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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 $t_i$, ...
-1
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0answers
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.
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1answer
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 ...
1
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1answer
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 ...
1
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1answer
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 ...
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0answers
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 ...
2
votes
1answer
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? ...
2
votes
1answer
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 ...
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1answer
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 ...
1
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2answers
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? ...
2
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0answers
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 ...
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0answers
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 ...
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0answers
42 views

mean reversion model estimation - what method?

how can I estimate this model for mean reversion?
2
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1answer
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 ...
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0answers
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?
1
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1answer
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.
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0answers
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 = "", : ...
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0answers
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.(...
0
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1answer
61 views

Why does an exchange (IEX) need connection to other exchanges (like information about average prices)?

I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
2
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0answers
28 views

State price deflator in the Vasicek model

I am trying to implement a simple bond pricing model using state price deflators in a Vasicek model. I am simulating paths of the processes $$\mathrm{d}r^{P} =\kappa^{P}(\theta^P - r^P(t))\mathrm{d}t ...
1
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2answers
72 views

Fama French Three Factor Model: How do I get the risk premia?

I try to calculate the cost of equity with the FF3 model and already estimated the beta factors for the market, size and value risk premia by using regressions and the data provided on the Kenneth ...
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0answers
33 views

Varswap replication product

I would like to ask about a product that some Flow desks sell : Varswap replication strategies. I know that it consists of weighted basket of calls and puts , however I would like to know how does it ...
1
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1answer
89 views

Applying Interest Rate Shock to Equities, FX, etc

I am looking for resources on practical applications of non-parallel Interest Rate shock for a portfolio that contains different types of investments. Specifically: how to identify the tenors and how ...
0
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0answers
37 views

Why the weight vector of 'global minimum variance' the 'eigenvector' with the minimum eigenvalue?

Question Why is it the case that the weight vector of the global minimum variance portfolio the eigenvector of the covariance matrix with the smallest eigenvalue? Question with more details I ...
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0answers
20 views

What variables are important to describe a loan dataset?

I have a dataset of loans currently paid or charged off and as the dataset is very large I would like to to do a short summary of things I would think is worth knowing about. Yet I don't know a lot ...
2
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1answer
72 views

Do Perpetual American Options have closed form functions to compute the Greeks?

I was wondering if there were analytical formulas to compute delta or gamma for perpetual American options?
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0answers
19 views

Portfolio Values based on reference interest rates

How do I approach the following question? A portfolio has 100 million invested in equities. It has also transacted an interest rate derivative issued by counterparty X, which the value is 0 if the ...
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0answers
49 views

Black-Scholes vs Blacks model. Which one to use with SABR?

Say I want to compute a call price for a given set of SABR parameters. I use Hagans approximation and compute $\sigma_B$. The rate is not zero. Should I then compute the option price using Blacks ...
0
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1answer
44 views

What's the formula to compute the divided difference approximation for the third order greeks?

I can't seem to find the quotient required to approximate the third order greeks Speed, Zomma, Color and Ultima
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0answers
20 views

Operational Risk Loss Distribution with Insurance

** Referring to part (c) First is 5000. Am I supposed to replace the 8000 with 5000 while maintaining its probability? For the second part, which includes the cost of insurance, do I add it to the ...
1
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0answers
36 views

Who came up with 3/2 SV model

Sorry, not a very quantitative question, but does anybody know who was the first person to write down and publish the 3/2 stochastic volatility model? I need this for a reference/bibliography.
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1answer
42 views

Momentum factor (mom) weekly

I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.
2
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2answers
61 views

For Ito Integrals with respect to a Brownian motion, why would the amount of stock held be a stochastic process?

Suppose that $B$ is a Wiener process and suppose $H$ is a right-continuous, adapted, and locally bounded process. Suppose $$\int_0^t H dB$$ is the Ito integral of $H$ with respect to the Wiener ...
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2answers
71 views

How does the efficient market hypothesis fit with the rapid changes in prices?

