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Pricing / valuing anticipated repayment date

I am a long time lurker, and frankly not a quant, but have deep respect for those that are. I have found myself in a situation dealing with some features on debt that I am trying to figure out how ...
Curious poster's user avatar
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0 answers
4 views

SOFR Curve with Meeting Dates Jump Modelling

When building SOFR curve with meeting dates, i include 1m SOFR Futures and 3m SOFR futures to imply jumps from FOMC meeting dates, but two meeting dates might fall within the same quarterly futures ...
user73915's user avatar
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0 answers
5 views

Cross-day realized volatility

I've been looking for papers on volatility forecast, and most of them focus either on daily volatility (often using daily returns to access predictions for monthly volatility). Others focus on ...
Mefitico's user avatar
  • 101
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0 answers
6 views

Fitting a multidimensional Ornstein-Uhlenbeck pProcess

If I have a dataset X, where each row is a time point and we have several variables, say 100, (so this is a multivariate time series), what is the best way to fit a multidimensional Ornstein-Uhlenbeck ...
ksheen's user avatar
  • 1
2 votes
0 answers
69 views

Is this a valid implementation for volatility targeting?

Let positions size for the instrument be $$K_t \frac{V_t \Sigma^{target}}{\tilde{N_t}} \frac{1}{\sigma_t P_t}$$ where $$K_t = \bar{K}_{t-1} \frac{\Sigma^{target}}{\Sigma^{realized}_{t-1}}$$ where $V_t$...
cmaz's user avatar
  • 21
2 votes
0 answers
29 views

Modelling stocks with jump to default and recovery value

Jump to default models (eg Black-Scholes or SV with jump to default) are quite tractable models to model the possibility of default. However, if a company defaults it doesn't always mean the stock ...
Frido's user avatar
  • 2,153
1 vote
0 answers
63 views

How is it true that options can be equivalently seen as being written on the spot or its future?

I was recently told that options with expiration $T$ written on an underlying asset $(S_t)_{t\in\mathbb{R}}$ could also be seen as options on its future $(F_t)_{t\in\mathbb{R}}$. This makes totally ...
Mr Frog's user avatar
  • 263
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0 answers
36 views

Asset swap spread components

Assume that an investor holds a bond and enters into an asset swap with a bank in which the investor pays the fixed coupon and receives Libor + spread and the following data: 10y bond price 103, bond ...
mark resen's user avatar
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0 answers
36 views

Are there closed formulas for non-callable defaultable floating rates in a reduced form models?

currently, I am evaluating for my company the possibility to price defaultable bonds with stochastic default intensity. Precisely, I am considering using the G2++ model where one factor is the ...
LoyoL's user avatar
  • 1
0 votes
0 answers
63 views

Bootstrapping SOFR swap curve

I want to know key tenors of SOFR swap for building discounting curve for pricing derivatives. To build a similar curve to that of Bloomberg ICVS & SWPM, Which instruments should I use? Which ...
MeowMaster2's user avatar
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0 answers
34 views

Convertible notes and their conversion price to common shares

I know this may sound insane but I am investigating a company I have shares in and have discovered that they converted USD 3200 in loans from friends and officers with a conversion price of ...
Robert Stewart's user avatar
0 votes
1 answer
45 views

Difference in duration between zero 0 rate fixed coupon bond and zero coupon bond in Quantlib

I am trying the following example of calculating duration and convexity for a zero coupon bond. For the sake of an easy example, I set the Interest rate to be zero. In the first attempt, I try using ...
TheRealMKS's user avatar
3 votes
0 answers
94 views

Question on high frequency stock return predictability paper

I'm trying to replicate some of the findings made in the paper below. I'm stuck and have a question on Page 9, where the transaction return or price direction features are being built. Given the time ...
IGottaLearnMath's user avatar
1 vote
0 answers
41 views

How can calculate the American put option's vega,rho? [closed]

The QuantLib's version in my os: import QuantLib as ql ql.__version__ '1.34' All the arguments related to the put option: ...
showkey's user avatar
  • 105
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0 answers
26 views

portfolio rebalance weight up and down

I am rebalancing portfolio , where my algorithm has recommended new securities also there are few existing in my portfolio. For simplicity , let's say I want to wight my securities based in ...
Bharat Sharma's user avatar
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0 answers
26 views

Is it correct to define hedge ratio of a mean-reverting portfolio based on the cointegration parameter?

