All Questions

Filter by
Sorted by
Tagged with
0
votes
1answer
64 views

A decent model to calculate hedges

Is there an option pricing model that wouldn't be too time consuming to set up in Python (for example) and that would provide better delta hedges than Black-Scholes? This would be mainly for equity ...
0
votes
0answers
27 views

Futures positioning reported by CFTC

How is the net futures position calculated by the CFTC? For instance, GBPUSD net contract is positive in the CFTC report, what does it mean given that for each buyer there is a seller?
-2
votes
0answers
36 views

Buying long dated call options at the bottom of a crash [closed]

Thanks in advance. When the S&P corrects badly, many new people like me may want to buy a call option 2 months out. But isn't volatility high during the crash? If the S&P corrects and heads ...
1
vote
0answers
31 views

How does one explain the negative returns around the event of stock inclusion in DAX indices?

Greetings there friends, I am doing a small research on the effects of the event of inclusion and exclusion of a stock from DAX indices (german indices), to cut the story short, i have downloaded data ...
0
votes
0answers
20 views

How to calculate Annualized tracking error of an Index fund given daily historical data?

Let's say I have Fund A and Benchmark B and the daily data for both, stretching back 5 years. To find the Annualized Tracking Error (ATE), would this method be correct: Compute percentage change of A'...
1
vote
0answers
26 views

Pricing a amortizing callable danish mortgage bond using quantlib

I am trying to price a callable fixed rate amortizing danish mortgage bond. since QuantLib only has CallableFixedRateBond i have created a dervived class called <...
0
votes
0answers
24 views

Realized volatility calculations from real dataset

I am working with a dataset from: http://web.math.ku.dk/~rolf/Svend/ named data 1. I'm currently setting up a delta hedge for periods of 3 months. So currently we are starting at the start data of the ...
0
votes
0answers
34 views

What free or cheap (<$200/month) API would you suggest to get stock options data?

Here is what I am looking for: I would like to cover the greatest possible percentage of all existing options worldwide (with US options being the top priority though). I would prefer live data but ...
0
votes
0answers
31 views

Pricing american options on interest rate by MC simulations

Hey how to price american options on interest rate using MC simulations? It this way correct for a situation when I used BS model for interest rate?: Simulate interest rate paths until bond ...
-3
votes
0answers
41 views

Risky assets in place [closed]

I calculated micron tech and the market and also cisco system and the Nasdaq (market), to see their return r=x1r1+(1-x)r2 And with micron tech and market r=0.38% and the variance that is increasing 7....
0
votes
1answer
34 views

Variables for retail lending of bank

Typically to estimate the credit-worthiness of customers in retain bank lending, banks generally consider many demographic and socio-economic variables most importantly - Age, number of dependents, ...
-3
votes
2answers
190 views

Is it a problem that there are so few stocks in the generalized Black Scholes market? [duplicate]

In the standard Black Scholes market there is only one stock. In the generealized market there can be a finite amount, but my impression is that there are few stocks in the market. The real world ...
1
vote
1answer
98 views

Instantaneous Forward LIBOR rate formula under the real-world measure: A fundamental question

We know how the formula of an instantaneous forward LIBOR rate looks like: \begin{eqnarray} L(t, t, T) = \frac{1}{\Delta}\left(\frac{1}{P(t, T)} -1\right) \end{eqnarray} where $P(t, T)$ stands for the ...
0
votes
1answer
67 views

Pairs trading/Cointegration confusion

I've been trying to wrap my head around cointegration. Currently I use the log returns of both stocks A and B, calculate the spread given by: $S = log(A) - n*log(B)$ where $n$ is the Hedge Ratio ...
0
votes
2answers
51 views

Creating a set of histories that satisfies certain statistics

I'm looking at a download of BlackRock's capital market assumptions, which gives a bunch of statistics, such as expected and quartiles for asset classes' returns for different timeframes, volatilities ...
0
votes
1answer
61 views

Volatility surface interpolation for Black-Scholes delta hedging

A general question for interpolation method for implied volatility between tenors. I've recently stumbled accross a dataset from http://www.math.ku.dk/rolf/Svend/, and I would like to interpolate the ...
0
votes
0answers
28 views

Fixed leg for an interest rate swap [closed]