The price of IBM changes from second to second, but there's no way that actual news about IBM is coming out that fast. The information available about IBM changes a lot more slowly than its share ...
0
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1answer
63 views

Random Forests - Trees vs Predictors

This question relates to the use of random forests in finance and the relationship between the number of features, the observations, and the number of trees. Consider the relation between an RF, the ...
0
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1answer
40 views

Subadditivity of cvar(R)، R is random vector

$R=(R_1,\ldots,R_n)$ is random vector in $L^1(\mathcal{R}^n)$. Then is it true that $$ \operatorname{Cvar}(R_1+ \cdots + R_n) \le \operatorname{Cvar}(R_1) + \cdots +\operatorname{Cvar}(R_n)? $$ Can ...
1
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1answer
42 views

stock specific volatility

I was unsure about the precise definition of "stock specific volatility". Used in this question "A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing ...
0
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1answer
52 views

Really simple question regarding options. (Amateur level) [closed]

I'm just starting to educate myself on trading and financial instruments and I have what to me seems like a somewhat stupid question but I'd like to pose it nontheless. If I have an option to sell ...
1
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2answers
88 views

Market maker's Operating Model

I got a question about the liquidity provider's operating model. Really hope if someone can take a look and share some thoughts! Scenario: Say an ETF investor wants to offload a million ETF shares; ...
3
votes
0answers
116 views

Model-Free Option Pricing

From Breeden and Litzenberger (1978) and subsequent work, we may find the risk-neutral density $q_{S_T}$ of $S_T$ from European option prices - assuming there are enough traded options (e.g. SPX) via ...
2
votes
1answer
90 views

FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
0
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0answers
22 views

Arbitrage price and American option

I'm studying American Options. If I have $X=(X_n)$ an American option, it is not possible to determine a self-financing predictable strategy ($\alpha, \beta$) that replicates the option in sense that $...
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0answers
26 views

Bootstrapping with QuantLib using deposit rates and Swap rates

I'm trying to bootstrap and to get a zero coupon yield curve with maturities ranging from 2019 to 2059 Here is my code: ` ...
2
votes
1answer
56 views

Valuation of Cash-Or-Nothing option

Studying options pricing, I'm stuck with the following problem: The price of a stock is described by the dynamic: $$dS_t = \mu\, dt + \sigma\,dW_t$$ Compute the fair price of a Cash or Nothing ...
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0answers
24 views

is there a specific design pattern in C# to model a yield curve into the NS model?

I successfully managed to have a nice NS model to a yield curve I am studying using R, while I am still beginner in C# I wonder if there is a specific design pattern I should follow in order to put ...
1
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0answers
51 views

Portofolio optimization using ARMA-GARCH-EVT-Copula

I am currently trying to do some portfolio optimization by reproducing the methodology found in Sahamkhadam, Stephan & Östermark (2018) ("Portfolio optimization based on GARCH-EVT-Copula ...
1
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0answers
27 views

Generalisation of calendar arbitrage condition to options on futures

This question has discussed the condition on which calendar arbitrage opportunities arise for European call options on a stock. Do similar criteria exist for European options on futures? The most ...
0
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0answers
34 views

Spread vol for interest rate spread options in normal environment

Suppose I am long spread option with underlying : rate A - rate B. The vega on the option would be positive. But if I want to compute the option vega with respect to individual rates, can I use the ...
0
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2answers
78 views

Advantage of continuous time stochastic calculus over discrete version?

I'm new to the stochastic calculus, and I keep converting the continuous stochastic differential equation to its counterpart in discrete time, such as the autoregressive models. I wonder in practice, ...
2
votes
1answer
53 views

Is the Non-discounted Bachelier call option price a Martingale? [duplicate]

My math finance professor once said someting that I can't make sense of. Hope you can answer: For a foward process the non-discounted price for a European call option under Bachelier is $$C_t = \...

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