# All Questions

12,194 questions
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### Principal Components Analysis on overlapping contracts

I am conducting several PCAs on the gas forward curves (months, quarters, seasons, calendars) for hedging purposes which give me some rather reasonable and stable results. However, these contracts ...
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### Martingale positive price process

I hope you can help me with this problem. In my lecture notes, my professor stated that for a state price deflator $\phi\in L_{n+1}^2(P, F)$ (F being a filtration) and a strictly positive price ...
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### Does it make sense to subtract VaR from spot shocks?

I have a model to compute the Event Risk (in dollars) from a shock to the spot price of an asset. I also have the 10-day VaR PnL for the same assets returns. These two numbers are then aggregated to ...
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### Curve Building + Swap Pricing [duplicate]

Assume Swap means a USD Swap with standard conventions (semi-annual fixed payments and quarterly floating payments, etc).
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### Variance swap volatility - ATMF vol, Skew and Curvature

In a pure diffusion setting, it is a well known result that the volatility $\sigma_T$ of a fresh-start variance swap of maturity $T$ as seen of $t=0$ verifies \begin{align} \sigma_T^2 &= \Bbb{E}_0^...
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### What should the half-life be in EWMA when calculating VaR from EWMA?

If we want to calculate an $x$-day VaR ($x$ is some time period in days) from an Exponentially Weighted Moving Average (EWMA) of vector of returns, what should the half-life in the decay factor in ...
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### What are the different indicators to measure historical volatility for stocks on individual basis?

Google search shows there are three indicators to measure volatility: 1. Average True Range 2. Standard Deviation / Variance 3. Bollinger Bands. What are the indicator(s) that you use to identify ...
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### Do *all* non-dividend paying assets have the risk-free instantaneous return rate under the risk-neutral measure?

For simplicity let's consider a 1D BS world. The only source of randomness comes from the Brownian motion dynamics $dB_t$. The risk-free rate is $r$ (one may assume it as constant for the time being). ...
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### Valueing a Short future contract with dividens [closed]

A forward of an underlying paying a yield $q$ can be priced with the equation: Price $= S_0 e^{(r-q)*t}$ or Price $= (S_0-I)e^{rt}$ Where $S_0$ = Spot price, r = interest, q = dividend yield, I = ...
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### A positive Sharpe ratio when portfolio loses money, can that happen or bug in my code?

I'm having a trouble calculating (annualized from daily performance) Sharpe ratio, even though I've read some related posts here. Say I have a daily performance, for example: $$[1.15, 1.2, 0.7]$$ ...
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### monthly conditional volatility using EGARCH model

I need the conditional volatility values using the egarch model in eviews. The result of the estimation that I get is a table where there are coefficients, p values....My question is that how could I ...
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### Predicting microstructure momentum in market making

If I have a market maker which is compelled to provide quotes on both sides of the market, I am exposed to risk of quadratic losses (vs my linear gains during normal operations) during times when the ...
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### Another variation of the 'Sharpe ratio' in CVaR-based portfolio optimization?

Question What is the ratio S(p) shown below? Do we have a name for it like 'Sharpe ratio'? The ratio above is introduced in the academic paper Optimal portfolio selection in a Value-at-Risk framework ...
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### Calculating min/max price range using volatility

I'm trying to reconcile two methods of forecasting price ranges with say 95% confidence over a 50 day period given the annual365 IV say 19.1% = 1% daily volatility take the daily standard deviation ...
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### Convolution of generalized hyperbolic distribution

I have a question concerning the convolution of generalized hyperbolic distributions. Proposition 6.13 of McNeil, Embrechts, Frey states the following: If $X$ has a $d$-dimensional generalized ...
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### Co-variance of portfolio A with Portfolio B

I'm really just doing this out of curiosity so my apologies if this is a noob question but, I'm trying to calculate the correlation between two separate portfolios. I've used the following formula ...