# All Questions

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114 views

### What is the correct tick size for the Nikkei 225 mini futures?

I would like to know the tick size equivalent for the Nikkei 225 m futures contracts. I can find different information: https://www.barchart.com/futures/quotes/NPH20/profile with: Tick Size: 10 ...
51 views

### Highest asset allocation contribution to the fund’s performance

I am preparing for 2020 May FRM II test and will appreciate any explanation for this question: In terms of asset allocation contribution, why is real estate made the highest asset allocation ...
85 views

### HJM framework and expectations hypothesis, updated

Is there a way one can decompose the yield of say a government bond with respect the the HJM framework? (into say an expectations component and a term premium component). As far as I can see the HJM ...
99 views

### Black-Scholes formula and implied vol

Is the Black-Scholes formula the only way "implied volatility" is calculated/defined in markets?
221 views

### Quantlib InterpolatedDiscountCurve zero forward-rate at endpoint

I use QuantLib Python to calibrate a curve based on interpolated discount factors (https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/discountcurve.i). Using LogLinear interpolation on ...
131 views

### Option pricing without analytical solutions

I am quite new to the topic of financial options. I'm aware of options with analytical solutions (e.g. European options in Black-Scholes and Ornstein-Uhlenbeck models). I read that sometimes (most ...
83 views

### Rebalancing Bond Indexes

I am trying to make an index for the bond market in my country, which will be modified daily. For simplicity, suppose that I only have three bonds. Additionally, suppose that I am interested in ...
101 views

### Delta Hedged PnL on Call Spread

Suppose I buy a call and then sell a call one dollar in strike higher. Suppose I get into this position for 10 cents lower than it is theoretically worth. (I.e if this spread is worth 0.50 I just ...
292 views

### The ETF trick - E-mini S&P 500 Futures

In Advances in Financial Machine Learning, Marcos Lopez de Prado talk about what he call the ETF Trick. I understand it is about building a time series from another time serie, with the aim to reflect ...
141 views

### Calculate forward price based on option chain

I've got historical data for a spy option chain which looks as follows ...
156 views

### Should U and D change with the number of steps in a Binomial Tree?

In everyone's binomial trees online I see constant U and D. Even when I read Option Volatility and Pricing by Natenburg, all his diagrams use a constant U and D (where U is the upwards magnitude from ...
66 views

### What if all the weights are negative in mean-variance optimization during a crisis?

Usually the constraint is that all weights sum up to 1. But in a crisis when all assets are falling in prices, intuitively, all the weights should be negative in the optimization. But it contradicts ...
109 views

### Computing implied volatilities of ITM and OTM options

For an ATM call the implied volatility can be computed by using the Newton-Raphson method: ...
91 views

### Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
72 views

### How and why is there a restriction on short sales?

I'm taking a course on the fundamentals of financial mathematics. This is my first quantitative finance course, so I'm still getting acquainted with a lot of the ideas. We covered the notion of a ...
51 views

### Generate Random Variable Using Acceptance Rejection Method

I have a question about acceptance rejection method and really appreciate your advice: Suppose we want to generate random variable that has probability density function $f(x)$, since we're using ...
109 views

### Bloomberg: fetching returns based on identifiers

I have a list of about 8000 global companies identified using SEDOL identifiers and tickers (for whatever exchanges the companies are listed). I need to retrieve data about these for a regression, ...
103 views

### Vasicek Model, zero coupon bond question [closed]

I am trying to solve questions in the Vasicek model. Can anyone help me to solve this question... In the Vasicek model with parameters $\theta = 0.08$, $k$ = 2.5, $\sigma = 0.2$, assuming to be ...
46 views

### How required yield affects price of the bond and how the durations changes

can somebody answer, those two theoretical questions? How does the bond price depend on the desired yield (market interest rates)? How the duration changes if we have a shorter / longer maturity and ...
238 views

### LIBOR Curve bootstrapping and compounding

I am currently reading about swap pricing based on using the LIBOR curve to calculate spot rates, forward rates, and discount rates. From what I understand LIBOR is quoted as a simple interest rate ...
100 views

### The similarity between a bond's quoted bid price and its clean price?

Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = ...
112 views

### Limit of product

Suppose $g(X, \delta_t)$ approaches a constant $J$ as $\delta_t$ approaches $0$, where $X$ is a random variable, and suppose $Y^2/\delta_t$ approaches some constant $K$ as $\delta_t$ approaches $0$, ...
54 views

### What is the difference between exercise and expiry date?

I know in American options you can exercise the options at any time before expiry date but in European options you can only exercise the options on expiry day. On National Stock Exchange of India the ...
107 views

### How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
61 views

### What does volume dimension means?

In an exchange documentation, I see a definition for Volume Dimension parameter, Volume dimension: Shares are normally traded in Quantity, bonds in Nominal. Ok I can understand quantity but what ...
50 views

### EBA Stress Test Arbitrage

The EBA stress test defines specific shocks to yield curves that are applied to positions as at year end. There is no account for cashflows - it is simply an immediate shock. Suppose the interest ...
128 views

### How to validate trading strategy performance

I'm backtesting some algorithmic trading strategy based on the buy/sell signals: To validate the strategy performance I compare it against the buy-and-hold strategy of the same asset and calculate ...
1k views

### Negative Beta and CAPM

In the case of a stock with negative beta and non-zero volatility, under CAPM the required return is less than the risk-free rate. This seems contradictory under CAPM assumptions that investors are ...