# All Questions

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### Calculating Greeks in Covered Calls?

Just want to confirm whether Delta, Gamma, Theta, Vega will be calculated in the following way? Since we own 100 shares of stock while selling a call we need to subtract greek value from one? right? ...
960 views

### How to Analyze Interbank Lending Market?

I am currently trying to do a study in the interbank lending market, i plan to fit a DCC model to model them, these series below is taken from ...
896 views

### How to think about dollar volume in Eurodollar futures?

This is a very basic question: Computing the notional volume for futures contracts usually consists of something like: $$V_F = N \cdot P \cdot M \cdot FX$$ Where $V_F$ is the dollar volume of the ...
295 views

### put-call parity equation

I'm reading this book and I'm looking at page 4, and we are considering the case where $C_t - P_t - S_t$ is negative, which means that selling the call did not offset the cost of the stock and the put ...
8k views

### C# Broker API for FX Trading

I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
266 views

### Greeks of self-financing portfolio

I would like to learn more about the Greeks of portfolios of options: In textbooks and websites, I commonly encounter the unqualified claim that "The Greek measure of a portfolio is the sum of the ...
3k views

### What is a resting limit order? [closed]

What exactly is a resting limit order? I could not find a definition on Wikipedia or Google.
1k views

In this thread, the top answer discusses: "buy on bid, sell on ask" as "market making" strategies. My question is: In layman ...
383 views

### Comparing Backtests of Value-at-Risk and Expected Shortfall

My goal is to test if ES (CVaR) empirically is a better risk measure than VaR for a set of given variables (assumed underlying distribution, confidence level, sample size) for different asset classes. ...
615 views

### How could HFT help increase liquidity? [duplicate]

I have ready in several websites that HFT can help increase market liquidity, although this is contested in some articles. I am not familiar with the concept of market liquidity. What is the basis of ...
12k views

### Risk Neutral Probability

I read that an option prices is the expected value of the payout under the risk neutral probability. Intuitively why is the expectation taken with respect to risk neutral as opposed to the actual ...
115 views

### What are the CMG-relevant banks according to Basel III?

I'm going through Basel III monitoring workbook and instruction. There's one row in "General Info -> A) General Bank Data -> 1) Reporting Data" part: "CMG-relevant: Yes/No?" I wonder what does this ...
1k views

### How to plot custom hourly data into R with quantmod?

I'm trying to get into R because for some personal project, I need R and quantmod to create OHCL charts for me. I'm stuck at the candleChart creation step, and I'm not sure I understand why. Using a '...
227 views

### evaluation of volatility models using loss functions

This question has two parts, What is the state of the art in an academic or public knowledge sense of volatility forecast model evaluation? Since there are many methods out in the wild, and do ...
3k views

### From Fourier Transforms to Option Values

I am trying to understand how Fourier transforms & Characteristics functions can be used to calculate option values. However, I am having difficulty following the process that is used in several ...
522 views

### What is the market impact of OTC trading ETFs?

I read an interesting statement here: "If an ETFâ€™s market price tracks its NAV well, it is likely to have a small market impact. On the other hand, if the market price is more volatile than the ...
267 views

### stock option strategies long vs short

What makes an option strategy long or short? I got the impression that if it is a net debit (you pay to open the strategy) it is classified 'long' (strangle, straddle) Then I learned about the call ...
236 views

### Fixed Income free research available online

As from the title, I would like to know where it is possible to find free research focused on fixed income markets' themes and topics, such as interest rates, credit risk related fundamentals, new ...
2k views

### Deriving the par-yield curve

Given for example 6 bond prices and their respective 6 cashflows over a time period of 6 years, I have managed to derive the zero-coupon yield curve using the bootstrap method. However, it got lost ...
2k views

### European Swaptions: does implied volatility of swap rates decreases both with start and tenor?

Does implied volatility of swap rates decreases both with start and tenor? Given a Swaption price and a discount curve I calculate the swap_rate from the curve, then I define implied volatility as ...
107 views

### Valuation of Mortgage Backed floating notes

Does anybody have experience in valuation of mortgage backed floating notes? I have task to value the 4 different MBS floating notes. I know that it should be done through montecarlo, refinancing ...
1k views

### Semi-strong efficiency and HFT

The semi-strong efficient market hypothesis states that In semi-strong-form efficiency, it is implied that share prices adjust to publicly available new information very rapidly and in an unbiased ...
1k views

### How do Order Management/Matching Systems match/allocate orders (and filled prices)?

I am working on an improvement of my company's order allocation system. We run a central Order Management System (OMS) but currently performance attribution from filled orders leaves room for ...
1k views

### IB API quotes and speed

The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building ...
1k views

### Fama-French 3-factor model: factors implying risk

The Fama-French three-factor risk model is given by $$r=R_f+\beta_m(K_m-R_f) + \beta_s\cdot\mathit{SMB}+\beta_v\cdot\mathit{HML}+\alpha$$ where $r$ is the return, $R_f$ is the risk-free rate, $K_m$ ...
4k views

125 views

### Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...
192 views

### What's wrong with this asset growth simulation?

Sorry if this is too basic, but I have this spreadsheet that simulates asset growth of a portfolio under a given return and risk using MPT. Here is a plot of probability distribution of asset ...
4k views

### How to apply Ljung Box Test?

I am checking the closing prices(about 9000+ prices) of the stocks data to test for randomness. The test I am using is Ljung Box test, in MFE toolbox for MATLAB, I used 300 data of closing prices, ...
710 views

### Question on yield curve fitting from Wilmott on Quant Finance p.529

My last question is related. At the top of p. 529, it says, "From the Taylor series expansion for $Z$ we find that the yield to maturity is given by -\frac{log Z(r,t;T)}{(T-t)}\approx-a+\left(\...
329 views

May you can help me undertanding the following conclusion: Suppose we have an agent who has preferences over contingent claims, represented by a concave function $U$. This simply means that \$\mathbb{E}...
4k views

### VaR for FX forwards

I am trying to figure out some of the commonly used approaches to deal with FX forwards (in a currency portfolio containing spots, forwards and swaps) that would allow me to calculate the one day VaR ...

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