# All Questions

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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 ...
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 ...
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 ...
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 ...
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 ...
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....
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 ...
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?
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, ...
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 $W(s)$...
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 ...
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 ...
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 ...
57 views

### Question with regards to fitting the yield curve with the Nelson.Siegel function from the YieldCurve package in R

I have the following data: ...
37 views

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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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% ...
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 ...
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 ...
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....
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) \\...
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 < ...