# All Questions

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24 views

### Hedging Strategy for European Call Option (Single period Binomial Model)

I am hoping to gain some insight to an exercise from my undergraduate Mathematics of Finance class. (This is my first course ever in finance, so bear with me.) The exercise is: Consider a single ...
35 views

### How can I approximate Dollar Bars from Minute Data instead of Tick Data?

Having been influenced by de Prado's Advances in Machine learning book, I've set out to build the dollar bars (in which each bar represents a set dollar amount of transactions in the security) that he ...
45 views

### How to calculate Money-weighted Rate of Return when there are multiple negative cash flows during investment period?

I know that when there are multiple changes of sign in the sequence of cash flows of a project, the project may have multiple IRR, which render this criterion impractical. Therefore, in such ...
13 views

### What is the formula that considers periodic (week/fortnightly/monthly) repayments

I am writing some code that can take in variables such as loan amount,payment freq (weekly, fortnightly, monthly),...
33 views

### Help with R normalization function [closed]

after reading the paper "Custom v. standardized risk models" (Kakushadze, Zura; Liew, Jim Kyung-Soo (2015)) I tried to understand the R functions they provided at the end (eg: Appendix A) and the very ...
35 views

### Pricing Autocallable Structured Products using Finite Difference Method [closed]

I am trying to price autocallable structured products, with single underlying asset and discrete call dates. I am stuck by the boundary condition when the underlying asset price $S$ hits the call ...
40 views

### Robust Sharpe ratio

The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...
28 views

### Finding stock symbols for alpha vantage api

So i just made my first program in Python wich reads stock symbols in excel. I tried going to "data" in excel and importing a text file with symbols and company names and some other stuff as well but ...
32 views

### Benchmark for fund in Fama French 3 factor setting

I found this question during my preparation for an exam. It looks easy, but I am not quite sure how to answer it. Consider a fund A with following factor exposures $\beta_{M}=0.8$, $\beta_{SMB}=0.4$,...
42 views

### Fama French Question(China) [closed]

I am from china, I can't use USA factors for SMB,HML,WHL....directly from website, my question is how can I calculate these kind of factors? for example, SMB. is it very difficult? any example code ...
33 views

### Macro momentum analysis

I am conducting macro momentum analysis. In this, first I rank countries based on each macroeconomic indicator such as GDP, inflation, monetary policy etc. After this according to each indicator rank, ...
23 views

### How to approximate expectation and variance of an integral from a discrete Time series financial dataset?

I have discrete time series financial data, with time($u$), price($S$) and someVariable($q$) which looks something like this. ...
88 views

### Implied volatility is returning infinity

I am trying to calculate implied volatility using javascript , I have following code ...
19 views

### Is callable bond pricing available in Quantlib XL?

I am able to find documentation for pricing callable bonds in Quantlib Python or C++, however, I am struggling to locate it for Quantlib XL. Is there a way to price callable fixed-rate bonds in ...
38 views

I am currently trying to solve the St. Petersburg paradox from the lecture notes, but somethings bugs, me. Bernoulli shows that we can solve it using marginal utility theory. This is how it is derived:...
53 views

### Exercise: does Ito integral of a simple stochastic process have normally distributed increments?

I am trying to solve the following problem (exercise 4.3 from Shreve's Stochastic Calculus for Finance, Vol. 2, my adaptation): Let $W(t)$, $0\le t\le T$ be a Brownian motion, and $\mathcal{F}(t)$ ...
72 views

### Calculate duration of zero coupon bond

I am currently studying interest rate risk management, and i can't seem to get the derivation right, and I would like to do all of the steps, to be sure that I understand what is going on. Let Pz (t, ...
44 views

### Measure how cheap is the Gold? [closed]

It's possible to measure how cheap stocks are, because we can compare asset price to its output. $$Rate = {Revenue \space \over Capitalisation}$$ And then at any given moment we know how cheap ...
49 views

### American options & Optimal Stopping Time

From Shreve's book (Stochastic Calculus for Finance II), assuming stock dynamic as standard GBM (without any dividends), the discounted American put price process (which is a super-martingale), ...
31 views

### Use AM-GM inequality to generalize price process [closed]

Consider the following 2 investing strategies. Strategy $A$ buys $1$ share in every period. Strategy $B$ invests a fixed amount of money in every period. $B$ seems better because for the same ...
21 views

### Forecast dates and related actions

My question is quite general and is about the coherence between forecast horizon, then forecast dates, and related actions. As example we can keep in mind the asset allocation problem. It seems me ...
36 views

### Classical Ruin Theory - Lundberg Model

In classical risk/ ruin theory, I see this formula crop up in my notes but my lecturer didn't explain to me why/ when it's employed: $M_X(r) = \int_{-\infty}^{\infty} e^{rx} f(x) dx$ I understand ...
36 views

### Does anyone have any pproximate idea what it would cost to get a FIX and OUCH connection from NASDAQ

I would like to know how much the exchange fees would be to connect and place orders directly with NASDAQ using one of their third party suppliers or directly. I took a look at the pricing page but it ...
70 views

### Simulating correlated Stock Prices python

has anyone tried simulating correlated stock prices via a geometric Brownian motion? I have done it in python but I have no idea if my code is correct since I can't compare it to anything. I would ...
55 views

### Making portfolio Delta and Gamma neutral using 2 derivatives

We have an option portfolio with delta =2 and gamma 3 and we want to making this portfolio delta and gamma neutral using two derivatives D1 and D2: ...
41 views

