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4
votes
0answers
86 views

stochastic programming book recommendations

Hi: Can anyone recommend an introductory book on stochastic programming ? There are obviously so many books on Amazon but I can't tell easily which ones could be useful. It would be good if it had ...
1
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0answers
53 views

Where do some numbers in finance papers which seem to appear out of nowhere come from?

On p. 1671 in the paper Kempf/Manconi/Spalt (2017, RfS), Distracted shareholders and corporate actions it says (I think it is in the context of a log regression): Those effects are economically ...
0
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0answers
20 views

Hedging with a different underlying - bond options case

I'm working on government-bond options pricing (Black-Scholes world, nothing fancy). In EUR, that's pretty much a "non market" in the sense that there's pretty much no quotes, so no implied vols, no ...
1
vote
1answer
75 views

Pricing of Fx Swap and Fx Forward in excel

How to do pricing of FX Swaps and Fx Forward in excel can anyone show the same which will match the bloomberg.I am calculating by adding or subtracting the fx fwd points in fx spot rate to arrive at ...
2
votes
1answer
66 views

How to calculate the prices of option instruments for a new underlying

Can someone with practical experience with implementing and verifying please point me in the right direction. Let's say I have 3 months of data for an underlying. I want to generate theoretical ...
4
votes
2answers
113 views

What is wrong with this method of european option pricing?

Carr-Madan proved that there is a simple relation between call-prices and the characteristic function of the underlying model. See Equation 5 and 6 in their original paper http://citeseerx.ist.psu....
1
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1answer
149 views

How can I most efficiently deduce Renaissance Technologies' changes?

The Motley Fool, Nasdaq and Yahoo Finance all were able to deduce RenTech's purchases of cannabis stocks. I can see RenTech's quarterly reports on EDGAR, but they don't list changes. How can I ...
0
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0answers
61 views

Which of Terry Tao's co-authors on compressed sensing consulted for Renaissance Technologies?

On Feb 11 2018 on Quora, Vladimir Novakovski commented Terry is Tier One in the RenTec world. His coauthor on compressed sensing did some consulting for them, actually. Who's this co-author?
1
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1answer
33 views

How to project 1 Year ATM Implied volatility for SPX 500 1Year from now? Final goal is to calculate 1 Year Call prices on SPX 500 1 year from now?

I have the historical data for 1Year ATM Implied Volatility on SPX 500. I want to simulate the 1 year call option prices 1 year from now. What methods and approaches do I need to use? (Heston,GARCH, ...
1
vote
1answer
62 views

Showing BM $W(s)$ is independent of $W(t)-W(s)$ [closed]

Consider $0\leq s<t$ where $t,s$ represent time index. I want to show a Brownian motion $W(s)$ is independent of $W(t)-W(s)$. Specifically, show that $E[W(s)(W(t)-W(s))]=0$ Proof: Writing $W(s)$...
2
votes
2answers
64 views

PD and LGD for ECL calculations needs to be time dependent?

I'm studying the implementation of an expected credit loss (ECL) model. I have encountered a complication. Do I need to calculate a probability of default (PD) and loss given default (LGD) with a time ...
0
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0answers
35 views

Quantlib - Duration of a Floating Rate Bond with Spread

I've used Luigi Ballabio's workaround to calculate the duration/modified duration of a floating rate bond (which you can find here: https://www.youtube.com/watch?v=r_1wSd0hnN4). However, if I add a ...
4
votes
0answers
125 views

Hedging XVA sensitivities and funding risk

FVA is a hot topic today and I've been thinking on how its managed inside a treasury department. Although the pricing/calculation is well covered in academic material and there is some sort of ...
1
vote
1answer
57 views
1
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1answer
37 views

IPO data source (NYSE / NASDAQ)

I am trying to get data for results of IPOs that took place on NYSE and NASDAQ in 2015-2020. My minimal need is: Date of IPO completion Company name or ticker (better yet, both) Total US$ amount ...
2
votes
1answer
28 views

Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance

everyone. Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title. Anyway, here is the case. I have attached a screenshot which displays ...
0
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0answers
38 views