Suppose we have yields time series of 2 bonds, and estimate the following cointegrating relationship: $$Y_{A} = \alpha + \beta Y_{B} + \epsilon,$$ where where $Y_{A}$ and $Y_{B}$ are the yields of ...
Sane's user avatar
  • 448
0 votes
0 answers
29 views

Uneven FWD FX Swap Termination

Is it possible for a Uneven FWD FX Swap trade to be Full Terminated before the maturity?
v_quant's user avatar
1 vote
1 answer
76 views

How to calculate factor return given a barra model and individual stock returns?

Assuming that we have k factors and n stocks Then Barra provides a k x k factor covariance matrix F, and a k x n factor exposure matrix E. At runtime, we also observed a n x 1 vector r of individual ...
eight3's user avatar
  • 111
0 votes
1 answer
61 views

Short bond convexity

Assuming you need to pick a bond to short. Is it better a bond with large or small convexity (all other things being equal)?
mark resen's user avatar
2 votes
1 answer
106 views

Positive market impact

Is it possible for a trade to have positive market impact? We are accustomed to a trade having negative market impact and essentially a cost associated to it, either immediately through price impact ...
Chris's user avatar
  • 21
0 votes
1 answer
56 views

The value of theta of an ATM option is proportional to the volatility, but for OTM/ITM options theta is not proportional to vol, why?

I have seen a graph of theta v/s volatility where the theta of ATM changes linearly with the volatility whereas for ITM/OTM options the theta didn't show a direct proportional relation with volatility,...
Gues's user avatar
  • 1
2 votes
1 answer
80 views

Antoine Savine code proposition and swaptions

I am reading Antoine Savine's book "Modern Computational Finance: AAD and Parallel Simulation" and exploring is code proposition at the same time. Basically for him products (he doesn't ...
EricFlorentNoube's user avatar
0 votes
0 answers
33 views

Data Feed for Gold (XAU/USD)

Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for ...
Ali's user avatar
  • 1
0 votes
0 answers
71 views

Why minimum variance portfolio is used to construct factor models

I am reading Tsay's classic "Analysis of Financial Time Series" and I have seen him using minimum variance portfolio Relevant passage on the minimum variance portfolio here (Chapter 9, Page ...
CuriousMind's user avatar
1 vote
0 answers
39 views

How to value 3mo SOFR Spreads one year out, 2yr out

How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
Borla312's user avatar
0 votes
0 answers
47 views

Best economic or technical indicators for equities? [closed]

As far as the S&P 500 go's, what would be your preferred technical or economic indicators to gauge when a trend might end?
Jo Smit's user avatar
3 votes
1 answer
137 views

Cost of Hedging and Ito Calculus

In Dynamic Hedging by N. Taleb, at pag. 198, is presented a stop loss strategy that potentially could replicate an option. In particular, suppose one sells a call on an underlying and hedge it with a ...
Enrico's user avatar
  • 207
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0 answers
35 views

Different XVA Frameworks

I was wondering about the different possibilities about implement an XVA framework within a firm to calculate the different components. As far as I understand one of the main methodologies is the one ...
vsa's user avatar
  • 61
0 votes
1 answer
38 views

Wholesale customer subject to early redemption/ prepayment risk pricing

According to the BCBS framework, embedded behavioral options within wholesale customer agreements that are separated from the bank's assets or liabilities are subject to a comprehensive revaluation ...
Slowman Karllenschütz's user avatar
0 votes
0 answers
42 views

How can I improvise my trading strategy which uses price action and support resistance lines? [closed]

I have been working on a trading strategy using price action concepts and support resistance lines. So it will initiate buy order if there is a hammer candle or bullish candle near the support line. ...
dev0419's user avatar
-1 votes
1 answer
60 views

American option PDE [closed]

I'm reading the pdf here regarding the PDE associated with the American option. Essentially, one would turn the Black Scholes PDE into an inequality. Suppose you're pricing an American put where $S$ ...
user1691278's user avatar
0 votes
1 answer
67 views

implementation of BAB strategy

I am implementing the Betting Against Beta strategy (Frazzini and Pedersen, 2014). I have some question What I do: - get historical data through yfinance - calculate beta of each stock - get 5 stocks ...
Fadai Mammadov's user avatar
0 votes
1 answer
77 views

Stoikov Micro Price Absorbing States

Digging into Stoikov's Micro Price paper, I'm having some trouble understanding the intuition behind the second of the two different absorbing states and it's implication for the calculation of G*. To ...
sam42's user avatar
  • 5
0 votes
0 answers
87 views

