# All Questions

15,357 questions
Filter by
Sorted by
Tagged with
19 views

### how to take fold difference? [closed]

![Remove from train data genes with fold differences across samples less than 2. Fold difference is defined as a ratio between maximum and minimum values (Max/Min) for a given data set.]1
15 views

### How to make the effective date to start on a holiday/weekend in py QuantLib?

I'm trying to price a non-standard swap. However, my schedule is not returning the correct dates. In particular, the effective date starts on a Saturday but the schedule returns the next biz date ...
49 views

### BS model without volatility

Maybe it is a naive question, I simply can't understand how the industry is using the BS model to price options, as the option pricing formula requires implied volatility as an input, which itself is ...
58 views

### yield curve basics

Suppose we observe the following term structure (of annualised spot rates): 0-3 Months $\rightarrow$ 4.0%. 0-6 Months $\rightarrow$ 4.2%. 0-9 Months $\rightarrow$ 4.4%. Question1) How can we ...
40 views

### Black Scholes model without using Girsanov's theorem? It might happen?

We can calculate the stock price by the equation: $\frac{dS_t}{dt} = \mu dt + \sigma dB_t$,where $B_t$ is a Brownian motion. First i create a portfolio that consists of $\Phi$ units of stock share ...
32 views

### Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
15 views

### Variance minimization vs. Value at risk

When computing Minimum Variance Hedge Ratios as explained f.e. in Hull (2012) the goal is to select a hedge ratio such that the variance of the portfolio is minimized. My question is now what are the ...
14 views

### Exact Simulation algorithm SVCJ (Broadie Kaja)

I'm trying to write the code for Exact simulation algorithm SVCJ http://www.columbia.edu/~mnb2/broadie/Assets/broadie_kaya_WSC2004.pdf The code seems to be working but fluctuates a lot. Could anyone ...
28 views

### Currency of CDS and adjustment of interest rated for country risk

I have question concered currency of the CDS spreads. In the analysis I am conducting, I perform adjustment of interest rates for country risk (CDS could be a reference to reflect a country risk). ...
40 views

### What are an option's “tested” and “untested” sides? [closed]

What does 2 below mean? Adjust what once? What do tested and untested side mean? teamspritemini. 2 points 3 years ago My preference is as follows: If Naked, 3X premium as stop ...
46 views

### What does buying back a “short strike” for .05 mean?

What does the red phrase below mean? doougle. 7 points 3 years ago. This is one of the "not as easy as it sounds" things about options. You always hear things like "Make money if the market ...
59 views

### Anyone got references where we can find examples of codes for agent-based simulations of financial markets?

I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
59 views

### What machine learning algorithms are important for quant interviews? [closed]

I'm not sure if this question is appropriate for this SE board. If not, I can definitely remove it. FWIW, I saw a few other interview-related questions posted on here. Anyways, I will be ...
53 views

### CRRA Ultility， simple question

for CRRA, does increasing gamma leads to increase in risk-aversion? Looking at the curve, I think increasing gamma leads to less in risk-aversion (since the risk preimum is less). But in terms of ...
30 views

### Properties of risk aversion

What are some common properties for risk aversion? I know the basic definition of the risk premium, absolute risk adversion, relative absolute risk adversion. Besides the basic definition, what are ...
36 views

### Why do we regress with respect to premiums in factor models like FF?

Factor investing can be explained by factor models, via the factors exposures. For example Fama-French observed that Size and Book-to-Ratio were systematic risks of a portfolio and consequently they ...
12 views

### Cost basis for Month-to-date unrealized and realized p&l calculation

how do you calculate Month-to-date unrealized and realized P&L/performance? What is the cost basis for both? Should the cost be reset based on the end-of-previous month mark to market or the ...
32 views