# All Questions

12,194 questions
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### How does the FED calculate SAAR for GDP?

In looking at the Fed's GDP growth rate data, it looks like the fed uses a different calculation for calculating annualized growth rate than the typical annualized rate of change. Does anyone have any ...
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### Functional Analysis or Ordinary Differential Equations? [closed]

I am a current undergraduate and will be looking to apply to Quant Programs next year. This semester I have the choice between selecting Functional Analysis and Ordinary Differential Equations. I have ...
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### Simulated Sharpe Ratio Calculation for Leveraged Portfolio

I've written some VBA code to simulate the effect of borrowing money, investing it, and repaying the loan daily. PseduoCode: Start with a portfolio value of P = 1 Each day borrow P, invest 2*P, ...
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### Expected shares filled from a limit order

If I place a limit order to buy a stock at the bid, what is the expected number of shares that will be filled by the close? I think it depends on The time until the close. More time until the close ...
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### Evaluating Fama French 3 factor model Using Fama Macbeth

Hi Can someone please explain me how the cross sectional calculation can be done. For an example, I'm having a vector like this. Vector 1: This is the vector where all the excess returns for n ...
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### Monte Carlo simulations of stock price percentage change rather than stock price

Say we have a stock price time series $S_k$. We can do monte carlo simulations on the stock price to make predictions about future prices (e.g. through Geometric Brownian Motion SDE's). Does it make ...
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### Why does a higher stock value imply a higher call option value [closed]

This may seem like a very dumb question, but if the underlying stock price is greater, then why should a call option be worth more. My reasoning is that, if the option price is not affected by the ...
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### Term structure of the ATM implied volatility of short term weekly options

It's an empirical fact that the implied volatility of short term weekly options are significantly higher than options that expire in a few weeks, and the volatility of the near term options get even ...
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### Understanding and simulating the jumps in Merton's Jump-Diffusion SDE?

I found this great post deriving the solution to the Merton Jump-Diffusion SDE $$S_t = S_0\exp\left(\left(\mu - \frac{\sigma^2}{2}\right)t + \sigma W_t\right)\prod_{j=0}^{N_t}V_j$$ The first part of ...
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### Investment evaluation benchmarks

I am writing software to aid in the evaluation of investment projects. Specifically, property based as a first step. I know about NPV and IRR and IRR feels like the best measure. So it gives me a ...
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### Vanilla Option Prices from Local Vol Surface (using neither MC nor PDE)

There are numerous papers that describe the derivation of the Local-Vol equation using available market prices of options. For example: Dupire's formula (see e.g. OpenGamma (2013)) gives us LV in ...
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### Why no prepayment fee for the reverse mortgage?

I am currently studying the costs (to lender) of adding certain additional options to the reverse mortgage, including the option of prepayment. Would there be any scenarios of housing price/mortgage ...
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### SquareRootProcess in QuantLib - Python

I would like to price an American put option using the SquareRootProcess class in QuantLib - Python but it seems that it does not exist. As the underlying follows the following model : \rm{d}S_t=...
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### replicate option by dynamic hedging

I've just started working for a company with a decent commodity exposure. They manage this by as they call it dynamically hedging it. Basically when they start the hedging they identify a market ...
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### Maximum Sharpe Ratio Portfolio

Conceptually, what are the drawbacks / unforeseen risks of running a portfolio whose weight are derived from what would have maximised the sharpe ratio over the previous time period (last 30 days) ?
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### value of forward contract at inception

I am reading a derivation of the forward price $F$ of a forward contract. I think the author uses a circular argument to assume that "the value of the forward at inception is equal to 0" because the ...
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### Do linear combinations of two efficient portfolios cover the entire efficient frontier?

Note : We are considering the case of N risky assets. I think the answer is 'Yes', although I am not sure as I am unable to prove it. The reasons for me thinking that the answer is 'Yes' are - 1) ...
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### Does the CAPM use the single index model?

When we derive the CAPM (i.e. find equations for the capital market line and the security market line), we nowhere assume that the individual security return is linearly dependent on the marker return ...
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### Return on Investment for rolled options position on margin [duplicate]

I'm trying to calculate my return on investment (ROI) for an options position on margin that has been rolled. I'll give an example: Sell to Open (STO) a naked put position, for which I collect 100 ...
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### When calculating theoretical futuresprices for oil, how do you calculate the storage costs?

I have read that the terminal cost can typically be 0,15-0,5 dollars per barrel, but are you also supposed to include the cost of capital (WACC) when calculating the total cost? Why? Why not?
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### Calculating stub period discount factor when bootstrapping [duplicate]

When building a curve based on for example: Valuation date: T FRA 0Dx3M 0.01 (settles T+2) FRA 3Mx6M 0.02 ... How do you get the discount factor for the settlement date T+2, which is needed when ...
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### What is the order flow imbalance?

The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between the ...
A GBM $\frac{dx}{x} = \mu dx + \sigma dW$ solves to $x_t = x_o e^{(\mu - \sigma^2)t + \sigma W_t}$ From the solution, it is clear that $x_t$ cannot become negative. However, it is not so clear ...