# All Questions

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### Anywhere to find historical float shares (or restricted shares) of US stocks?

I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
18 views

### Stress testing fixed income Yield curve with Nelson Siegel

I am attempting to stress test the Zero coupon Yield curve using The Nelson Siegel model as described in the following papers : Generating Yield Curve Stress-Scenarios Representative Yield Curve ...
8 views

### Wald-Wolfowitz runs test on different time frames

I have developed an indicator that employs the Wald-Wolfowitz (W-W) runs test on log-returns, i.e., $r_t =\log(P_t)-\log(P_{t-1})$, for various time frames for intra-day futures. Log-returns are ...
8 views

### How to set parameters and datatable for Modeling in Python

I'm starting a quite complex and long financial modeling project, I'm looking for the best ways to set my datatables/parameters in the most efficient way instead for coding in block with everything ...
12 views

### Problems with Performance Attribution Analysis

I am using the typical Brinson Model formula, but it doesn´t work, I think that is explained because of the compound effect and rebalancing... when I look my portfolio's YTD return and multiply by the ...
43 views

### Do we need to assume underlying returns are normal in BSM model, given Central Limit Theorem?

I am trying to get a better understanding of Central Limit Theorem and how it can be used in life and in finance. From what I have read, the BSM model assumes the underlying asset's simple returns ...
24 views

### Supertrend indicator formula

Recently i am working on an indicator called "Supertrend", however i am a hard time to get the right value. The formula ...
29 views

### How can the BS riskless hedge break down when volatility changes, if a random walk can produce any price history?

Supposedly, a Black-Scholes riskless hedge will break down if the volatility is non-constant. However, a random walk with any sigma could produce any price history with some non-zero probability. If ...
15 views

### Discount drop calculation for a Treasury Bill

How is the discount drop calculated for a US treasury bill for a forward settle date?
41 views

### CDOs before the 2007 crisis

I read that before the financial crisis of 2007 the CDOs were so complex that investors could not analyze them. Were they just complex, or was there no public information about what they contained? ...
32 views

### Tangency portfolio with two additional constraints

I know that the formula for determining the weights of the Tangency portfolio is given as $w_{tan}$ = $\frac{\Sigma \mu}{\iota^{\prime}\Sigma\mu }$, but I was wondering how to derive the weights in ...
42 views

### How does buying a CDX and then taking a short CDS position generates alpha?

Can someone please explain to me how buying a CDX and then taking a short CDS position generates alpha? I am so confused.
43 views

### DCF Valuation Models

Does anyone know of any websites that have sample models or mind sharing their DCF models? Trying to get started modeling and can't seem to find many great resources. I know of Damodaran, but his ...
51 views

### How does the volatility skew/smile relate to hedging/trading vanilla contracts?

I know that obtaining and calibrating the smile is important in the hedging and trading of exotics since we use vanillas to hedge and price exotics. How is the smile important in the hedging and ...
40 views

### EONIA capitalisé jour tr eur: can't find index data! Do you know what kind of index is?

To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider ...
34 views

### looking for a simple realistic parametric volatility model

Which parametric volatility is realistic to test quickly and qualitatively a model? I do not wish to fit market quotes but would like to have a non-trivial volatility with skew or smile to do some MC ...
33 views

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The ...
33 views

### Stochastic volatility with Bayesian inference in Python

Do you know any package in python, for Bayesian stochastic volatility in python?
73 views

### Sum of relative weights in portfolio equal to 0

In the context of portfolio optimization, for now I encountered only cases where the sum of relative weights $h_n$ in each stock is equal to 1. However, I've seen that there are cases where the sum is ...
40 views

### Difference between Predicting stock returns and Forecasting stock Returns?

The data that is used are either Technical Indicators, Fundamentals Indicators or Macro Indicators which is time series in nature. Given, if we are estimating one-period ahead returns(t+1), is there a ...
21 views

