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7 views

Free boundary problem [closed]

hi I tried to slove these three problems, can you help me? thank you a lot.
0
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0answers
12 views

Find the price at time 0 of a European option that pays ST ln(S3T ) at maturity T [closed]

I do not know how to solve there two problems. Thank you for your help!! I think the answer of question(a) is "yes", but i don't know how to prove it. And I do not know how to solve the ...
0
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0answers
65 views

What type of derivative is this and how can it be priced?

I was asked to name this exotic contract and provide an approach to price it: There is an ATM European Call Option on DAX with time to maturity of 6 months. It has another feature (e.g. FX rate or ...
0
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1answer
20 views

Yahoo Finance Beta Calculation - foreign stock

How does Yahoo Finance calculate Beta for stocks quotes in foreign markets? Does it consider the volatility against local markets indexes or US S&P 500?
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0answers
28 views

Is there an indicator that “normalizes” pullback signals against varying trend strengths?

Does anyone know of a good indicator that "normalizes" pullback signals based on the context of the strength of the trend they occur in? I've noticed trend strength and pullback depth are ...
3
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0answers
76 views

Angular bracket notation (physics)

In a few papers I have seen the following notation: $$ \langle X_t \rangle $$ Also, in Bergomi's book, at page 8, we have the following equality: $$ \biggr\langle \int_0^T e^{-rt}s^2 \frac{d^2P_{\hat{\...
2
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0answers
31 views

Sensitivity to total variance for an option

In the famous article of Demertifi, Derman et al (1999), the authors, in the appendix, show that it it necessary to have options weighted inversely proportional to the Square of the Strike in order to ...
2
votes
1answer
87 views

Best Approach to Creating a USD LIBOR Forward Curve from Market Data

This is a very basic question, I am convinced this has been answered before but I cannot seem to find it. What is the best approach for constructing a USD Libor forward curve from market data? For ...
0
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0answers
29 views

Measuring Information Coefficient and Sharpe Ratio

I have been looking through / using Quantopians' Alphalens library to measure/create new factors, and I had some questions in evaluating the credibility of the factor. This is what I have: I have ...
0
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2answers
73 views

Implied volatility data

I am looking for historical implied volatility data, and I see that QUANDL has this data from two sources - ORATS and Quantcha. I was wondering if people have any views on which data is higher quality ...
0
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3answers
85 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
0
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2answers
39 views

free equity screeners with export to excel

I am having a tough time finding a free equity screener that allows me to download the following data into excel: P/E or EV/EBITDA, Growth, Return on capital or any return measures would be helpful. ...
0
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2answers
74 views

Implied Volatility - Historical data

I'm wondering if there's a place where I can find free or very cheap historical implied volatility data. Specifically, I'm looking to get at least a few years' worth of daily IV data for maybe a few ...
1
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0answers
82 views

The real reason behind discrepancy between Amazon low level of earing of and its staggering market value?

It is often said that, in the history of Amazon, the discrepancy between its low level of earnings and its staggering market value can be justified by its high level of free or operating cash flows(...
0
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1answer
22 views

What is the cause of this error 'TypeError: Wrong number or type of arguments for overloaded function 'new_HestonModelHelper'?

I'm simulating the option prices every month using the Heston Model. The option contract expires at the of the month and the next option contract start the day after the previous contract expire. In ...
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0answers
33 views

Figuring out parameters for a geometric brownian motion [closed]

So i have this problem: And this is my solution so far: Isolating the μ make sense to me. According to wikipedia, the formula is: E(S(t)) = S(0) * exp(μ*t). But what I am not sure about, is can you ...
2
votes
2answers
116 views

Covariance of a simple option portfolio

Suppose that you have an option portfolio composed by two plain vanilla call options. Each option has, as underlying, a different share following a different Brownian stochastic process. The two ...
1
vote
1answer
201 views

If $W_t$ is standard Brownian motion, what is $\int_0^T W_t \ln(W_t) dW_t$?