### How Were These Depreciation Percentages Calculated? [closed]

This is for my second year finance class in university. The chapter is on "Using Discounted Cash Flow Analysis to Make Investment Decisions." Here is the example problem: This is the solution written ...
122 views

### Girsanov Theorem and Probability Measures

The Cameron-Martin-Girsanov theorem, in a simplistic way, states that: The probability measure $\mathbb{P}$ is induced by a Wiener process $W(t)$. There exists another process $X(t)$ under the same ...
24 views

### Deriving CAPM from APT framework

I was wondering if it is possible to derive the CAPM from the APT? My argument is that CAPM basically just is a 1 factor model, where the APT has multiple factors. Can any of you guys help me?
27 views

### Data issue or is there an issue in my observations?

I am using 1 sec snapshot data to backtest on 2019 data collected by me. It has both bid and ask. I purchased 4 years data for the same instrument, sadly this data doesn't have bid-ask. When I run ...
21 views

### How to interpret a value stock with 0 beta to HML portfolio

I am unsure of how to interpret stocks that have a low P/b but have a low beta when regressed onto the HML portfolio. Conversely, I have found stocks that are not cheap but have a high beta to HML ...
38 views

### Historical volatility calculation to price options with the Black-Scholes formula

I'm looking for a reference algorithm for calculating historical volatility to price options. I know there are several volatility calculation models that use the time series of the underlying's ...
36 views

### how can I get the P-value and simulate the vasicek model in Excel?

I use the solver in Excel to estimate the parameter, the out put is b=0.001153,a=0.095516,sigma=0.0013. I follow the steps at https://www.youtube.com/watch?v=X17cpkkwG_4 The method is the Maximium ...
30 views

### Do daily returns from a distribution with skew and/or kurtosis lead to options implied volatility skew?

I've been trying to price a call option using a Monte Carlo approach with the specific goal of showing implied volatility skew. I'm using the sinh-arcsinh transformation to make the random numbers I ...
20 views

### Which optimality criteria should be used to determine state sequences in HMM?

There are several criteria to determine state sequences in HMM. For example, most possible state for each individual observation, and most possible sequence. Which one should I use to get average ...
39 views

### How to estimate the parameters of vasicek modle in R or Excel?

Thank you in advance. I use the yield to maturity of 2year, 3year, 5year and 7year japan government bond from 1989-2019 as my data (i.e. the name of my data is ...
39 views

### How difficult is it for a private company to compute their own market cap?

I've read this question: How do I value a private company's market cap? Assume: "market cap" = outstanding shares * price per share. Right now, I'm trying to outline a license for some software ...
18 views

### variation in portfolio vs systematic risk

I am currently studying about the CAPM, and I stumbled upon something that I can see is different, but i can't make the distinction. This isn't some mathematical question per se, but I hope that you ...
29 views

### How to mathematically calculate the probability of GBM generating difference of less than some value

I have a custom index that follows Geometric Brownian Motion (GBM) with volatility v. I started this index at 10k with 4 decimal places i.e the starting price of ...
15 views

### Future wealth calculation with investment

Task: The student is 25 years old now. He say, that next year his salary will be 15000€ per year. His salary will grow +5% each year until his pension (when he will be 65 years old). Calculate how ...
14 views

### Term for manipulating revenue allocation?

I am trying to remember the term for when revenue allocation is essentially manipulated. Example: An organization receives a grant that restricts its use. The organization allocates this fund for ...
26 views

### Equity finance and primary brokerage and their products

I was in the project working on the asset classes known as EF/PB, which is short for Equity Fiance / Primary brokerage, I understand that Equity finance is more or less about securities lending, and ...
27 views

### Replication of the paper: “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction”

I recently replicated the paper "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction" and found out that my estimation of the equity premium differs from the data provided ...
18 views

### Federal Funds Futures for monetary policy surprise measurement

How one uses Federal Funds Futures for monetary policy surprise measurement. What assumptions does one need to make? Is the calculation using OIS the same?
17 views

### Why does changing the evaluationDate multiple times lead to a performance lag?

I am simulating an swaption strategy through time. Following the examples in the Python Quantlib cookbook, as I progress through time I am updating the internal evaluation date ...
29 views

### Calculation based on tick data of all contracts

In our system, we need to do calculation based on tick data from different contracts. However, in one tick, the timestamp of contracts are slightly different (sometimes big diff, but let's ignore this ...
29 views

### Skewness and kurtosis measures when full distribution is not available

I have asked this question here, but did not get any answer. I was wondering if anybody knows a method of deriving skewness and kurtosis measures from different quantiles, mean, and/or variance. I do ...
55 views

### Can a publicly known gap trading strategy be profitable and if so why?

Newbie to this field, please forgive any lacking knowledge... There is various literature (example) on trading according to strategies which assume that (in the absence of a large gap, or major news) ...
30 views

### Mean-Variance Optimization - Appropriate to use covariance of daily returns if strategy involves fixed hold of 3 months?

I'm implementing the strategy outlined Quantitative Momentum (Gray & Vogel), which basically involves investing each quarter in a set of "high-quality momentum stocks" for a fixed 3-month hold ...
Can you help me with pricing theory? There are three assets: $A$, $B$ and $C$ with prices $P_A$, $P_B$ and $P_C$ respectively. There are two processes (production, transportation, etc.) that ...