# All Questions

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### Expectations in Infinite Probability Spaces with Sub Sigma-Algebras [closed]

The ideas that need to be proven all make sense to me intuitively, but I just don't know how to go about formalizing the actual proof itself in an infinite probability space. I tried approaching it ...
59 views

### Finding Differential and Quadratic Variation Squared Process

A question based from Springer's Stochastic Calculus for Finance II book - I've tried working this out, but keep ending up in circles.
27 views

### How can i calculate the yield given price, or price given yield for a callable bond, with several callable dates and strike prices (quantlib)

import QuantLib as ql ql.Settings.instance().evaluationDate = ql.Date(2,3,2020) maturity = ql.Date(10, 5, 2023) coupon = 0.09 issueDate = ql.Date(30, 12, 2019) frequency = ql.Semiannual dayCount = ql....
10 views

### How to calculate the net return of each “partner” at different times?

Let's suppose I am starting to manage some money. The money is invested in ETFs, particular de VOO. Let's suppose I have partner one with 1,000 USD, and with this, I can buy 10 shares of VOO at 100 ...
133 views

### “The potential gain of a Call Option is always incorporated in the Option's price” - Why is that?

I've heard this but I don't understand why. The demonstration of this is that the Ask Price of a Call Option is always higher than the difference between the Strike Price and the price of underlying ...
56 views

### Normalizing with Sum of Zero-Coupon Bond Prices

Suppose you are receiving a payment $K$ at time $t_m$. Let $p(0,t_i)$ be the maturity-$t_i$ zero-coupon bond price at $t=0$. If we consider a discrete time $\{0,...,t_m\}$, what would it mean to ...
33 views

### Step-up bonds should be more, not less sensitive to market interest rates, shouldn't they?

I keep reading that "a step-up bond provides more protection to an investor in the face of market interest rate fluctuations", that "a step-up bond typically performs better than any ...
53k views

128 views

### Interpretation conditional volatility plot

I have plotten the log differences of exchange rates and in the same plot, I show the conditional volatility $\sigma_t^2$. The conditional volatility follows approximately the same path, but is much ...
108 views

Nowadays, most cross currency basis spread (against USD) is negative, while AUD, NZD basis spread against USD is positive. Can someone explain why these two are positive, unlike the rest?
56 views

### How to do Monte Carlo simulation given the stochastic ODE of a Brownian motion

I've learn the theoretical basis and lots of Brownian motion in quantitate finance. But i'm wondering how to actually simulate something based on brownian motion and make into something code-able or ...
53 views

### Has anyone done the course STATS242: Algorithmic Trading and Quantitative Strategies. Where Can I find the assignments and other resources?

Basically the title. There's a course STATS 242: Algorithmic Trading and Quantitative Strategies offered in Stanford a few years ago. I searched on google a bit for the course website to see the ...
8k views

### Where can someone get free (or very cheap) high frequency tick forex data?

I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Eg, I have EUR/USD and would like USD/CNY or ...
96 views

### NLP related finance projects

fist of all I do apologize if my question is not fit for this forum, but after much research I didn't find a better place to ask this question. I am a PhD student in mathematics. I do know some ML and ...
48 views

### What are some alternatives to Geometric Brownian motion that can be used in the Black-Scholes?

I hear that there are many extensions to the black scholes model to make it more realistic, however, GBM does not account for volatile swings. Is there any sort of alternative approach to use instead?
35 views

### specialization of risk managment or financial math [closed]

I am having a hard decision for choosing which graduate program is more suitable for me: risk management under finance or financial math. I have a bachelor degree of mathematics and statistics. I want ...
25 views

### Why is the efficient portfolio assumption necessary for the CAPM model?

One of the main assumption in the CAPM model is that all the investors are rational and they hold the most efficient portfolio for a given level of risk. What difference does this assumption make? ...
81 views

### SDE Jump-Diffusion

If you combine the compound Poisson process with the Brownian motion you obtain the simplest case of a Jump-diffusion. Let’s define $$X_t = \mu t + \sigma W_t + J_t$$ where $W_t$ is a Wiener process ...
250 views

### Why are interest supposed deterministic for equity?

I don't see why would rates be considered as deterministic when trying to price $\mathbb{E}^{Q} \left[ e^{-\int_{0}^{T_{f}}r_{s}ds} \left( S_{T_f} \right) | \mathcal{F}_{0} \right]$ I would like to ...
43 views

### Sampling and cross-validating with tick, volume and dollar bars

Financial data is usually structured with time bars. Other sampling techniques include: tick bars volume bars dollar bars. These are so-called sampling techniques to better identify signals and ...
19 views

### Harvesting Bond Term Premium and Roll Yield using curve plays with Oanda Continuous Contracts

Oanda has their own product pricing and method of rollover that stitches the futures contract prices. I was trying to implement a strategy that accesses the bond term premium and roll over yield for ...
21 views

### How to evaluate prediction(s) made of the asset return mean?

In finance, it is well-known that the expected value of asset returns, $\mu$, otherwise known as the average return or mean or first statistical moment, is difficult to predict. I think it was ...
14 views

### How to annualize skewness and kurtosis of a forecasted distribution

I have a (non-normal) distribution of expected cumulative returns 10 quarters in the future, from which I have calculated mean, standard deviation, skewness and kurtosis. I would like to annualize ...
86 views

### Hedging vega risk with varswaps

I have encountered a statement that in summary reads like this: Varswaps became popular after the LTCM meltdown due to high levels of implied volatility the market was seeing at the time. Hedge funds ...
107 views

### Improve Finite Difference Scheme

I understand how to derive and implement standard finite difference schemes. I wonder how to improve such a standard FD scheme? For example, when solving the standard Black-Scholes equation, the ...
69 views

### Compute the price of a derivative which pays $\log(S_T)S_T$ in the Black Scholes world

Compute the price of a derivative which has pays $\log(S_T)S_T$, you can assume that the Black Scholes model is valid. Using the stock measure we can write the expectation as D(0) = S_0 \mathbb{E}...