### What NPV value to expect with X% success?

cross-posted from https://math.stackexchange.com/questions/3326309/what-value-to-expect-with-x-success I'm trying to intuit the following statements based on the plot below, but I'm stuck on the ...
34 views

### Solutions for Paul Wilmott Derivatives Book

I am looking for solutions manual for Derivatives, "the theory and practice of financial engineering". I'm not sure if the manual is published ever but I couldn't get it. I would be more than happy ...
59 views

### How does duplicate data affect backtesting?

Before developing a trading strategy, one should clean and preprocess his data set. It is very common that a data set contains huge number of duplicates. Question: How does duplicate data affect ...
61 views

### How does one calculate the duration of a cash flow

The question reads: A firm has liabilities as follows: £2,910 at time t = 0 and £7,501 at time t = 4 (time is measured in years). On the asset side the firm has two payments, each for £5,000, at time ...
67 views

As a learner, I'm curious to know the answer to 2 questions regarding volatility surfaces 1) It's stated that volatility surface should be flat accdording to Black-Scholes model. Why is that? Time (...
3k views

### Does banks' profitability really suffer under low interest rates

It is always said that European banks suffer, amongst other things, from the low interest rate environment governing the Eurozone. And that in a rising interest rate environment, banks' profitability ...
73 views

### What is the annualized realized volatility of simulated Brownian motion paths?

I saw this following question in an exam. Take a Brownian motion simulation with drift 5% and annualized volatility of 20% for a period of 1 year. Then the annualized realized volatility of the ...
31 views

### International Baccalaureate - Balance Sheet Format

I would like to transform Tesla's balance sheet (https://www.nasdaq.com/symbol/tsla/financials?query=balance-sheet) into the IB-balance sheet format (see below). In the current assets section, is it,...
11 views

### How to implement Time varying EWMA cross correlation in STATA?

I have read this question, I know about lambda, demeaned subindexes. But not able to implement in STATA?
53 views

### How to find the right Shift for the SABR Model

I'm looking for the right approche to find the right Shift for the SABR Model.
53 views

### Can we use Black-Scholes to price path dependent options?

I know that we can use the Black-Scholes framework to price vanilla products like a European call or put, where the payoff only depends on the share price at maturity. But can we use it to price path ...
28 views

### Negative drift when calibrating GBM parameters

Setup for question: Consider a basket of $N$ stocks $\{S^1, S^2, \dots, S^N\}$. For fixed strike $K$, each stock in the basket, $S^i$, follows the SDE dS_t^i = \mu^i(t) S_t^i dt + \sigma^i(K, t) ...
109 views

### monte carlo simulation

I'm a graduate student working on a real options research problem suggested to me by my advisor. I'm not looking for a solution, but I'd like to know about the feasibility of numerically solving the ...
86 views

### What does “Gamma profit/loss” mean?

I understand the Greeks as derivatives, but I'm very confused with terms like "Gamma profit/loss""Theta profit/loss". What do these terminologies mean? I've searched online but can't find a proper ...
26 views

### Confidence Intervals for ARMA+GARCH forecasts

I have fitted an ARMA(1,1)+GARCH(1,1) model to my logreturns series. When it comes to my standarized error's distribution however, I have opted for a Skewed Generalized Error Distribution, because of ...
43 views

### FX Spot Delta market standard calculation (Trader View)

I am just writing my thesis about FX instrument and hedging and one question popped up which I can't solve. Maybe it is silly but cant find anything about it how the delta of a fx spot is defined and ...
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### Calculating average Momentum from multiple daily stock returns

I have a dataset with daily stock returns for a period of 1 year. The first few lines and columns of my data look like this: ...
70 views

### Single-step Monte Carlo in Excel

How do you simulate correctly using raw prices not returns? I have corresponding periods of earnings to Futures but the Excel call function =NORMINV(RAND(),mean,stdev) generates negative Futures ...