New answers tagged finance
0
I get mine here https://www.fxhunterwealth.com/trading-app/ even though you might need a subscription if you need for longer, if you need it only for 14 days you can get a free trial :)
3
Maybe this deck by Jim Gatheral would help get the intuition, see slides 10 and following.
The dynamics you mentioned is obtained by:
Looking at the Bergomi dynamics for the forward variance process;
Assuming there is only one factor driving the dynamics;
Noticing a similarity with a rough process when replacing the Bergomi exponential kernel by a Riemann-...
0
I will assume that the interest rate is 0. The price of a binary option is then the same as the risk-neutral probability that the event will occur
$$\mathbb{E}^{\mathbb{Q}}\left[\mathbb{1}_{S(T)\geq K}\right]=\mathbb{Q}\left[S(T) \geq K\right]$$
Denote the current spot price $s$. You need to find
$$\mathbb{E}^{\mathbb{Q}}\left[\mathbb{1}_{0.9 s< S(T) <...
0
I think you can simply construct a portfolio equivalent to the double digital option (let's call it $DO$) you want to price, that qualitatively will look like this (dotted lines):
The replicating portfolio should contain:
a zero-coupon bond expiring in one year (current value ($t=0$) = \$ $\exp(-r \cdot (1 - t)\text{ years})$);
a shorted digital valid if S&...
0
I'm not sure why you tagged your question equities. Do you mean that you don't care for corporation that don't have publicly traded equity, but have defaulted on their debt?
A good start would be the Credit Derivatives Determinations Committees (spun off from former ISDA Credit Derivatives Determinations Committee in 2018). Look for North American corporate ...
2
(A good book on emerging markets FX is:
https://www.amazon.com/Trading-Fixed-Income-Emerging-Markets-dp-1119598990/dp/1119598990/
https://www.wiley.com/en-us/Trading+Fixed+Income+and+FX+in+Emerging+Markets%3A+A+Practitioner%27s+Guide-p-9781119598992
Dirk Willer, Ram Bala Chandran, Kenneth Lam. Trading Fixed Income and FX in Emerging Markets - A Practitioner'...
1
I've recently been learning about TIPS and their role as an inflation protection instrument. If you buy a TIP even when it has a negative real yield-to-maturity, is it still possible to have a profitable position?
Absolutely. Let's consider two scenarios:
1. You are not holding the bond to maturity:
In this case, recall that Canadian-style linkers, such as ...
1
TIPS is two instruments in one - a bond whose principal is linked to the Consumer Price Index for All Urban Consumers CPIAUCNS published by the BLS, and a put option with strike set to par value. The par value protection offered by the Treasury is not free and is paid by the bond investor. Also, not all investors may agree with BLS methodology for measuring ...
2
Recently issued TIPS have negative real yields, meaning that they are issued at a price P>100. The payment at maturity will be 100*cpi(maturity)/cpi(issue date). The latter expression may or may not be greater than P. So if your definition of ‘profitable’ is in terms of nominal dollars, it is unclear.
I ignored the fact that newly issued TIPS have a ...
3
Algoseek's data set includes delisted symbols due to bankruptcy, M&A, or any other reasons. They have a sophisticated master file to keep track of historical changes for securities.
Top 50 recent answers are included