Calculating Interest Rate From EMI

Suppose there is a loan with equated monthly installments. If I know loan period, loan amount and equated monthly installment amount is there a way to calculate interest rate? $${\rm EMI}= a \cdot {(...
-1
votes
1answer
63 views

Volatility Swap Variance swap [closed]

Why do two different products trades as vol swap and var swap. Are these products not inter-convertible? I know Var swap has convexity and vol swap does not have but i don not understand how it helps ...
1
vote
1answer
51 views

Monte carlo delta calculation for Worst/Best Of Option

I try to calculate the Delta for WO by finite difference. For example, $K = 1.$ $$ S_t = S_0 e^{(r - d_1 - \frac{\sigma_1^2}{2})t + \sigma_1 W_t^1} $$ $$ F_t = F_0 e^{(r - d_2 - \frac{\sigma_2^2}{...
0
votes
1answer
88 views

Is Longstaff-Schwartz best method for Bermudan options?

What is the go-to method for pricing of Bermudan/American options? I've heard the Longstaff-Schwartz method is really popular. Is it better than the other methods generally speaking? If not, which ...
0
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0answers
32 views

Calculating the total return on an Interest Rate Swap (with 1 year of duration)

Say I am the fixed rate payer on an interest rate swap and have 1 year of duration of exposure. When I entered into the IRS (say yesterday), the quoted rate on Bloomberg was 15%. Say tomorrow the ...
3
votes
1answer
108 views

When do Fourier inversion methods run into problems?

So in my courses, we always priced options either with Monte Carlo methods, or some sort of PDE discretization. Then I looked up Fourier inversion methods on my own that rely on the characteristic ...
1
vote
0answers
37 views

Why is it impossible that an investor buys only securities in levered firm?

On page 5 of this slide deck, it says that if the value of levered firm is smaller than the unlevered one, then investor buys only securities in levered firms (which is understandable) and hence value ...
0
votes
1answer
68 views

Delta heding & PnL

Sorry if it's a duplicate but i didn't find an answer to my simple question in the other posts. Let say we short a call option on a stock. $K = 100$, $C = 1$, $S = 100$ and $\Delta = 0.5$. No ...
0
votes
3answers
167 views

Why is the hedging cost using forwards $\frac{F-S}{S}$ and how is this related to Carry?

I'm a bit confused about hedging a foreign exposure and how this is related to carry. I've read that the hedging cost $h$ is $$h=\frac{F-S}{S}$$ where $F$ is the forward and $S$ is the spot price. ...
1
vote
0answers
34 views

What to choose after MBA finance major? [closed]

Particularly my younger sister is bit confused about what she can expertise in after doing MBA finance major. She has her final year this year, post which she wants some short term courses or ...
0
votes
0answers
13 views

End of period balance with changing payments

I know how to calculate the end of period balance with the same payments (i use excel FV function), but how can I calculate it for different payments per yer? Currently I have: monthly contribution, ...
0
votes
0answers
24 views

How can I normalize price data for 2 financial instruments from different categories?

Lets say I want to build a divergence / convergence strategy with FOREX currency pair and a correlated commodity. How can I normalize the prices so that I get an accurate idea of the movements of each,...
1
vote
0answers
38 views

Real world interest rate models for pension funds

Which interest rate models are used by pension funds for their real world projections / ALM models? The life-insurance sector is using often variants of LMM or Black-Karasinski, but I am wondering if ...
4
votes
1answer
138 views

Value at Risk for portfolio with different maturities

I am new to StackExchange and relatively new to quantitative finance. I work at a commodity trading company and we have an extensive portfolio of futures and options on commodities (traded on the CME, ...
5
votes
3answers
190 views

Where to get historical intraday stock data?

I hate to ask questions that have been asked before. But I am afraid that this is one of them. I have searched the web for days now, read so many forum posts. But I can't find an answer. Most answers ...
3
votes
1answer
70 views

Yahoo Calendar - What does TAS mean?

I'm trying to make sense of values reported on Yahoo Finance Calendar here There's a value for 'Earnings Call Time' that reads TAS. Does anybody know what that means?
1
vote
1answer
48 views

CEV Model Primer

Could someone please point out to a good primer on CEV model? I am trying to get a basic grasp of the model: The dynamics, advantages & disadvantages, for which payoff it is usually used (Hybrid ...
0
votes
2answers
113 views

If most real options are American, why so much focus on European option pricing?

