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Combinatorial purged cross-validation (CPCV) is a technique for backtesting strategies while purging and embargoing observations in a time series. CPCV improves upon classical k-fold and walk-forward cross-validation because it has an added layer of generating paths that each possesses a unique Sharpe ratio, allowing a... |
Let us consider a payment schedule $\{t_1,\dots,t_n\}$ which has a corresponding fixing schedule $\{t_0,\dots,t_{n-1}\}$. We have a series of co-terminal and co-initial swaps with coinciding float and fixed payment dates, accrual conventions and notionals $-$ the specific float rate does not matter. Hence the value of ... |
Does the default rate follow normal distribution or binomial distribution? |
Are there techniques or models in finance that (unlike supervised learning where input data such as returns and volatility is estimated making the asset allocation data-driven) allow for portfolio optimization without using empirical data for an input? |
I can think of two.
First up is the **naive Bayesian porfolio**, ie run equal weights in the absence of any priors about any of returns, their volatility, correlations, or return-persistence. But then think ahead to the next step in the game. What do you do in 1,3,12 months time after the weights have evolved in li... |
Recommendations for a text on game theory in the context of market making? |
I have built a Fama and French three factors model (market excess return, small-minus-big, high-minus-low) and estimated its betas through a time series regression (code in R, but any other language works fine too):
``` lm(return ~ market_excess_return + small_minus_big + high_minus_low, data = df) ```
Now I wan... |
I quote a very famous paper from De Prado:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2708678
In general, unsupervised learning is a very powerful tool in asset allocation especially with regards to exploring deep unsupervised relations among different assets (i.e. sort of correlations). |
Can you please tell me whether if I can used risk-neutral pricing approach to price a stock or a bond ? (i.e. discount with risk free rate the future cashflows) ?
Thank you very much! |
Can we use risk-neutral pricing to price a stock or a bond? |
In searching for methods of valuation of Binary options *with skew*, I have found two formulas which are at odds. I cannot find any other references to this valuation formula. **Should Vega be positive or negative?**:
https://en.wikipedia.org/wiki/Binary_option#Skew
$C = C_{noskew} - Vega_{v} * Skew$
https:/... |
I am looking for an explanation of what happens to the Bermudan exercise probability (i.e. does probability of early exercise go higher if rates rise or lower) w.r.t rates. This is of course with regard to a rates bermudan.
My thought is that, fixing a particular 'scenario' (i.e. realized evolution of the yield cur... |
Is there a definite list of finance firms that I can download or scrape? I tried using python to scrape from [US News][1] but I couldn't access the server.
[1]: https://money.usnews.com/financial-advisors/search?type=firm |
I am looking for an explanation of what happens to the Bermudan exercise probability (i.e. does probability of early exercise go higher if rates rise or lower) w.r.t rates. This is of course with regard to a rates bermudan.
My thought is that, fixing a particular 'scenario' (i.e. realized evolution of the yield cur... |
In [1] Pafka, Potters and Kondor mention the following in section 2:
> In contrast, if this covariance matrix estimate is used for portfolio optimization (i.e.
for selecting the portfolio in a mean–variance framework, which involves the inversion
of the matrix), the estimation error will be quite large for... |
In [1] Pafka, Potters and Kondor mention the following in section 2:
> In contrast, if this covariance matrix estimate is used for portfolio optimization (i.e.
for selecting the portfolio in a mean–variance framework, which involves the inversion
of the matrix), the estimation error will be quite large for... |
I am looking for an explanation of what happens to the Bermudan exercise probability (i.e. does probability of early exercise go higher if rates rise or lower) w.r.t rates. This is of course with regard to a rates bermudan. I pay fixed and recieve floating, and I have a right to enter. Early exercise is the exercise ev... |
I am looking for an explanation of what happens to the Bermudan exercise probability (i.e. does probability of early exercise go higher if rates rise or lower) w.r.t rates. This is of course with regard to a rates bermudan. I pay fixed and recieve floating, and I have a right to enter. Early exercise is the exercise ev... |
Usually, when one talks about exponential smoothing, they talk about it's halflife.
