All Questions

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

How to show the Bermudan put option is convex in strike price?

Is there a way to generalise the arbitrage argument for a European put being convex in strike price to the Bermudan option? (i.e. considering two portfolios, showing one has greater value than the ...
3
votes
0answers
77 views

Boundary condition in perpetual american option problem

I am trying to solve the perpetual American option problem. Currently I'm following this (slide 9). The stock price is modelled as Ito's process. $dS_t = (\mu-D_0)S_tdt\ +\ \sigma S_tdW_t $ where $...
0
votes
1answer
52 views

Payer and Receiver Swaption

What is a delta of a payer and a receiver swaption? Is it negative for receiver swaption and positive delta for payer swaption?
0
votes
0answers
10 views

Results of Fama french three factors model and Fama MacBeth cross sectional regression

I am doing research work on “Idiosyncratic volatility and stock return”. I have calculated Idiosyncratic volatility with the help of Fama french three factor model. IV is defined as the standard ...
0
votes
0answers
20 views

Building Limit OrderBooks methods (order-based) or (level-based)

I'm trying to implement a code to build limit order books. While doing some research I have seen two methods mainly, order-based for equities and level-based for futures. I could not understand why ...
0
votes
0answers
13 views

Ratio of mean profit to its standard deviation in algorithmic trading system

I am trying to build a trend following system. Currently, I am backtesting it on historical data. After several thousand operations, the mean profit is positive after commissions, but its standard ...
-2
votes
1answer
53 views

If options markets tell a different story than the equity markets, doesn't this difference violate the EMH?

Doesn't this difference infringe the semi-strong form of the EMH? I quote Zvi Bodie, Alex Kane, Alan J. Marcus's Investments (2018 11 edn). p 338.       The semistrong-form ...
0
votes
0answers
17 views

Quantlib-SWIG Python: impliedHazardRate requires “warm” discountcurve

I am getting different results from the CreditDefaultSwap().impliedHazardRate() method, depending on whether the discount curve passed is "cold" i.e. just created ...
0
votes
2answers
28 views

Value a Swap with Custom Coupons with QuantLib

I'd like to valuate a custom Libor3M - Fix swap with QuantLib in Python. With custom I mean, custom starting/end/payment dates for every coupon, a fixed coupon in the float leg (starting_date < ...
3
votes
2answers
315 views

What does it mean to “calibrate vols”

As a beginner, it can sometimes be hard to discern what different terms and phrases mean in QF. I've heard multiple people such as academics and market-makers say things like "calibrate vols" or "...
0
votes
1answer
72 views

calculation of theoretical value of futures contract

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
0
votes
0answers
33 views

Future Value Mathematical Formula For Operating Lease Under U.S. Rule

Thanks in advance. I am trying to code a function to calculate the payment for an operating lease based on U.S. rule. I have spent over a week trying to figure out the formula but the output does not ...
0
votes
0answers
23 views

Fair value calendar roll

I am trying to replicate a sell side report that calculates the fair value of the calendar roll. I assume the proper way to do this is to get the forward prices for the cheapest to deliver securities ...
0
votes
1answer
23 views

in-sample vs. out of sample conundrum

Lets say I for work with data from 2000-now in one sample (in-sample), and lets say that my out-of -sample will be from 2000 to 1950. I will then get some type of out-of-sample result. If i then run a ...
0
votes
0answers
23 views

Bond future pricing and credit spreads

I am trying to understand where the credit spread of the Cheapest to Deliver (CTD) bond should appear in the bond future pricing formula. I am following the pricing formula described here. I ...
0
votes
1answer
48 views

Sampling from SDE

In the case of the classic Geometric Brownian motion $$dS_t = \mu S_t dt + \sigma S_tdW_t$$ we solve it as $$ S_t = S_0 \exp\left[ \left(\mu - \frac{\sigma^2}{2}\right)t + \sigma dW_t\right] $$ and ...
1
vote
0answers
21 views

Changes of patterns in technical analysis?

Given the assumptions listed as 1,2 and 3 here https://www.investopedia.com/terms/t/technicalanalysis.asp What do you think about the idea that old technical patterns/trends should definitely not ...
1
vote
2answers
73 views

Is there an equivalent to SEC EDGAR for non-US companies, especially Europe?

