# All Questions

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268 views

### How to apply derived beta to daily change?

I've taken three months of price return data for two instruments and calculated a $\beta$ between the two using the formula $\beta = \frac{Cov(x,y}{Var(y)}$ with the goal of estimating what the ...
287 views

### Questions about the replicating portfolio in the binomial model

I'm starting to teach myself quantitative finance and I've got several questions (marked in bold) regarding the replicating portfolio of a security in the binomial model. I'm following, among others, ...
1 vote
38 views

### How is swap rate calculated for a vanilla swap when there is a lag between the trade date and the start date

Take a vanilla EURIBOR swap and suppose that the start date of the swap is equal to the trade date. To compute the swap rate, you say that the value of the swap at the trade date must be zero, which ...
9 views

### Murex API with python [closed]

please someone know more about API for Murex? someone has an idea of how complex is to build one? I just searched online, but without to find some view about it. thanks
2k views

### What is the most stable, non-trivial dependence structure in finance?

The highest rated answer to the question on What concepts are the most dangerous ones in quantitative finance work? is this one: Correlation Correlations are notoriously unstable in ...
17k views

### Par Yield, Bond Yield and Zero Rate

In the Hull's book, chapter 4.4, it says : The par yield for a certain bond maturity is the coupon rate that causes the bond price to equal it's par value. Then for this question (4.18) : “...
1 vote
579 views

### Python - yahoo finance options data - volatility smile plot

I have plotted the IV of TSLA options using yahoo options data, but the scatter plot doesn't look right, can anyone advise why the plot looks like this? I would expect to see a vol smile plotted. EDIT ...
1 vote
21 views

### How to build a HW1F tree for SOFR?

I have previously built a HW1F trinomial tree (following the HW paper), and I manage to calibrate sigma(t) to swaptions and to price some derivatives. I discretise the tree quarterly (LIBOR3M). ...
1 vote
34 views

### Excess Return Evaluation Bias

Im currently working on a Alpha and Risk Model for constructing portfolios. From what Ive read on books and here, they are constructed in a different way and produce differents results. My Risk Model (...
977 views

### Questions on Kelly criterion

I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino). ...
709 views

### Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?

Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent $Q-$ ...
99 views

### TAKE AND ROLL calculate return

You are given a fair 20−sided die and 100 actions in a game. The die starts with upface 1. The two options you can perform are to roll and to take. Performing a roll re-rolls the current upface of the ...
1 vote
169 views

### How to calculate FX Forward Rate to fit bloomberg

If we take the EUR/USD currency pair, how do we calculate the forward rate to match Bloomberg's FRD function? I assume that if we use both the curve 514 - EUR OIS ESTR and 490 - USD SOFR (vs. FIXED ...
637 views

### VAR-aDCC full ARCH and GARCH parameter matrices in R

I am working with the rmgarch package in R and I estimated a VAR-aDCC model. Is there any way to extract the extended version of estimates (allowing for volatility ...
40 views

### Supertrend Indicator

I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values ​​that my chart software generates. At the moment, I don't fully understand my problem. You can add the ...
44 views

### EURIBOR vanilla swaptions are in fact slightly-mid-curve swaptions

EURIBOR swaptions have their underlying swaps starting 2 business days after the expiry of the swaption, and are therefore slightly "mid-curve". How does the market take this into account (...
422 views

### sub-Gaussian random variables in financial economics

Unlike financial time series that typically possess fat tails, sub-Gaussian random variables have strong decay in the tails of their distribution. do sub-Gaussian random variables or processes appear ...
2k views

### How does yahoo calculate Growth Estimates

Does anyone know how yahoo calculates Growth Estimates for the Next 5 Years (per annum)? For example, I can see 12.64% for AAPL as reporetd in Yahoo finance in https://finance.yahoo.com/quote/AAPL/...
270 views

37 views

### Seeking Best Methods to Identify and Analyze Sharp Trends in Stocks and Currencies Using Python

I have basic proficiency in Python development and I'm interested in analyzing the relationship between certain parameters and sharp changes in stock and currency trends. What are the best methods for ...
60 views

### Allocation of time to maturity day difference into standard tenor buckets in python

I was wondering if there is a quick way, e.g. via quantlib or any other python package/module, to allocate or to correspond time to maturity day differences to standard tenor buckets. In other words, ...
371 views

### Market impact power law fitting confusion

In many market impact papers such as "Anomalous price impact and the critical nature of liquidity in financial markets" by Tóth et al (2018), there is a standard power-law relation in the ...
1 vote
81 views

### How to perform volatility arbitrage between two instruments with different prices but the same realized volatility

Suppose We have two assets $S_1$ and $S_2$. They have different price, but share the same realized vol. They have corresponding options $O_1$ and $O_2$. When the ATM IV of $O_1$ and $O_2$ differ too ...
1 vote
87 views

### Kolmogorov's backward equation with initial value

I am refreshing basic financial mathematics concepts and self-learning from the text, A first course in Stochastic Calculus, by Louis Pierre Arguin. I understand that, the transition probability ...
92 views

### HFT using Pure C [closed]

Coding for HFT (statistical arbitrage engine) without getting involved in C++. Pure C, 8086 Assembly, Python, CUDA. Does it make sense? What is feasible? Will I be restricted when using FPGA or ...
55 views