All Questions

Filter by
Sorted by
Tagged with
0
votes
0answers
2 views

Can we get Index data of these exchanges? 02 S&P500 Index 03 DOW JONES 30 Index?

My Name is Salman and I am developing a stocks website. Can we get Index data of these exchanges? 02 S&P500 Index 03 DOW JONES 30 Index 04 CAC 40 Index 05 DAX 30 Index 06 FTSE 100 07 Nikkei Index ...
2
votes
1answer
23 views

Fama: Efficient Capital Markets: A Review of Theory and Empirical Work - are martingales incorrect?

In his paper, Eugene Fama gives the definition of a "fair game" as given below. I disagree. AFAIK, a martingale has the following property: $E[X_{t+\tau} | X_t] = X_t$. What am I missing? ...
2
votes
0answers
15 views

Non-Linear Time-Dependent Volatility

My data consist of monthly electricity futures contracts. Unlike other commodities, electricity is delivered throughout a month (rather than on a specific date), which means that, as the active month ...
0
votes
0answers
16 views

Estimating the spread of a market maker

If we have an order book and we assume that we know there is only one market maker, how can we determine exactly the spread of the market maker? What if there are more than one market makers?
1
vote
0answers
9 views

Limit of conditional expectations (when limit linked to the conditionning)

I am working with conditional expectations and am trying to derive a limit property. Consider $(Y_n)_{n \in \mathbb{N}}$ a sequence of square integrable random variables, that converge in $L^2$ to a ...
4
votes
2answers
35 views

Oil price model calibration with Kalman Filter and MLE in python

I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as: \begin{equation} dX = k(\alpha - X)dt + \sigma dW , \end{equation} where $\alpha = \mu - \frac{\...
2
votes
3answers
54 views

Which measure is used to price a swap?

When we value the floating leg of a standard vanilla swap, we replace the expectation of the future floating rates by the forward rates known today. However my understanding is that the forward rate ...
0
votes
1answer
39 views

Which curve is better to approximate bond yields (python)

I would like to approximate bond yields in python. But the question arose which curve describes this better? ...
1
vote
1answer
29 views

does oversampling affect the correlation?

I have a dataset of monthly data. One column is my target variable and all the other are my feature. I have computed correlation between my target and all the other feature and then I made linear ...
1
vote
1answer
41 views

How is it that price to book of a bank can fluctuate so wildly?

I'm still trying to wrap my head around the fact that in 2017, the price to books for European banks fluctuated wildly ranging from well above 2 to well below 0.5. Of course, a British bank doing well ...
2
votes
1answer
34 views

(Self-study) Futures, bonds, and arbitrage

I'm currently self studying futures, so I'm sorry if this questions comes off a bit stupid. I'm currently reading a book by Walsh, J.B. Knowing the Odds: An Introduction to Probability. I quote this ...
0
votes
0answers
28 views

Density of a portfolio's returns is the weighted average of asset distributions?

The expected return of a portfolio can be formulated as a weighted average of the constituent assets' returns: $$r_p = w_1 r_1 + w_2 r_2 + \dots + w_N r_N + \epsilon$$ Does it also follow that the ...
2
votes
0answers
35 views

Market Making Formulation

I'm developing a deep reinforcement learning based approach to market-making. In order to implement this, I need to define the appropriate actions and define environmental steps. While doing some ...
2
votes
1answer
40 views

Choosing which interest rate model to go with?

I've been assigned with the task of modelling zero rate curve. I did it with two models: Vasicek and CIR. Looking at the two curves produced, I can see that one is closer to the observed curve than ...
0
votes
0answers
18 views

Interpretation of Impulse Responses of VAR

Sorry for the dumb question. My model includes oil prices in level. So, for example CPI is log differences. I calculated IRFs of one standard deviation shock of real oil prices. How should I interpret ...
5
votes
1answer
333 views

Good Quant-Finance Interview Questions

I know there's the book by the late Mark Joshi and there is a lot of content on the internet. I thought it could be beneficial to additionally start a thread here where we could all share the most ...
-1
votes
1answer
42 views

How is market depth data useful

I was wondering how market depth data is useful if the orders which change the price would not be available . If we consider the orders which change the price , these are the orders where the bid on ...
0
votes
0answers
22 views

What is a succint description of the difference between neutral and indifference pricing as per Srdjan Stojanovic?