So, for example, suppose we exponentially smooth some quantity ( argument carries over to covariance matrix but I'd rather just rather consider the scalar quantity case ) and call the exponentially smoothed estimate $\hat{smth_t}.$
... |
Ok as an example consider a 1yr-10yr 3pct Bermudan payer (the right to pay fixed at 3pct vs libor starting at any annual date from 1yr onwards with a maturity of 11yrs from today). For simplicity assume a flat yield curve.
If rates are 1pct, the probability of exercise on the first date is low (a long way to cross... |
I am trying to calculate Cornish-Fisher (modified VaR), but I am in a trouble because when I am reading some articles, some authors calculate the Cornish-Fisher expansion taking parameters S and K, as the skewness and excess kurtosis of observed random variable, but other authors do say that parameters are not that, be... |
With $V$ American option value, $H$ holding (aka continuation) value, and $B$ bank account value, we have:
$$V_N(S_N) = (K-S_N)^+$$
and for $i$ backwards from $N-1$ down to 0, we have:
$$ H_i(S_i) = \mathbf{E}\left[B_{i}B_{i+1}^{-1}V_{i+1}(S_{i+1})|S_i\right]$$
$$ V_i(S_i) = \max (K-S_i, H_i(S_i)) $$
The... |
I have a strategy that I've been playing with and trying to backtest. It's of questionable practicality at the moment, but the idea is to pick one stock from the Dow 30 companies to trade right near the close and sell the following day, also near the close (I'm using actual closes as a proxy). If there are no suitabl... |
Calculating Sharpe Ratio on a per trade basis? |
I have a strategy that I've been playing with and trying to backtest. It's of questionable practicality at the moment, but the idea is to pick one stock from the Dow 30 companies to trade right near the close and sell the following day, also near the close (I'm using actual closes as a proxy). If there are no suitabl... |
I have a strategy that I've been playing with and trying to backtest. It's of questionable practicality at the moment, but the idea is to pick one stock from the Dow 30 companies to trade right near the close and sell the following day, also near the close (I'm using actual closes as a proxy). If there are no suitabl... |
My understanding is that a Sharpe Ratio must be calculated based on the actual trading days elapsed, not on the days traded.
The calculation proceeds as follows:
1) Establish a list of all trading days between 6/2/2016 and 6/9/2020. You could start with a list of all calendar days, remove Saturdays and Sundays an... |
My understanding is that a Sharpe Ratio must be calculated based on the actual trading days elapsed, not on the days traded.
The calculation proceeds as follows:
1) Establish a list of all trading days between 6/2/2016 and 6/9/2020. You could start with a list of all calendar days, remove Saturdays and Sundays an... |
My understanding is that a Sharpe Ratio must be calculated based on the actual trading days elapsed, not on the days traded.
The calculation proceeds as follows:
1) Establish a list of all trading days between 6/2/2016 and 6/9/2020. You could start with a list of all calendar days, remove Saturdays and Sundays an... |
I am trying to optimise the following:
U(w)=w′μ−λ/2w′Σw
which is the typical risk aversion problem.
I would like to set lambda in order to have the max sharpe but I cannot find in literature what is the relation between them.
Can anybody help?
Thanks
Luigi |
Say I am considering the time horizon, is **max drawdown** what I've drawn in blue, or what's in purple?
[![enter image description here][1]][1]
[1]: https://i.stack.imgur.com/jiqWv.png |
Say I am considering the entire time horizon, is **max drawdown** what I've drawn in blue, or what's in purple?
Likewise, how about the **current drawdown** for the period in black (in practice, I am asked to compute the current monthly drawdown)?
[![enter image description here][1]][1]
[1]: https://i.stac... |
In [1] Pafka, Potters and Kondor mention the following in section 2:
> In contrast, if this covariance matrix estimate is used for portfolio optimization (i.e.
for selecting the portfolio in a mean–variance framework, which involves the inversion
of the matrix), the estimation error will be quite large for... |
I am aware of the way to annualize a volatility using log returns (stdev(daily log returns) * sqrt(252)).
But how can I do the same if I have a time series of simple returns (price_t - price _t-1) / price_t ?
|
I am currently working on a Machine Learning Project, implementing portfolio optimization algorithms according to different risk measures. I have found sufficient information on Sharpe Ratio optimisation, but not on Value-at-Risk.
