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5 views

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 = ...
1
vote
2answers
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
3
votes
2answers
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 ...
0
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0answers
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 ...
2
votes
1answer
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 ...
0
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0answers
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?
0
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1answer
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? ...
2
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0answers
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 ...
0
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1answer
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.
-2
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1answer
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 ...
1
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0answers
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 ...
1
vote
1answer
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 ...
0
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0answers
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 ...
1
vote
1answer
33 views

impact of bond futures conversion factor on calendar spread trading

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 ...
-2
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0answers
33 views

Stochastic volatility with Bayesian inference in Python

Do you know any package in python, for Bayesian stochastic volatility in python?
1
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3answers
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
1
vote
2answers
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 ...
0
votes
1answer
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 ...
2
votes
1answer
67 views

Question about volatility surfaces

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 (...
10
votes
4answers
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 ...
1
vote
1answer
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 ...
1
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0answers
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,...
1
vote
0answers
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?
1
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0answers
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.
1
vote
1answer
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 ...
0
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0answers
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) ...
5
votes
0answers
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 ...
0
votes
1answer
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 ...
0
votes
1answer
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 ...
1
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0answers
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 ...
1
vote
0answers
41 views
+50

Bates Model Jump Percentage Parameters

I am trying to calculate the jump parameters for the Bates volatility jumps, specifically, the mean of the jump percentages, $\mu_j$. For the value of $J$, I am using jumps $|\frac{s_{i}-s_{i-1}}{s_{i-...
0
votes
1answer
51 views

Clarification on certain finance terms surrounding bonds

Whilst revising for my upcoming financial mathematics exam I've been struggling to get to grips with certain terms/ phrases used when studying Bonds. I am very new to Finance and get confused very ...
0
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0answers
27 views

Good benchmark for european Flexible asset allocation funds?

Flexible allocation funds usually do not state any benchmark. Because flexible funds allocations are dynamic and less constrained, determining an appropriate benchmark for the funds is challenging. I ...
0
votes
1answer
39 views

Where to get MSCI World Index constituents (+ weights)

Where can I download The MSCI World index constituents and their weights (daily update) The current prices of the constituents plus three years of EOD (or weekly) history Corporate actions of the ...
1
vote
1answer
30 views

Gibbons, Ross, Shanken Test derivation by MLE

I Am trying to derive the expression for the GRS test of the CAPM. I am following the book: The Econometrics Of Financial Markets by Campbell, Lo, McKinley (1997). Define $Z_t$ as an $N×1$ vector of ...
0
votes
1answer
34 views

Covariance matrix from GJR-GARCH?

I am implementing a AR(1)-GJR-GARCH(1,1) model to some asset returns, and I would need to have a covariance matrix but I struggle to see how I can compute one from the model I used? I know I can have ...
0
votes
0answers
28 views

Cega - Correlation Delta from multi-asset derivative

I want to calculate the Cega, i.e. correlation delta, for a multi-asset derivative numerically (the difference of the price from a tiny move in correlation). However, I found it is difficult to follow ...
3
votes
1answer
96 views

I am trying to solve this question about optimal stopping theory. I don't know how to get started. Any hints would be very helpful

Let $Z = (Zn)_{n=0,1,...,N}$ be the Snell envelope of $X = (Xn)_{n=0,1,...,N}$ and $τ ∈ T_{0,N}$. Let $Z_n = M_n − A_n$ be the Doob decomposition of Z, then $Z_n^τ = M_n^τ − A_n^τ$ is the Doob ...
-4
votes
0answers
15 views

What is the difference between the total simple interest and compound interest earned on a sum of money till any year? [duplicate]

What is the difference between the total simple interest and compound interest earned on a sum of money till any year? Is there a general formulas for the same? Have searched throughout the website ...
0
votes
0answers
14 views

Finding the redemption yield of a bond given a capital gains tax

Let's say a bond has a face value of £$100$ with semi-annual coupons at a rate of $3$% p.a which is redeemable at par in $10$ years. Assume an investor purchases the bond for £$92$ on the day it is ...
0
votes
0answers
32 views

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: ...
1
vote
2answers
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 ...
0
votes
0answers
16 views

Arbitrage bounds on volatility of price of binary option?

What are the arbitrage bounds on the volatility of the price of a binary option? If the binary price moves too much (such that it violates the arbitrage bounds) what trades would you actually execute ...
4
votes
2answers
45 views

How can one effectively approximate the fill portion of a limit order in a FIFO order book given it's recent state?

What methods could one use to find the step wise probability of a partial or full fill of an order in the best ask/bid level of a limit order book given the historic best ask and best bid quantities ...

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