His book (Neutral and Indifference Portfolio Pricing, Hedging and Investing With applications in Equity and FX, by Srdjan Stojanovic, Springer, 2011) is not quickly readable. Wikipedia entry on ...
0
votes
0answers
38 views

Summary of Pricing Options of Log-Normal Claims Using Black's Formula

Cross posted from here. Let $B$ be a $Q$-Brownian motion and $X^{u,x}$ given by $$dX_t = X_t(\mu_t dt + \sigma_t dB_t),\quad X_u = x$$ for $\mu, \sigma$ deterministic. Let $\mu_{s,t}=\int_s^t \mu_u du$...
0
votes
0answers
28 views

PRIIPs KID: RHP is one day for category 2 products

When running the performance scenarios (unfavorable, moderate and favorable) - due to some outliers in the returns, I am getting situations in which favorable returns are actually worse than ...
0
votes
1answer
56 views

Why do replicating strategies delta hedge?

We have a simple BS-market of one risky asset $S_{t}$, a bond $B_{t}$ and a digital option $X$ on the risky asset with value process $V(t,S_{t})$. I was able to derive $V(t,S_{t})$ using risk-neutral ...
1
vote
0answers
28 views

Definition of defaults via unobserved assets

Sorry if my question is a bit basic. I am considering the default model as used eg in Vasicek (I think this goes back at least to Merton, though) that looks at an unobserved quantity modeling the ...
3
votes
0answers
27 views

ESG risk factors

In the context of EU action on sustainable finance, the European Commission has initiated a series of regulations in order to achieve the goals of Paris Agreement on sustainability. One of those ...
0
votes
0answers
21 views

Textbook about methodologies for computing margins (TIMS and SPAN)

I'm reading and trying to understand TIMS and SPAN methodologies for margin calculations. In the internet I found these 2 great resources and that's what I'm using to get familiar with things: TIMS ...
0
votes
0answers
33 views

How to fix my Ornstein-Uhlenbeck parameter MLE in Python?

I am trying to fit time-series data into an Ornstein-Uhlenbeck process. Here is my code so far: ...
2
votes
0answers
42 views

Garch models - are they useful for hedging? If so how?

I understand that Garch models are useful to predict volatility. But are they useful for hedging in practice? If I want to hedge volatility, why shouldn't I just use a Variance Swap? In other words, ...
4
votes
1answer
60 views

how to calculate vega in stochastic vol?

since vega is defined as option value changes regarding the implied vol parallel shift, how is vega defined or calculated in stochastic vol models since implied vol is not an input there? thank you.
-2
votes
0answers
31 views

How to interpret three-panel chart

Could anyone please explain to me how one can interpret each panel in the three-panel chart shown below, produced using chart.Posn function in ...
2
votes
1answer
107 views

Pricing Variance Swap

I want to calculate the NPV of a Variance Swap wherein the cash flow happens every months based on the standard Variance formula of the close prices of S&P500 ...
2
votes
0answers
32 views

Estimate of basket volatility

We are looking for a simple way to calculate an approximation of the basket volatility for a set of baskets so that we can estimate which basket might produce the highest coupon in a standard ...
2
votes
1answer
58 views

Multivariate MC: what am I doing wrong?

I am trying to generate multivariate MC results presented in this paper A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method, by ...
2
votes
0answers
38 views
+50

How is the implied risk neutral density affected when changing numeraire?

For example i would like to price \begin{equation*} E^{Q} \left[ e^{-\int_{0}^{T}r_{s}^{cur}ds} f \left( S_{T_f}^{cur_1} \right) | \mathcal{F}_{0} \right] = B_{cur}(0,T)E^{Q^{cur}_{T}}[ f(S_{T_f}^{...
1
vote
1answer
79 views

How are the divisor of SP500 determined?