My question is: What is the equation for differential VaR - the derivative taken wit... |
What is the differential Value-at-Risk? |
If the model you're talking about is something that prices and risk manages an exotic (since you mentioned you calibrated to vanillas), I'd like to see:
- How does the evolution of the volatility surface / correlations look like. When I vega hedge, my ability to recover future prices of vanillas is important for me ... |
I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ETF Trust) that I downloaded from AlgoSeek.
Along the x-axis, the timestamp has been converted to the 'epoch' time, in thi... |
Why would this price data have lots of spikes above the trend line? |
In the option pricing course, i am introduced the concept of replicating portfolio of an option and the option price must be equal to the cost of the portfolio.
And then, base on this argument, the professor says it is equivalent to the risk neutral probability where every asset would get the risk free rate.
Could ... |
Lets denote $S_t$, $r^d_t$,$r^f_t$ respectively the FX spot, the domestic rate and the foreign rate at time $t$.
Lets $\mathbb{Q}^d$ , $\mathbb{Q}^f$ respectively be the domestic and foreign mesures, and lets suppose that the rates follows Hull and white dynamics and that the FX spot follow a lognormal-like diffusi... |
If the model you're talking about is something that prices and risk manages an exotic (since you mentioned you calibrated to vanillas), I'd like to see:
- How does the evolution of the volatility surface / correlations look like. When I vega hedge, my ability to recover future prices of vanillas is important for me ... |
Where can I find a rigorous proof of the Dupire formula using Gyöngy theorem? Is this covered by a paper or by a certain finance/math text?
|
Where can I find a rigorous proof of the Dupire formula (for example, using using Gyöngy's theorem)? I imagine this would be covered by a paper or by a standard financial math text, but I could not find one.
|
**EDIT:** Regarding the [duplicate] designation: I carefully checked all the sites listed in the **Equities and Equity Indices** section of https://quant.stackexchange.com/q/141/47526. *I was not able to find what I am looking for (as described in the post below) in any of them.* If what I am looking is there, and so... |
i am very new to financial math so i am not sure how to do with this question. a friend sent me this question to practice but i am unsure how to begin. i read about call option . can that be used for any option . any help would be appreciated. (apologies for my English.)
Consider the following discrete time one-p... |
i am very new to financial math so i am not sure how to do with this question. a friend sent me this question to practice but i am unsure how to begin. i read about call option . can that be used for any option . any help would be appreciated. (apologies for my English.)
Consider the following discrete time one-p... |
Fang and Oosterlee (2009) introduced Fourier-Cosine method (COS method) [in their paper][1].
The formula to price an option is approximately
$$e^{-r\Delta t} \sum_{k=0}^{N-1}' Re\left\{ \phi\left( \frac{k\pi}{b-a}; x \right) e^{-ik\pi \frac{a}{b-a}} \right\} V_k$$
where $\phi$ is the characteristic function of the ... |
Fang and Oosterlee (2009) introduced Fourier-Cosine method (COS method) [in their paper][1].
The formula to price an option is approximately
$$e^{-r\Delta t} \sum_{k=0}^{N-1}' Re\left\{ \phi\left( \frac{k\pi}{b-a}; x \right) e^{-ik\pi \frac{a}{b-a}} \right\} V_k$$
where $\phi$ is the characteristic function of the ... |
I do not have a specific question, it's more of a general & conceptual one.
**What would be the optimal approach to finding support and resistance levels?**
Have you approached this problem before and what resources have you found useful? Here are some I've looked into:
https://medium.com/@judopro/using-ma... |
Quant Guy's list is really impressive! However, I am not sure they will readily solve your specific problem? I think there is one **missing piece**.
Please note that imputing missing data is a very broad topic. There are many recipes to impute missings but that's for their specific 'assumptions' and purposes. They do... |
I did check the related posts, like this one [here][1].
However, given if one already has knowledge in finance, machine learning and statistics, and wants to know something more advanced on machine learning based trading rather than the introductory. What would you recommend?
I am looking for anything related: excel... |
I have an upcoming quantitative trading interview (prop desk at a large bank), and I would like to have some good questions to ask about the group. However, I am changing fields from academia and I do not have a good idea about what sort of things I should be looking for, and what questions would 1) probe my fit with t... |
For starters, I am not even sure why you need to ask this question. There is literally years of free tick data available for FX, just check out quant.SE's [data wiki][1].
