# All Questions

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3 views

### Swap spreads behaviour before Treasury auctions

Not really a quant question but why would someone buy us swap spreads before a US treasury auction. I get the idea of bidding for the bonds and then using the swap leg to asw the bond but whats the ...
6 views

### Vanna Greek for a Call Option

I need to compute the Vanna for a generic Call Option, that is: , using the Barycentric Interpolation and at the end compare with analytical result (with BS formula). I am trying to implement this in ...
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### Best stock market data streaming API that covers Foreign exchanges, Tadawul (Saudi Arabia) and Dubai Financial Market (UAE)?

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...
85 views

### Why can't central bank reserves ever leave the Fed's balance sheet?

I'm reading Joseph Wang's Central Banking 101 and there are two statements which seem to be contradictory to me, and I'm guessing there's an element of misunderstanding on my part which I'm looking to ...
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### larger sample weights for larger absolute returns?

In section 4.6 of Advances in Financial Machine Learning, Lopez de Prado writes In the previous section we learned a method to bootstrap samples closer to IID. In this section we will introduce a ...
65 views

### General question regarding delta heding

I was wondering if I have to take the strike prices of options into consideration when doing a gamma and delta hedging. As an example, let's suppose that I have 2 positions: a long position call ...
107 views

### Exotics - Combination of different payoffs using Black-Scholes

I'm currently struggling with the derivation of a formula to price the following exotic option with Black-Scholes. The option has the maximum payoff of $(S_T-z)$ and $(y - S_T)$, where $S_T$ is the ...
66 views

### How to calculate basic components like trend, momentum, correlation and volatility in Pandas(Python)

I am new to quant. finance and trying to calculate trend, momentum, correlation and ...
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### Liquidity risk in Python / R? [closed]

Does someone know a book or site that contains Python or R code for implementation in liquidity risk?
16 views

### Where can I find the PEG ratio fo ETFs like \$VOOV or \$VSMAX?

Where can I view the P/E to EPS growth rates for ETFs like the Vanguard VOOV (Value fund) ETFS?
30 views

### Weight of asset has to be smaller than b% in the portfolio(Portfolio Optimization)

Given a certain portfolio with y assets, calculate the weight of each asset in the portfolio based on the asset position. The weight for each asset is calculated by (yn is the position of a certain ...
31 views

### Algortihm for distributing volume for 1min candle

Context: I have historical 1min prices for stocks, including premarket. However, when importing real-time data, the standard practice in the financial data industry is to give only OHLC (open, high, ...
96 views

### Perpetual Option Price under Black Scholes model

Would like to ask you, how would you price an Option which has its starting underlying price S0 = 70 dollars, with no dividends, and that pays 0.5 dollars each time the underlying price hits a barrier ...
46 views

### Why discounted stock price process must be a martingale? [closed]

Could someone explain to me why the stock price process has to be martingale for option pricing? What would happen if we calculate the price of the option in a situation where the process is not ...
### zero-beta portfolio $z$ solves optimization problem
Consider a market with $p$ risky assets with expected return $\mu \neq k 1$ and positive definite covariance matrix $C$. Let $z$ be a zero-beta portfolio w.r.t the market portfolio $x_M$. Show that z ...