market, as opposed to Libor. Because of the way zero-...
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### Uncovering patterns in price timeseries using linear regression

I have some minute-bar data which my professor suggested I resample to 5 minute bars and then separate it into timeseries per bar period. For example, I get one time series for 12:00, another one for ...
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### What variables are used for the Institutional Activity Index (IAI)?

I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out ...
12 views

### Where can I find historical prices of options? [duplicate]

I am looking for historical prices for appl call option for 230 strike price starting from 12 weeks back. Where can I find the data?
18 views

### Does “Interest Costs during Construction” impact NAV or IRR of a project?

Does “Interest Costs during Construction” impact NAV or IRR of a project? Companies often, based on accounting principles, capitalize Interest Costs during construction (i.e. they added fixed asset by ...
29 views

### Residual Income Valuation with Term Structure

I'm implementing a residual income model (RIM) to value stocks as described by Ohlson. https://pdfs.semanticscholar.org/c0a5/4ef41311951fe406d15cd7d7ce19502cdc7c.pdf The key to this model is ...
25 views

### How important is it that numerical methods can price for various strikes simultaneously?

I am reading a paper which presents a numerical method to price call options. Call this Method 1. The method can also price several call-options for a range of strikes simultaneously if you want it to,...
17 views

### Market model for european/american options on underlying paying discrete cash (and maybe proportional) dividends

Black Scholes is the market model for european and american options on an underlying paying no dividends. What is the standard market model for european or american options of underlyings paying ...
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108 views

### What are Market Makers hedging?

I know that the target of the market makers is to provide liquidity to the markets. Right now I'm working as a developer in a quite large project of F.I. I know that they are providing liquidity for ...
55 views

### calibration - negative call price

Im trying to calibrate a stochastic volatility model to market. I end with an MSE of 2-3 with approximately 500 quotes. Some out of the money options with call-price under 1 dollar ends up being ...
34 views

I am trying to compute the pnl of an option where for the both days option greeks delta, gamma, vega, theta and stock price and IV is given. I know the option pnl will be the sum of delta pnl+ gamma ...
55 views

### Put implied volatility increasing over time, is this normal?

After calculating different volatilities surfaces (IV, Heston and Dupire) from my European call data, I was wondering if it would be the same thing from my put data, as it should be ( ?). But I had ...
36 views

### What is the difference between exercise and expiry date?

I know in American options you can exercise the options at any time before expiry date but in European options you can only exercise the options on expiry day. On National Stock Exchange of India the ...
35 views

### Uridashi and Redeem Uridashi [closed]

What are Uridashi and Redeem Uridashi Options? Please explain with examples their significance.
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### Forward rates are martingale under the T-forward measure

Forward rates are martingale under the $T$-forward measure but this derivation is suggesting otherwise. Could anyone please point out the mistake ? Let $dW_Q$ be a Brownian Motion in the risk ...
32 views

I’m struggling with the interpretation of quoted option prices I obtained from Bloomberg. The call options prices are available for a daily time series with different strikes at a given day. I ...
43 views

### Recovering index weights via least squares regression on components

As an exercise, I wanted to re-construct the index weights for the Nasdaq-100 (^NDX) via linear regression. For these purposes I got the daily adjusted close of its 103 components from alphavantage.co ...
64 views

### Proof that $\exp(aW(t)-0.5a^2t)$ is a martingale

I'm trying to prove that $Z(t)=\exp(aW(t)-0.5a^2t)$ is a martingale where $W(t)$ is a Wiener process and $a$ is a constant. Here is my attempt: E[Z(t+s)] = E\left[\exp\left(aW(t+s)-0.5a^2(t+s)\...
26 views

### Relationship between Calendar Spread Arbitrage and Probability Density Function (pdf)

We all know that the butterfly spread no-arbitrage condition can be expressed as an inequality restriction on the second-order derivative $\partial ^2C/\partial K^2 \geq 0$, which also means the ...
23 views

### CAPM Properties, Covatiance calculation (Can someone please explain the posted solution.) [closed]

Can someone please explain the posted solution.
47 views

### Heston Model and antithetic variables

I was implementing some variance reduction techniques for the heston model and came up with a question when implementing the antithetic variable technique. Namely, I was not sure if I had to implement ...
28 views

### Can you reduce the amount of VWAP sale by initiating a VWAP buy against it?

Outright cancelling the VWAP sale order and resubmitting a new order would result in a VWAP "price" that is very different from the theoretical VWAP. Could this be used to get a closer VWAP price ...
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### Swaps curve building with Deposit, FRAs & Swaps

I'm new to curve building with Deposit, FRAs & Swaps, I understand the process the main struggle I've is with day conventions and swap delays,cash delays, pay delays ... it's hard to find a book ...
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### Fama-Macbeth Regression: Weird Risk Premia

I just conducted a Fama-Macbeth regression where in the first step I calculated a time-series regression for each individual stock to get three betas (for mkt-rf, smb, hml) for each stock. Then I ran ...
36 views

### Vasicek Model Parameters Estimation

I'm currently trying to estimate the market price of risk (lambda) in the Vasicek Model, and am running into difficulties. Using the Excel Solver tool and the Maximum Likelihood Estimation method ...
41 views

### Formula for quantiles of swaprates in the 1-factor Hull-White model

Is there a closed formula to approximate the quantiles of swaprates in the 1-factor Hull White model? Background The Hull-White is a Gaussian model for the short rate. Its mean and covariance ...
29 views

### how to find a good ML stock prediction implementation? [closed]

I know there are lots of github repositories about applying ML techniques into stock market prediction. But I can't find the one for my purpose: Suppose I have lots of data sets from stock exchange ...
23 views

### In building volatility curve for etf options, should I use synthetic forward price or cash price

Assuming option market moves faster than ETF cash price in intraday high frequency setting. That means at each time point, when implied volatility is calculated by black-schole model by using cash ETF ...