For US public companies we can go on sec.gov to find their 10-K filings etc. Are there similar services in other countries? I'd be especially interested for in Europe, France, Germany, Italy, ...
4
votes
0answers
35 views

Libor Market Model with SABR Calibration

What is the industry practice in calibrating SABR Libor Market Model? Do you first calibrate the SABR model using market data and then implement the libor market model with the calibrated parameters? ...
0
votes
0answers
30 views

What is a lookback rate put option

I've come across an option called a look-back rate put option. However, the source I got this from did not say what this is. I understand what a look-back put option is, but the rate bit is throwing ...
-1
votes
0answers
35 views

Vendors for Crypto Currency Pairs Tick Data [closed]

I want to backtest my trading strategies for crypto currency markets. Therefore, I'm looking for tick data for crypto currency pairs such as XBT/USD on BitMEX. Do you know where this data can be ...
0
votes
0answers
16 views

Swaptions vols,object using quantlib xl

How can I build a good vol surface using QuantlibXl? My goal is to price a swaption 5 year with option maturity 1Y1M. The data are:
3
votes
5answers
413 views

bank issuing structured products

"The investment banks supplying structured products were effectively buying options from investors" How to understand this quote from this source? I would think the investors are usually had (long) ...
1
vote
0answers
36 views

What are your favourite papers about European/American options?

I'm looking for some papers to support some options lessons for non-quant people (mostly traders) and I'd like to know what papers would you recomend that don't have a very strong focus on the ...
3
votes
1answer
38 views

Why use square root of companies market cap in the WLS matrix

When doing a regression based performance attribution I see that people normally use WLS. So that both our independent and dependent variables are multiplied by our WLS matrix, which is a diagonal ...
0
votes
0answers
35 views
+100

Adapting a DCF valuation model for individual investors investing in a residential real estate asset and studying its implications

I am trying to better understand discounted cash flow (DCF) valuations to compute the net present value (NPV) of the collection of cash flows arising from the process of buying, holding, and selling a ...
-3
votes
0answers
51 views

PhD in Economics, Finance, Mathematics, and/or Statistics? [closed]

How can you choose which PhD subject to pursue for Quantitative Finance: PhD in Economics, Finance, Math, or Statistics? Does your choice depend on your aspired job in Quantitative Finance e.g. ...
0
votes
0answers
49 views

Which textbook proves that $Pr(Touch) \approx 2 \times Pr($Probability of In The Money)? [closed]

This Reddit comment alleges $Pr(Touch) \approx 2 \times Pr($Probability of In The Money) can be proven with Bayes's Theorem. To exempt you the effort, I'm guessing that some textbook must've proven ...
0
votes
1answer
14 views

Valuating Custom Amortization Schedule Libor IRS with QuantLib

I got to bootstrap the OIS and Libor 3M swap curves, and now I'd like to valuate some simple Libor3M - Fix IRS with QuantLib (in python). My problem is that some of the instruments I have to valuate ...
0
votes
0answers
32 views

Stochastic differential equation of Avellaneda model

I was reading this paper and page 14 the model is given. I'm trying to find the steps to get to the SDE given. OI is the open interest, E is the elasticity of demand. $$ \frac{\Delta S}{S} ∼ E·Q^p \...
0
votes
1answer
28 views

What does 'near term order flow to be distributed across short term options' mean?

Please see the red phrase below. Guide to Option Pinning at Options Expiration | Investing With Options What Have Weekly Options Done To Pinning? That's a great question for a graduate student ...
-1
votes
1answer
32 views

Why would you have forsworn another \$1 and be disappointed, if you profited \$1 from your call option but its IV dropped from 55 to 30? [closed]

I can feel that I haven't savvied the punchline of this article by Mark Wolfinger BS Brooklyn College 1963, PhD Chemistry Northwestern 1968. How would've the \$50 call earned $\color{red}{\text{an ...
0
votes
2answers
26 views

Mixture of a similarity-based clustering and a feature-based clustering

Take for example the S&P500 universe with 500 stocks. Something interesting would be to create clusters based on stocks' correlations in order to have clusters that have the same "direction" in ...
1
vote
3answers
72 views

Equivalent combination of puts

Suppose that a certain stock is currently worth $S_0=\$61$. Consider an investor that buys one call with a strike price equal to $K_1=\$55$, that costs $c_1=\$10$, buys another call with strike price ...
0
votes
0answers
35 views

Switching between collateral currencies in a xccy swap

Suppose the following: A xccy.basis swap EUR for USD. Having obtained relevant discounting and forwarding curves in both currencies respectively (i.e. OIS, LIBOR, EURIBOR), and spot exchange rate FX(...
0
votes
1answer
14 views

Which object in DateGeneration object when there are two short, long or combination in Schedule object for py QuantLib?