If $W_t$ is standard Brownian motion, what is meant by $\int_0^T W_t dW_t$ in finance? Furthermore, what then is the meaning of $\int_0^T W_t \ln(W_t) dW_t$?
0
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1answer
89 views

Transforming a time series

I have a time series that displays time varying volatility how would I take this time series an turn it into a more stationary process this is what the time series looks like , if one can provide r ...
3
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0answers
35 views

American Options in Merton's (1976) Jump Model

@LocalVolatility proves in this stellar answer that European call option prices in the Merton jump diffusion model are given by $$ C_{Merton}(S_0,r,q,\sigma,K,T) = \sum_{n=0}^\infty e^{-\lambda T}\...
1
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0answers
38 views

Is this actual example of calendar arb in quotes?

From my understanding total implied variance has to be a monotonic function of time for there to be no calendar arbitrage. Stumbled upon quotes for this Monday with apparent arb (NKE Dec expiry vs Jan)...
2
votes
1answer
262 views
+50

understanding carry for Fixed Income Securities in Pedersen

I'm following the famous paper Carry of Pedersen et al. I have a particular question about the section Global Fixed Income Carry. My main questions are around equation 15. They define Carry as $$C_t:=\...
2
votes
1answer
62 views

Forward bond yield with QuantLib

I'm looking into way to calculate forward bond yield using QuantLib. In Python QuantLib book I see an example for bond futures, where ...
2
votes
2answers
113 views

Heath–Jarrow–Morton under real-world measure

In HJM model (framework), the drift of the forward is determined by its diffusion coefficient: $$ \mu(t,s) = \sigma(t,s)\int_t^s \sigma(t,v)^Tdv $$ My understanding, is that the change of measure ...
5
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0answers
100 views
+50

Hedging : effect of not matching the term structure of skew

Let us assume that we construct a pure stochastic volatility model calibrated to the implied volatility surface, but that the model does not replicate accurately the observed term structure of the ...
0
votes
1answer
43 views

QuantLib Compounded vs CompoundedThenSimple and Simple vs SimpleThenCompounded

I was experimenting on a FixedRateBond on QuantLib python port and have a question on the use of Compounded vs. CompoundedThenSimple methods of discounting. I am using the FixedRateBond.dirtyPrice() ...
0
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0answers
88 views
+50

How to apply Kalman Filter to GDP data?

Once reverted the Merton/Vasicek formula I could compute the $PD^{PIT}$ for IFRS9 as $PD^{PIT}_i(z) = \Phi \left( \phi^{-1}(PD^{TTC}_i) \sqrt{1-\rho_i} + \sqrt{\rho_i}z\right)$ The main issue is to ...
0
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0answers
34 views
1
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1answer
286 views

Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2

My question is rather specific but I'm wondering if someone might be able to help. In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself ...
1
vote
0answers
50 views

Can you use the SABR implied volatility in the Black Scholes formula?

The SABR implied volatility is often used as an input in Black's model to price swaptions, caps, and other interest rate derivatives. I'm wondering whether you can use the SABR closed form solution of ...
8
votes
3answers
8k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
0
votes
1answer
27 views

curve construction for Non deliverable forward

how to construct a forward curve for Non Deliverable Forwards if I Have swap points and outright forward Is it good to construct a curve using forward swap point or directly outright forwards ...
0
votes
1answer
45 views

Does a barrier breach in a geared put structured note result in greater losses for the investor vs a plain knock in barrier?

I understand how knock in barriers work. But what do geared put in a structured note mean? My understanding is in a geared put vs a regular knock in barrier, the loss for the investor is higher if the ...
0
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0answers
37 views

Why approximating dSigma/dS with dSigma/dK changes the ATM volatility at twice the rate?

I'm referring to the paper "Delta Hedging With a Smile", Sami Vahamaa (2004). It mentions: By approximating ∂σ/∂S with ∂σ/∂K, it is assumed that as S changes by one unit, there is a ...
0
votes
1answer
41 views

Is this the reason why stock prices on the broad average always rise?