Intraday Volatility Magnitudes

I know this is a frequent question, but I'm just concerned over a few notational points and the differences between my estimators. I have a time series for a particular financial security over a day. ...
rudinable's user avatar
0 votes
3 answers
156 views

Monte Carlo simulations with extremely high volatility

I am using monte Carlo simulations to price a forex option. This is a standard model and works very well with less than 1 % error from black scholes price for 10000 simulations. But, as I increase ...
vishal saharan's user avatar
2 votes
0 answers
71 views

Local volatility from stochastic volatility: implications for hedging

This is something I've been wondering about: Given a stochastic volatility model with (stochastic) spot variance $\sigma^2_t$, according to Gyöngy's theorem there exists a local volatility $\sigma^2(K,...
Frido's user avatar
  • 2,153
0 votes
0 answers
34 views

Large tick-size assets queue position effects

When I look into the literature, I can see that queue position is one of the most important things in large tick-size assets. It helps to have an earlier execution and can help with the adverse ...
Less-Owl-4025's user avatar
0 votes
0 answers
31 views

Distribution fitting to data with (isolated) extreme observations

Let's assume I have 2 time series of daily observations of a given experiment. The data of one time series show a very long tail (either side) and in absolute sense the difference between the lowest ...
greta salmon's user avatar
14 votes
4 answers
3k views

What makes Python better suited to quant finance than Matlab / Octave, Julia, R and others?

Some background, I am not a developer at all and until now all my scripts are in Octave (open source version of Matlab). However it seems that Python is the way to go. As I am not a developer, and I ...
Frido's user avatar
  • 2,153
0 votes
0 answers
67 views

Modified Duration vs. Real-World Bond Price and Yield Changes

We know that modified duration at time $t$ of a bond with maturity $n$ is defined as: $$ D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}} $$ And the definition of a derivative is: $...
Tomas da Nobrega's user avatar
1 vote
0 answers
54 views

Pnl attribution to alphas

I have about 10 alphas. I assign each of these alphas a weight and then add them up to form a combined alpha. Now I am feeding this to a mean variance optimizer that considers transaction costs and ...
Volwiz's user avatar
  • 263
1 vote
1 answer
53 views

Delta of ATM barrier option

Can you please share the intuition behind the delta of a ATM down & in PUT being less than a ATM plain vanilla put (usually around 0.3 instead of 0.5)?
mark resen's user avatar
2 votes
0 answers
58 views

Calculating value of vanilla swap after effective date

I'm trying to find the value of a fixed to float interest rate swap using Rateslib library but I'm running into a few issues. I've followed the code exactly as the link here but now I'm trying to ...
rubiks99's user avatar
0 votes
0 answers
55 views

Why discount results by 50%?

I am reading Harvey & Liu (2015) article, which says the following: A common practice in evaluating backtests of trading strategies is to discount the reported Sharpe ratios by 50%. There are ...
Sane's user avatar
  • 448
0 votes
1 answer
115 views

IRS Swaps market

I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor. I am not able to find any of this information that ...
confucius_is_confused's user avatar
0 votes
1 answer
83 views

two guys flip fair coins until they obtain their first heads. it takes strictly fewer flips for one to get his first heads than the other

Alex and Blake each flip fair coins until they obtain their first heads, respectively. Given that it takes strictly fewer flips for Alex to get his first heads than Blake, compute the expected number ...
anonymous's user avatar
0 votes
0 answers
34 views

Temporal dependencies in time-series

To my knowledge, the algorithms that require stationary input can't capture temporal dependencies. This is inherent due to the fact that the input features must be stationary, thus things like trends, ...
Dylan McClish's user avatar
0 votes
1 answer
42 views

Upper Bound on European/American Call Option (Hull)

I recently began reading Hull's derivatives textbook, and found a line that he didn't expand on much. Let $c$ be the price of a European call, $C$ be the price of an American call, and $S_0$ be the ...
kirafa's user avatar
  • 3
0 votes
0 answers
36 views

Confusion in estimating Gueant Lehalle Fernandez Tapia Intensity

I am trying to calibrate the A, k from GLFT, (Thesis), on limit order book data that contains the best bid, best ask, and hence midprice. My methodology: I take the midprice (At $t_0$), then I "...
rudinable's user avatar
3 votes
1 answer
268 views

Clarifying the Fundamental Difference Between Growth and Value Stocks

The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
vonjd's user avatar
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