# All Questions

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### How to show that this weak scheme is a cubature scheme?

Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model. Can anyone familiar with Cubature on ...
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### Bridgewater's Daily Observations

Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
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### Alternative to Block Bootstrap for Multivariate Time Series

I currently use the following process for bootstrapping a multivariate time series in R: Determine block sizes - run the function b.star in the np package which produces a block size for each series ...
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### Market Maker portfolio management

I am interested in articles/strategies related to portfolio and inventory management for market makers and to management of order cancellation, updates of order, etc. Most of the strategies from ...
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### Determining Hurst exponent of a Brownian motion

I am trying to determine the Hurst exponent of a simple Brownian motion, however, I seem to get a result that differs from 0.5. I am following the instructions given on the Wikipedia-page, and here is ...
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### Why are my GARCH forecasts biased?

I've run an ARMA(1, 1)-GARCH(1, 1) model with normal density on log returns for twelve stocks. I computed the one-step-ahead out of sample forecast for daily volatility on a rolling windows for 500 ...
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### Transition densities in the Heston model

Knowing the Characteristic function $\Phi_{T,t} = \mathbb{E} [ e^{i u S_T} | S_t, V_t]$ (or equivalently, the Laplace transform) of an affine process, it's possible to know the distribution of the ...
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### What is the most convenient data structure for backtesting a model of futures options prices?

I have an empirical model for the dynamics of futures prices in a particular market that I have implemented using a long series of the front five contracts. (I account for the roll in my model.) I ...
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According to Dynamic Hedging: Managing Vanilla and Exotic Options (Taleb, 1997), the Parkison volatility estimator has several meaningful properties. It is defined $$P=\sqrt{\frac{1}{n}\sum_{i=1}^{n}\... 0answers 488 views ### Arbitrage free smoothing of volatility smile - cubic spline - implementation procedure I am studying the paper Arbitrage-Free Smoothing of the Implied Volatility Surface, from Matthias R. Fengler (https://core.ac.uk/download/pdf/6978470.pdf). The problem I want to solve is much simpler ... 1answer 620 views ### Risk management tools for long term Gamma/Vega sellers subject to margin calls TL;DR: if you're a retail investor and you systematically sell long-term vertical spreads while staying Delta-neutral, your main risk comes from Vega and the Gamma of opening gaps that can throw you ... 0answers 92 views ### Predicting bond auction result. Should I train separate models for different maturity in face of Data deficiency? Problem Statement Trying to predict how bond auction result ( in terms of yield ) is different from its forecast (the when-issued yield ). More info:http://www.mortgagenewsdaily.com/mortgage_rates/... 1answer 440 views ### Exposure calculation of a re-coupon swap How to calculate the exposure of a recoupon swap (when the MTM of an i.r. swap is settled and the fixed rate is reset to the prevailing swap rate for the residual maturity). It's used to reduce the ... 0answers 57 views ### Quantitative and regulatory aspects of portfolio integration in IRB credit portfolios Say bank A buys a credit portfolio "B" (e.g. corporate loans or retail mortgage, ...) from bank B. Bank A fulfills the the requirements of CRR (capital requirement regulation) for its existing ... 0answers 788 views ### Python Backtesting Framework Similar to Quantstrat I use Quantstrat heavily for strategy research and optimisation. I have two Python developers about to join my team and would like to use it as an opportunity to diversify our research tools so we are ... 0answers 253 views ### Libraries for calculating options strategy-based margin Hopefully, this is an acceptable question in this forum, even if it isn't analytically focused. As part of an effort to analyse the effect of different option trade structures on a portfolio, I need ... 0answers 293 views ### simulating from the CIR++ I am looking at the CIR++ model which is described in interest rate models by Brigo et al, and was wondering on how to actually simulate from this model. The model reads$$r_t=x_t+\phi(t), where \$...

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