At my university, there is a compulsory course in European option pricing (centered around Black Scholes formula). But the course on optimal stopping theory (which is needed for American options) is ...
2
votes
1answer
85 views

Zero Volatility Options Pricing

Suppose an asset evolves in time according to the SDE $$ dS = \mu S dt + \sigma S dW, $$ where $\mu>0,\sigma>0$ are fixed constants and $dW$ is a Wiener process. To price options for this ...
3
votes
2answers
125 views

Partial derivative of Ito integral without product rule

I'm thinking about the problem of deriving the stochastic differential of an integral with both time and state part of the integrand but not in a way that you can easily factor it out - for example I ...
0
votes
0answers
38 views

Reputable source for historical US-listed EOD options data for backtesting

I've gone through the data thread and found a few viable options. ivolatility.com in particular has what I'm looking for (EOD US-listed NBBO options price data, volume, OI, history back to 2000) but ...
1
vote
2answers
120 views

Genetic algorithm development - chromosome stucture based on buys/sells

Creating a GA algorithm for intraday trading (e.g., futures ES, NQ) is more difficult than textbook examples for GA function minimization/maximization. Initially, I assumed the parameters for buys ...
1
vote
2answers
46 views

Negative values in CIR model

I'm having difficulty understanding the well known property of the CIR model that it can't go below zero. Wikipedia says that this is because the random shock on the rate will grow very small as r ...
1
vote
0answers
58 views

How do FX brokers decide to hedge or book a customer's trades?

FX brokers try to be more profitable by, - booking(b-book) the traders that are predicted to be losing money according to the trader profile or trading history. so, if the customer loses money, the ...
0
votes
1answer
24 views

Weighting function for parametric estimation of the Risk-neutral density function

I would like to estimate the Risk-neutral density function (RND) implicit in financial Call option prices by a parametric approach where the parameters of the RND (for instance mean and variance for a ...
1
vote
0answers
44 views

Practical approach to get average option IV

Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options? I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...
1
vote
1answer
52 views

Why combining market share behaviours brings a different conclusion

Please check the following dummy example to explain the paradox. Both areas in the company keep the same market share during the years, but at the end company lost share in the market! Math is 100% ...
2
votes
2answers
54 views

Lower bound for Bermudan Option Price

i have the following question. The price of an Bermudan option is given by \begin{align*} V_{0} = \sup_{\tau \in \mathcal{T}(0,\dots, T)} \mathbb{E}[f_{\tau}(X_{\tau})]. \end{align*} It is ...
1
vote
1answer
59 views

Release of information and Efficient Market Hypothesis

My understanding of markets is very limited, and I mostly have a theoretical understanding of issues of these sorts. Under the Efficient Market Hypothesis, we assume that the stock market reflects a ...
0
votes
1answer
36 views

Subscription Based Revenue Prediction

My dataset is on revenues from subscription-based (no commitment, can cancel any time). We have people signing up every year, continue paying for a few years and then gradually cancel the subscription....
0
votes
0answers
29 views

Correct way to calculate the S&P500 average CAGR of earnings over 10 years rolling periods

Let's say we have only the following data for the earnings (e) and we calculated for each 10 years period the total earnings growth (G) and its Compounded Annual Growth Rate (AG) \begin{equation} \\...
0
votes
2answers
66 views

Option on a dice game with three dices and min. value

We have a call option on 3 dices with strike 3. What's the fair value of the call when it pays the min value of the 3 dices? E.g if we throw and have 426, the min is 2 here and so call is OTM (S < ...
-4
votes
1answer
65 views

Why I can't append a string to a empty list? [closed]

Why I can't append a string to a empty list in Python? For example: lista_arg= list() arg="Nome" lista_arg= lista_arg.append(arg) I get this error: ...
1
vote
0answers
69 views

Quant valuation of a credit card debt (or flexible loan)

What would you say is the generally accepted quantitative method of valuing an individual credit card, or flexible loan? Is the method very changeable if that were a pool of such loans? Suppose the ...

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