# All Questions

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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.
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 ...
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### 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 ...
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### 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?
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 ...
76 views

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)...
262 views
+50

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### 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 ...
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) = ...
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 ...
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 ...
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) ...
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. ...
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?
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 ...
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-...
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 $T$ ...