I'm pricing a vanilla swap. I have two stubs, front and back, and they can be short, long or a combination. In this case, what do I use in ql.Schedule object for <...
1
vote
0answers
26 views

Feynman-Kac formula for $\mu(t,x)=-\frac{1}{1-t}, \sigma(t,x)=1$ and $g(t,x)=x^2$

Consider the following PDE on $[0,T]\times \mathbb{R}$: $$ \begin{cases} \dfrac{\partial F}{\partial t}+\mu(t,x) \dfrac{\partial F}{\partial x}+ \frac12 \sigma^2(t,x)\dfrac{\partial^2 F}{\partial x^2}...
0
votes
0answers
21 views

What PDE does the physical measure sde solve?

I have two questions: 1) Let's say I had an estimate of $\mu$ in an sde: $dZ = \mu Z dt + \sigma Z dW$ If I ran monte carlo I could price say an option like $Call_t = e^{-rT}E_t[(Z-k)+]$ Feynman-...
0
votes
0answers
12 views

Financial models under the defprobstrip() command in Matlab 2020a

what is the financial theoretical model below - defprobstrip() - hazardrates() - survprobs() contained in https://www.mathworks.com/help/fininst/examples/...
0
votes
0answers
25 views

Can you explain the Black-Scholes fair option equation with RND?

I am trying to learn Black-Scholes risk-neutral densities with only prior knowledge of fundamental B-S equations (not the derivation). Sorry if this was asked already or if I sound completely clueless....
0
votes
0answers
8 views
0
votes
0answers
13 views

Is there a name and/or calculation to get the break-even for calls compared to holding plain stock?

I recently found myself in the position of wanting to buy some leap calls instead of stock to get more leverage, I tried to calculate the pricepoint at which the leaps were returning more than just ...
0
votes
0answers
8 views

Days to cover short interest ratio

How could we calculate days to cover if we have the total demand quantity? Is it equal to: $\frac{\text{total_demand}}{\text{average_daily_volume}}$ and do we need another short interest information?...
0
votes
0answers
16 views

Q-learning, state transition, immediate rewards (grid world vs. trading bot)

I've been thinking about how to correctly calculate rewards in a trading environment for several weeks now. Here is a grid example: ...
0
votes
0answers
20 views

How to get daily S&P500 dividend and CPI data?

For a project where I'm modelling asset prices using heterogeneous dividend expectatations, I want to investigate the effect of the COVID-19 virus. This means I'm looking at daily stock price data ...
0
votes
1answer
34 views

How does Theta benefit sellers of debit spreads?

John Hull. Options, Futures, and Other Derivatives (2017 10 edn). p 408. Theta is usually negative for an option.7 This is because, as time passes with all else remaining the same, the option ...
0
votes
0answers
23 views

Why do Vertical Credit Spreads benefit from higher IV?

[A]s implied volatility increases, option premiums become more expensive. As implied volatility decreases, options become less expensive. Buying options when IV is 55 and selling when it is 30 is a ...
0
votes
2answers
40 views

After you exercise a call option to buy at $90, how can you have another 30 seconds to buy at \$89.95?

I don't understand this example of Pin risk (options) - Wikipedia. When the call buyer exercised, wouldn't $\color{limegreen}{\text{exercise}}$ have automatically and instantly bought him 1000 ...
-1
votes
1answer
20 views

If a put seller shorted 7500 shares, and a put buyer exercised 49 contracts, why must the put seller now buy back 2600 shares? [closed]

I don't understand Wikipedia's example on Pin risk (options). I don't understand the bolded sentence. Why would've the put seller already shorted any share, let alone \$7500 shares? Why not just wait ...
0
votes
1answer
21 views

Is Touching the same thing as At The Money?

Zvi Bodie, Alex Kane, Alan J. Marcus's Investments (2018 11 edn). p 659.       An option is described as in the money when its exercise would produce a positive cash flow. ...

15 30 50 per page