According to the so called Dividend Discount Model (DDM), a particular, temporary stock price is the discounted sum of all future dividends resulting from the investment: $$P=\frac{D}{i-g}$$ $P$ is ...
-3
votes
0answers
24 views

Why a self financing portofolio equals to the value of a call option? [closed]

Why a self financing portofolio equals to the value of a call option? Actually, why we write $V(S,t) = a_tS_t+b_t\beta_t$? where $S_t$: stock price and $\beta_t$: bank account value , $V(S,t)$: value ...
0
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0answers
20 views

Greeks for options without bid price

It is very common to be long option without any bid price. What would be the best way to estimate Greeks for such an option? At the ask price? 1/2 of ask?
1
vote
1answer
38 views

Book/Reference on LEAPs/ Long dated options

Can anyone suggest a book on pricing and trading in LEAPs / Long dated options (maturity atleast 6 months )or a generic book which covers this topic in great detail. I’m specifically looking at how ...
1
vote
1answer
61 views

How many parameters in a discount curve exponential spline fit?

I am investigating the ExponentialSplinesFitting class in QuantLib. I've used this fitting technique using a variety of systems in the past (including by hand!). The form is $$df(t) = \sum_{n=1}^{N}(\...
4
votes
1answer
75 views

Tangency portfolio with two additional constraints so that portfolio weights are unconstrained

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
votes
0answers
35 views

Deriving the dynamics of a Brownian motion process

Consider processes Xt and Yt with the following stochastic differential equations: dXt = µ1Xtdt + σ1XtdWt dYt = µ2Ytdt + σ2YtdWt where Wt is a standard Brownian motion. Define a new process G(Xt,Yt) = ...
4
votes
3answers
8k views

How to calculate ex Ante Tracking Error

I'm looking to find the correct way to calculate the ex ante tracking error of a portfolio. If say I have 10 funds, and their historical returns series (used to calculate mean return, standard ...
2
votes
1answer
91 views

Appropriate Encoding for Stock Technical Indicators ? RSI

happy new year and i am new to machine learning + python.. so recently i am doing a project on my own to use machine learning models on technical indicators.. I have my technical indicators data ...
-4
votes
0answers
61 views

How do I incorporate equation 6 and 7 of Abi Jaber (2019) (lifting the heston model) in the classical Heston model? [closed]

So I want to use this lifted Heston model (lifting the heston model, (Abi Jaber, 2019) https://hal.archives-ouvertes.fr/hal-01890751/file/Lifting_20190501.pdf) to simulate the call prices (S&P500) ...
0
votes
0answers
33 views

Time-changed Levy processes

in different articles the authors use the CIR process to change the time in different processes. They mostly use the CGMY, VG, NIG etc process, but I haven't noticed anybody using the Kou process. ...
4
votes
1answer
99 views

Just wondering any algo strategy popular for vanilla bond trading?

I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
1
vote
1answer
42 views

How can the face value of a bond not be a round number?

I'm reading Bruce tuckman's "fixed income securities" and I'm at the section that is explaining arbitrage. In the chart below, the cash flows are based off the biannual interest rates * the ...
1
vote
1answer
95 views

Basel compliant Bonds

Recently in India, one of its largest banks issued something called Basel-3 compliant bond. Details here - https://www.business-standard.com/article/finance/state-...
-4
votes
1answer
58 views

Single-period market with probability space [closed]

Let $C^E$, $P^E$, $C^A$, and $P^A$ denote prices of a European call option, a European put option, an American call option and an American put option, respectively. All of them with expiry time $T$ ...
0
votes
0answers
42 views

Price of a double barrier knock-in option

According the paper of Hui (1996) - One-touch double barrier binary option values the price of a knock-out double barrier option is: This option pays out a predefined cash amount if the lower or ...

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