# All Questions

2,733 questions
0answers
947 views

### 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 ...
0answers
1k views

0answers
204 views

### Basket option density in BS model

Let X and Y be two GBM’s, they have each a univariate log-normal distribution for some time t, that is $X_t\sim{LnN(µ_x, σ^2_x)}$, $Y_t\sim{LnN(µ_y, σ^2_y})$ and $Z_t=[X_t,Y_t]\sim{ MvLnN(μ, Σ)}$ ...
0answers
617 views

### compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...
0answers
3k views

### VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

Background: Kupiec P. in 1995, published paper "Techniques for Verifying the Accuracy of Risk Management Models" on Journal of Derivatives, v3, P73-84, it's a Unconditional Coverage Tests designe for ...
0answers
59 views

I have a payoff that is the worst of the returns two indices: S&P500 (SPX) and Euro Stoxx 50 (SX5E). $\pi = \min \left\{\left(\frac{\text{SPX}_\tau-\text{SPX}_0}{\text{SPX}_0}\right),\left(\frac{\... 0answers 107 views ### Does your Parkinson volatility ratio work as Taleb explained? According to Dynamic Hedging: Managing Vanilla and Exotic Options (Taleb, 1997), the Parkison volatility estimator has several meaningful properties. It is defined $$P=\sqrt{\frac{1}{n}\sum_{i=1}^{n}\... 0answers 83 views ### Predicting bond auction result. Should I train separate models for different maturity in face of Data deficiency? Problem Statement Trying to predict how bond auction result ( in terms of yield ) is different from its forecast (the when-issued yield ). More info:http://www.mortgagenewsdaily.com/mortgage_rates/... 0answers 353 views ### Why are my GARCH forecasts biased? I've run an ARMA(1, 1)-GARCH(1, 1) model with normal density on log returns for twelve stocks. I computed the one-step-ahead out of sample forecast for daily volatility on a rolling windows for 500 ... 0answers 746 views ### Python Backtesting Framework Similar to Quantstrat I use Quantstrat heavily for strategy research and optimisation. I have two Python developers about to join my team and would like to use it as an opportunity to diversify our research tools so we are ... 0answers 233 views ### Libraries for calculating options strategy-based margin Hopefully, this is an acceptable question in this forum, even if it isn't analytically focused. As part of an effort to analyse the effect of different option trade structures on a portfolio, I need ... 0answers 280 views ### simulating from the CIR++ I am looking at the CIR++ model which is described in interest rate models by Brigo et al, and was wondering on how to actually simulate from this model. The model reads$$r_t=x_t+\phi(t),$$where ... 0answers 119 views ### recent developments in American options? I have read the paper written by Egloff (2005) using machine learning techniques to solve the optimal stopping problem. Is there any development in pricing American options during 2005-2016? (based ... 0answers 306 views ### Pricing an American call under the CGMY model I am pricing an American call under the CGMY model (0 < Y < 1) with strike K at grid point (x_i,\tau_j) where x_i=x_{min}+i\,\Delta x for i=0,1,...N and \Delta x=\frac{x_{max}-x_{min}... 0answers 255 views ### Transition densities in the Heston model Knowing the Characteristic function \Phi_{T,t} = \mathbb{E} [ e^{i u S_T} | S_t, V_t] (or equivalently, the Laplace transform) of an affine process, it's possible to know the distribution of the ... 0answers 247 views ### Applications of distance correlation This question mentions distance correlation. Where has this concept been applied to financial data and provided new insight? Do you know any examples or references? 0answers 118 views ### Feller Condition (Cox-Ingersoll-Ross) source For the Cox-Ingersoll-Ross model$$\text{d}r_t = a(b-r_t)\text{d}t+\sigma\sqrt{r_t}\text{d}W_t$$the condition (referred to as "Feller condition")$$2ab\geq\sigma^2$$ensures that the solution is ... 0answers 105 views ### Random variable minus Integral of Ito Generator is a Martingale under what conditions? I am reading about american option pricing and the variational inequality, and the book I am reading states, in the derivation of the variational inequality, the following is a martingale:$$M_s = U(s,... 0answers 58 views ### Formal proof market incompleteness under jump diffusion Does anyone have formal proof of markets incompleteness under jump diffusion ? I am familiar with the intuitive approach as mentioned in Tankov (delta), yet I am looking for a formal approach and ... 0answers 76 views ### Produce volatility smile/skew with G2++ model Suppose I have a G2++ short rate model: $$r(t)=x(t)+y(t)+\phi(t), \quad r(0)=r_0$$ with $$dx(t)=-ax(t)dt+\sigma dW_1(t), \quad x(0)=0$$ $$dy(t)=-bx(t)dt+\eta dW_2(t), \quad y(0)=0$$$$d\langle W_1,W_2\... 0answers 172 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 ... 0answers 49 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 102 views ### Estimation of right truncated poisson process I have following problem: Imagine I generate large number of homogenous poisson process sample paths (by sample path I mean a sequence of arrival times$\tau_i\$ all with the same intensity. However ...

15 30 50 per page