All Questions

Hello sorry newbie questions - HSI (Hang Seng Index) and stocks under it, dividend,Turnover and Market Cap always in USD or in local currency HKD? This is actually a broader questions for Asian ...

Investment decisions are not taken in insolation; investors have to consider market dynamics and firm level factors to choose among various available securities. Among different factors affecting the ...

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...

Could you please let me know the steps to follow to get to the solution?

The following is a previous examination question in Financial Mathematics: If $A, r, n, PV$ and $FV$ represents the ordinary annuity (annuity immediate) amount, rate of interest, number of years, ...

If I were to start development of a pricing library, which programming language would be most suitable to satisfy the following needs: Implement highly parallelizable pricing models using GPU or any ...

I'm trying to do PCA on historic forward rates. I'm using forward rates from the Bank of England going from Jan 2015 through end of May 2018. I calculate the differences in the rates from one day to ...

What are the conditions for the volatility of an asset to be zero? In my opinion, the only condition is that the return on the asset needs to be constant. On the web, some people imply that the ...

I see some place reference the S&P 500 index (SPY) as the risk-free rate and other place reference the 10-year Treasury yield as the risk-free rate. Which one is the correct one?

In the paper A five-factor asset pricing model from Fama and French (JFE 2015) they say at page 3: "Treating the parameters in (4) as true values rather than estimates, if the factor exposures $...

The valuation date falls in between coupon payment days on the swap, does the 'price' of a swap understood to include the accrued interest (interest from the previous payment date to the valuation ...

This is an exam question. I know that to find beta I need the covariance between the portfolio and asset A but don't know how to find it.

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...

I am looking for a free derivative valuation software that can compute value and sensitivities. It should be easy and straightforward to use, e.g., I can get results by supplying market data and trade ...

If an ARIMA model converges quickly, would using GARCH improve the forecast performance? By improve I mean provide longer time periods for forecasts. Basically trying to forecast returns.

Stock currently A has a price equal to 100. Stock B also currently has a price of 100. The contract has a maturity $\mu$ of one year. At maturity the payout is the max price of either A or B. What is ...

I am given that the annual interest rate is $r=4\%$ and that it is compounded monthly. I have to find the monthly effective interest rate. If I wanted the annual effective interest rate, I would use ...

I am given that the monthly effective interest rate is $1\%$ and I would like to find the $6$ month effective interest rate for a problem. I used the formula $r_e=(1+r)^\frac{m}{n}-1=(1+.01)^\frac{12}...

I was reading this article about repurchase agreements. I don't understand this graph: And this paragraph: Borrowing rates using German and French government bonds as collateral fell to minus 4.9% ...

I'm supposed to find a risk factor that could explain a stock (I chose Netflix) returns. Then, I am to calculate the beta with respect to the factor I suggested as part of a multi-factor model with ...

I recently purchased Paul Wilmott's Quant Finance FAQ book. In the book he states that the binomial option valuation method is 'rubbish'. Can anyone enlighten me as to what method he recommends for ...

I am currently working on a project at an investment bank regarding new accounting regulations on financial instruments. The task at hand it to understand the connection between a large array of ...

I'm evaluating the impact of two variables on stock returns. For this I am using a Garch(1,1)-model in RStudio. This is the result I am getting. Why is the garch model not a valid choice? The external ...

Let me ask you about the following rationale regarding stress scenario (IV Annex 10 (c)): " Identify for each sub interval of length w the historical lognormal returns rt, where t=t0, t1, t2, …, tN. "...

I understand that zero coupon bond changes as interest rates change. But I am unsure of how to get the delta. Say I buy a 5Y zero coupon bond with notional amount 5M USD. How do I calculate the delta? ...

I am trying to build an equal active weight portfolio, while minimizing the total risk. However, my constraint of equal active weight always leads to 0 active weight for everything. I know 0 active ...

Apologies in advance if this question has been asked already. I am estimating basis risk for different term points in the curve. Imagine i have three time series (1-month, 3-month, 1-year). I ...

I was reading this article and I am puzzled by this phrase: A weaker dollar has made it easier to sell U.S.-made goods overseas and kept borrowing costs low. How can a weaker dollar keep borrowing ...

I have developed an algorithm / model that predicts the next day direction of CBOT wheat futures. It performs sufficiently well in backtesting that I'm interested to see how it would perform with real ...

How to derive Generalised Black equation for Option on Future using generalised Black Scholes Equation $$F=exp(r(T−t))S$$ $$\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2F^2\frac{\partial^2 V}{...

I see several methods to modify the monte carlo model to price american option payoffs. However, the math looks a little too complex to model into excel - i am looking at the least square methods by ...

I used the ugarchroll in rugarch packages and got a strange error: Error in ans$res: $ operator is invalid for atomic vectors But I don't have ...

The convention says that when computing with rates, $1$ year has $360$ days. Does this mean that, when computing with rates, $1$ year has $360$ normal days or 1 day is $\frac{365 \times 24}{360} = 24....

I understand the Wikipedia article for put-call parity on a theoretical level: if you magically had portfolios consisting of 1) long a call, short a put, and 2) long the stock, short a discounted ...

When I review my course on swaps, I read the following sentence: the value of the swap rate is independent of the valuation date(even though the PV's of the individual legs of the swap are clearly ...

I'm trying to build a multi year time series for a 3 month futures contract. How do I handle rolls? On the day of roll, volatility is high and I want to roll over to next contract series in a way that ...

when I attended fixed-income classes, my Professor used to say that yield-to-maturity determines bond price and not viceversa. I was wondering the meaning of this statement since the definition of ...

I am working on a problem in Davidson and Herskovitz workbook titled the Mortgage-Backed Securities Workbook. The questions asks to find the total opportunity cost to the investor of having a $1 ...

I am trying to compute VaR for a long-only equity portfolio, under the assumption that all stock returns are normally distributed, using a "1-month horizon" methodology. How do I do it? Do I compute ...

I need to compute a covariance matrix using three years of stock returns from a portfolio which has a couple of stocks with only one or two years of history (being relatively new stocks). Should I ...

Option value being expressed: $$OV=e^{-rT}E[max(V-K,0)] \tag{1}$$ Where $V$ is the price of the underlying security, $K$ is the strike price, and $r,T$ are discount rate and time to exercise date, ...

Background Information: Random-shift Halton sequence: Consider the first six Halton vectors in dimension $2$, using base $2$ and $3$: $$\begin{bmatrix} 1/2\\ 1/3 \end{bmatrix}, \begin{bmatrix} 1/4\\ ...

Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.

Consider the arithmetic Brownian motion $X(t) = \alpha t + \sigma Z(t)$ and evaluating $dX(t)$ using Ito's lemma. We have $\frac{\partial X}{\partial t} = \alpha$, which does not involve $Z(t)$, even ...

I am trying to make sense of this example: I'm not following the second line in red: "If you buy an up-and-in put and sell an up-and-in call, the payoff is the strike price minus the stock price ...

Zero-coupon default-free interest rates maturing over the next five years are listed below (in percent per annum, continuously-compounded): Maturity Years -- Yield 1 --------------------1.9 2 ------...

Using python 3.5 In yahoo finance I downloaded banknifty .csv the sheet needs to depict three coin toss per day. At random time . However i couldnt automate the date to repeat three times before ...

I would like to understand what the main differences between LCDX and CDXHY are. Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for ...

When we calculate a difference between the market price and modelled price. so to test the significance whether we apply dependent test or independent test.

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...