This is my first time on the finance section of stack exchange so I'm hoping my question is suitable. I've been digging around some past papers for Finance and I found this question on Interest swap ...
0
votes
1answer
37 views

Confused in regards to calculation of delta of one share including one call and one put [closed]

Q:My investment portfolio has one share of one call and one put, what would be the delta of my portfolio ? delta of call:0.45 delta of put: -0.14 My thought process: To begin with since im dealing ...
0
votes
1answer
35 views

How to interpret negative fixed rate in Vanilla IRS [closed]

Currently a vanilla 4Y EUR vs. 6M Euribor IRS has a negative price e.g. -0.35%. I do not understand how to interpret the swap when the fixed rate is negative. If I am the fixed rate payer in this swap ...
0
votes
1answer
46 views

Sensitivity of correlation swaps to stochastic volatility

Are correlation swaps sensitive to stochastic volatility? Can you please justify from a theoretical point of view?
0
votes
2answers
74 views

Predicting price direction from order flow at high frequency

I have access to high frequency data for a few instruments using which I can simulate a limit order book.I would like to predict direction of price(best bid/ask) in the short term(1 sec, 5 sec and 10 ...
3
votes
0answers
56 views

Book that considers stochastic interest rate models in discrete time?

Are there any books that covers interest rate swaps, futures, forwards etc. but have a discrete time model? I would like to go deeper into this without having to worry about the stochastic calculus. ...
0
votes
0answers
15 views

Adjust the CAPM/CML model for VIX index

Adjust CML model for VIX factor I’m trying to incorporate the VIX index into my efficient frontier model. One way of doing this that I thought about was to extend the model to include investor ...
1
vote
0answers
39 views

DGTW return adjustment

DGTW refers to the 1997 Daniel, Grinblatt, Titman, and Wermers paper available on Wermers' personal website. The general idea from what I have understood (please correct me if you think I'm wrong!) is ...
0
votes
0answers
54 views

Heston Nandi Garch Implementation Problem for Python

I have a coded my own Garch class in order to implement the Heston-Nandi Garch model. ...
0
votes
1answer
30 views

Margin Requirement model for CCP and non-central cleared OTC derivatives

What the models for computing margin requirement for central counterparty (CCP) and non-central cleared OTC derivatives.
0
votes
1answer
38 views

Time horizon of estimation period CAPM beta

When calculating CAPM beta, it is done by rolling regressions. If it is only the beta we want to obtain, am I correct to assume that we can estimate rolling correlations and stds, and use this to ...
0
votes
2answers
99 views

Machine Learning approach for the probability estimation of certain events

I am planning a research project on estimating the probability of corporate takeovers. I think that different variables could be indicators to predict takeover bids. For example, price increases in ...
0
votes
0answers
25 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
0
votes
0answers
22 views

Testing alternative null hypothesis in simple linear model? - R

This might be a rookie question, but how does one test for H0 = 1 instead of H0 = 0 using the LM() function? My use case is to test whether beta is significantly different from 1 in a CAPM model in R. ...
2
votes
1answer
106 views

Calculating futures price

Consider a world as follows: $$\frac{dB}{B} = r_tdt$$ $$\frac{dS}{S} = r_tdt - 0.05dW_1 + 0.5dW_2$$ $$dr_t = 0.2 dW_1$$ where $r_0=0$. The Wiener processes $W_1$ and $W_2$ are independent. The price ...
0
votes
0answers
21 views

Using Bloomberg API on Excel to find that a stock “ will ” change its ticker

I am wondering if there is a way in Excel, using Bloomberg API, to find if tickers "WILL" CHANGE or be acquired by other firms.
0
votes
0answers
24 views

Determine what causes a stock price to move substantially. How?

The crypto currency market is young and they definitely don't use terms like Shares Float. When I trade stocks I know that a security with a small market cap and small float is capable of big price ...
0
votes
0answers
28 views

Role of multilateral trading facility

I'm trying to understand Multilateral Trading Facility why companies are traded in this type of exchange ? what's the role of High Frequency Trading firms in this exchanges ? Thank you
1
vote
1answer
98 views

Are return time series ergodic?