I read through the definition of S&P 500, there is no clear explanation of the Divisor. I wonder what is it and where can I read more about it?
1
vote
0answers
42 views

Changing numeraire in Margrabes formula

Consider a Black Scholes market with constant coefficients, a bond and two risky assets: $$dB_{t}=r B_{t}dt \\ dS_{t}^{i}=S_{t}^{i}(b_{i}dt+\sigma_{i,1}dW_{t}^{1}+\sigma_{i,2}dW_{t}^{2})$$ where $i=1,...
0
votes
1answer
48 views

FX implied yield

Emerging market currencies like IDR, INR, its fx implied yield generally rise in a stressed environment. While for KRW, fx implied yield usually drops in a stress environment. I would assume KRW ...
1
vote
2answers
92 views

Clean vs dirty price for bonds

Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
0
votes
1answer
25 views

Is there a way to create a custom calendar using a holiday and weekend list in quantlib

We have a data set up that provides us a list of holidays and weekends which is different from the country or currency calendars.Is there any method exposed in Quantlib calendars which expects a list ...
0
votes
0answers
39 views

Optimal Change Point Detection Problem for a timeseries

W. T. Ziemba, S. Lleo and M. V. Zhitlukhin suggested an Exit Model for selling an asset based on Change Point Detection Theory from the field of Statistical Quality Control https://ideas.repec.org/h/...
1
vote
1answer
42 views

How to simulate asset prices/returns that display market regimes?

Are there any techniques that can make a multivariate random number generating process for stock prices/returns, like geometric Brownian motion via Cholesky, also include the simulation of a finite ...
0
votes
0answers
24 views

How to understand broken wing butterfly option strategies?

I feel very confused about the greeks analysis for the broken wing butterfly strategy. Let's say for the stock ABC, we enter into a such strategy: we long a put option with strike $k_1$ and another ...
0
votes
0answers
18 views

Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
1
vote
1answer
138 views

Why do cumulative returns have a bimodal distribution?

Regular returns (log-differenced prices) have statistical distributions that are bell-shaped and unimodal (one mode/peak) despite being non-normal and fat-tailed. Cumulative returns, on the other hand,...
-5
votes
0answers
30 views

Is Ito's lemma involved in the Jump Diffusion Model by Merton [duplicate]

I know its involved in the black scholes, but what is it's involvement in the jump diffusion SDE.
0
votes
1answer
60 views

Option implied distributions

I am having a bit of trouble understanding how to obtain the option implied distributions. I have strike levels, deltas and implied vols for a call option that expires in 6 months. Roughly 40 data ...
0
votes
0answers
17 views

Are there noticeable jumps in index options price due to systematic hedging of structured products close to big expiry dates?

I am looking at investigating factors that will cause jumps in index options prices close to big expiries in the name. I imagine systematic rebalancing of structured products will have a large impact ...
0
votes
1answer
52 views

Is there a packages to estimate Diebold-Li Parameters in R?

"The models implemented are: Nelson-Siegel, Diebold-Li and Svensson" is written in the description of the packages "YieldCurve". However, I can't find a specific estimation ...
0
votes
0answers
16 views

Is this a new way to profit from earnings releases using long straddles?

How much can I reasonably make if I buy a long straddle just as soon as earnings release day is announced and ride the rise in implied volatility along with any movements till the earnings release ...
-4
votes
0answers
22 views

Why Risk neutral pricing [closed]

I just wanted to understand a basic concept: Why do we do the option pricing under risk-neutral measure and not the general P.
0
votes
0answers
42 views

How do trading firms that pay for order flow make money from “arbitrage”?

I understand that retail brokers pass their customers' trades on to trading firms, and receive a payment for order flow in return. These trading firms carry out the trades and presumably also have to ...
2
votes
1answer
43 views

Detect a specified pattern in a target dataset with Python

This question is sort of a continuation of this, but i wanted to share the progress i made and ask for help on the part where i'm stuck. The short story is that i have a pattern stored in a simple ...

15 30 50 per page
1
2 3 4 5
318