# All Questions

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18 views

### Asian option, portfolio of calls control variate

One possible control variate for the Asian option with strike $K$ and discrete time average at the times $t_i$ for $i\in {1,\dots, m}$ is the portfolio of $1/m$ European call options at times $t_i$, ...
35 views

### Get Bloomberg News (alert) in Excel

What is the best way to get notified as soon as their is significant news on a stock through Bloomberg. I just want to be able to pull my orders is news just came out.
69 views

### How to calculate premium in Black Scholes model with quantlib?

I am new to quantlib as well as option price modelling. I need to get premium from black scholes model and found this code in internet ...
41 views

### Hindsight overhedge for pricing path dependent options

I understand how to use the longstaff schwartz method in Monte Carlo to compute the continuation value of path dependent options but someone recently mentioned another technique called "Hindsight ...
66 views

### What methods of Data-Screening are necessary before starting an analysis with Thomson Reuters Datastream?

So im currently focussing my research on Momentum-Trading Strategies. I downloaded Constitutents of different All Share indices (including Price, Return index, Market value and Dividend Yield). For ...
64 views

### Stock prices and PCA

I'm trying to construct a portfolio using PCA based on a number of stocks. I was wondering what the best way to standardise the stock prices are. Which method would be more appropriate? Standard ...
91 views

### ETF Market Making

I understand market makers of ETFs earn a bid-ask spread (buying low from investors and selling high in the market). But how exactly do they determine when's the right time to buy, and at what price? ...
81 views

### Nearly replicate a basket with a few of its constituents

Motivation I have a basket with 30 constituents each with a weight which I want to nearly replicate with less than 30 trades for reducing trading costs. Better definition Better replication equals ...
47 views

### How is the pre-tax and post-tax return calculated?

I am looking at the lectures about advanced investments and in the first lecture of the series, the professor mentions, To increase the return without bearing more risk one has to invest with pre-tax ...
264 views

### Probability that the price of stock following a brownian motion goes under a certain value

The price of the stock XYZ follows a brownian motion pattern with starting price = 10, μ = 0 and σ = 20 (on annual basis). What's the probability that in 6 months the price is less or equal to 8? ...
36 views

### CDS pricing using intensity models incorporating liquidity

I want to price a CDS using an intensity based model, but I want to account for liquidity as well. General model: The default time $\tau$ is the first jump time of a cox process, and the survival ...
21 views

### Tickers of companies included in Euro Stoxx 600

I'm trying to analyze the historical data of the individual companies that are part of the Euro Stoxx 600 index. For that, I am using a Python code that needs the tickers of the companies. Due to my ...
42 views

### mean reversion model estimation - what method?

how can I estimate this model for mean reversion?
86 views

### Local Volatility with Monte Carlo Simulation

I am trying to implement a Monte Carlo Simulation using Local Volatility Model (Dupire’s Equation). I’m pretty sure I can build a very good LV surface, however, I do not know how to use it in the MC ...
34 views

### What data should be used for short-rate in simulaiton?

For short-rate models like Vasicek and Hull-White, what rate should be used as the starting value of short rate? Is it Federal funds rate or 3-month US treasury?
107 views

### Useful Book for starting to programming quantative Finance [closed]

Could anyone recommend me a good book for an introduction to start programming quantative finance (preferably in R)? I found a lot of different ones, but unfortunately without any reviews.
31 views

### Performance Analytics SnailTrail Chart subscript out of bounds error

I am running the chart.SnailTrail function from the PerformanceAnalytics package in r. I get the following subscript out of bounds error. Error in chart.SnailTrail(z, Rf = 0.009261, main = "", : ...
35 views

### Why do these Monthly vs. daily plots differ?

I got my data from Thomson Reuters Datastream. As an Input for my plot i calculated daily Returns based on the Return-Index provided by datastream. Then i plotted the Monthly and the daily Returns.(...