It seems intuitive to me that return time series would be ergodic. Is there a test statistic that I can use to check this? Would this be affected by sampling rate? One way I can think of checking ...
1
vote
1answer
73 views

Total Return Swap on Single Govt Bond Marked to Market Calculation

Looking to understand how to value a TRS on single 10y UST during the life of the trade. Here is an example of trade parameters. 10mm constant notional 1-year maturity I am performance leg payer / ...
0
votes
0answers
28 views

Reverse Repo agreement unrealized gain/loss calc

trying to value the unrealized gain/loss on reverse repo agreement and can not back into this - the unrealized gain is \$153,000. Repo trade was done on Oct 3, 2018 for \$5.1M (CONSOLIDATION of trades ...
0
votes
0answers
34 views

when valuing derivatives, we take into account the CSA. question is, should settlement currency also impact?

eg supposing i have a payoff of 100 GBP on 5/5/2025. and my CSA is USD SOFR. and supposing i have another identical derivative, except it's payoff is 100 * GBPUSD spot (in USD) at 5/5/2025 or that its ...
0
votes
1answer
75 views

Why do bank stock returns increase from increased credit risk?

As part of my bachelor's thesis, I am running the following regression on daily bank excess returns: (r-rf)=Beta * Market excess return + Beta * Level(5Y)+ Beta * Credit Risk + error Level(5Y) is the ...
1
vote
1answer
35 views

What is the definition of “co-terminal swaptions”? why they are important in the calibration process?

could anyone help me understand the definition of "co-terminal" swaptions? What are they? Can you provide an example to illustrate? And why such instruments are important in model ...
0
votes
1answer
61 views

India's FX foward market

https://www.bloomberg.com/news/articles/2021-05-04/india-asks-state-banks-to-protect-dollar-assets-on-cairn-concern Based on this article USDINR forward premium has spiked as there is abundant USD ...
2
votes
0answers
69 views

Skewness and Kurtosis in GARCH vs Heston

GARCH(1,1) In discrete time, we can model returns as follows \begin{align} r_t &= \mu + \sigma_t\epsilon_t\\ \sigma_t^2 &= \omega + \alpha \epsilon_{t-1}^2 + \beta\sigma_{t-1}^2 \end{align} ...
0
votes
0answers
47 views

How to choose a strike price for buying VIX calls as a hedge? [closed]

I am thinking of buying VIX call options to hedge my portfolio that has positive delta exposure to SPX index (owning equities in S&P and holding long-dated SPX short puts). This is because if SPX ...
0
votes
3answers
83 views

How is forex price precision (of the actual floating point number) determined?

I wrote some python code that tries to calculate this by samplying 1000 forex prices using polygon.io's REST api. However, will the precision ever change or is it fixed by something. How do they ...
0
votes
0answers
35 views

Where to find Historical price data (csv preferable) for global Gov bonds and markets. All dollar denominated?

I'm doing a lengthy backtest on a certain portfolio and i've managed to get FTSE 100 data going back to 05-30-1990, where could I find data for global Government bonds going back to that date? A csv ...
0
votes
0answers
14 views

Question on the choice of boundary in the CUSUM test when we make some resampling

Question on the choice of boundary in the CUSUM test when we make some resampling We are considering to make a CUSUM test for some economical time series $X=(𝑥_1,..,x_n)$. Suppose $X$ contains many ...
0
votes
1answer
120 views

The most appropriate volatility model

Which would be the most appropriate models to find volatility trading opportunities (i.e. plot a theoretical volatility smile I can rely on) for the following instruments: Options on equity Options ...
0
votes
0answers
33 views

How does one transform the Black Scholes equation (u_t +0.5A^2 x^2 u_{tt} +Bxu_x - Cu= 0) to the heat equation [duplicate]

Given that A, B and C are constants, how does one transform (u_t +0.5A^2 x^2 u_{tt} +Bxu_x - Cu= 0) to the heat equation.
1
vote
2answers
156 views

Does fear or greed drive option prices?

Frequently we hear that implied volatility being higher (as measured by VIX) indicates fear in the stock market. It is assumed that investors buy more puts for downside protection, driving put option ...
0
votes
1answer
89 views

Select top $n$ most correlated assets in universe

I know this questions is a bit ambiguous, but I guess that's natural. To put it simply: I have a universe of around 600 stocks. How do I find the top $n$ "most correlated" assets? At the ...

15 30 50 per page