Having said that, a Gaussian is a very poor fit to high-frequency data, particularly FX. Your strategy for simulating data depends on the idea beh... |
I have just started applying Binomial-Lattice, however I am yet to fully understand few things. My questions are:
1. What is the concept of working backward (left side) from the values in terminal (farthest) nodes at the right side. Why do we need to do backward induction? I started my first node with some value `S`, ... |
Have you looked at the [bivariate probit model][1] at all?
> Bivariate probit model with sample
> selection assumes that the
> distribution of the accepted applicant
> population is different from that of
> the rejected applicant population.
> That is, it is assumed that
>
> $P(default|X, rejected) \neq P(default|X, ... |
According to the [Wikipedia article][1],
> Contracts similar to options are believed to have been used since ancient times.
>
> In London, puts and "refusals" (calls) first became well-known trading instruments in the 1690s during the reign of William and Mary.
>
> *Privileges* were options sold over the counter in n... |
I am working on Rubinsteins IBT and use the following paper to implement this into excel:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=541744
the original paper can be found here:
http://www.haas.berkeley.edu/groups/finance/WP/rpf232.pdf
I am stuck in the last step: I calculated the path probabilities, denote... |
I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars.
I have calculated the spread, `beta(=ratio/hedgeweight)`, and standard deviation.
I tried treating the spread as a simple instrument which I buy and sell, but realised I cannot do it because the retu... |
Dow Jones and UBS publish one of the most popular commodity index families, the Dow Jones-UBS Commodity Index and its subindices. They provide a detailed manual describing the composition of the index and its daily changes, available at https://us.spindices.com/indices/commodities/dow-jones-commodity-index
I have trie... |
Let say I have $n$ assets and their returns over $m$ periods which are represented by a matrix $X \in \mathbb{R}^{m \times n}$, and I have some other asset with return over the same period which is represented by a vector $y \in \mathbb{R}^m$.
My objective is to find a vector of weights $w$ such that
$$w^* = \unders... |
I think I understand the fact that when marginal utilities of the same function are equal (a consequence of the actuarially fair insurance), the independent variables in it must be equal -- right? But what it is the reason in this for a consumer being risk averse? What a $u''<0$ changes in comparison to a $u">0$ condit... |
[Quantitative investing] is using primarily quantitative information to justify the investment decision. This is different from an [investment process] which relies primarily on expert [judgement].
Example: when assessing a companies financial reporting quality a quantitative investor may rather run a [fraud detectio... |
Focusing on intuition rather than theory, $\beta$ can also be thought of as the "risk premium" of that specific asset relative to the market.
In general, market risk premium links two very important aspects of the world: Consumption & Return. So if we look at the world in two states, an "Up State" & "Down State", he... |
I know long duration bonds, on a a single bond basis, exhibit convexity however do treasury futures prices and the 10 yr yield exhibit the same property? Below is a plot of continious ten year treasury futures (ZN contract)since 2003, where the Y-Axis is the price of ZN futures and the X-Axis is the yield/interest rate... |
I read an interesting statement [here][1]:
> "If an ETF’s market price tracks its NAV well, it is likely to have a
> small market impact. On the other hand, if the market price is more
> volatile than the fund’s NAV, a large order could move the price
> before a market maker would be willing to step in and close that ... |
Problem from Finan, FM/2
> On 12-30-1998, you decided to bet on the January effect. On that day, you bought 400 shares of Microsoft on margin at the price of 139 per share. The initial margin requirement is 55% and the maintenance margin is 30%. The annual cost of the margin loan is 6.5%
>
> To what price must Micr... |
I have another question about interest rates. In this case it is about swaption and how to come up with a pricing formula. For the rest of my question I use the notation from [Brigo][1]. The payoff of a payer swaption discountad from the maturity $T_\alpha$ to the current time $t$ is given by
$$D(t,T_\alpha)N\left(\su... |
> - The exchanges I want to connect to will mostly provide json feeds to their orderbooks & fees.
Not so sure if you'll find anything designed for JSON feeds, most markets use FIX or a native binary API.
> - Speed of lookup & update
>
> - Speed of crunching large numbers and combinations
>
> - I don't need to use ch... |
I'm working on the following task:
> Given quarterly data:
>
> 1. a time series representing the 1-year realized (10 years of data)
rates of default on a portfolio of mortgages
> 2. a slew of realized (10 years of data) macroeconomic time series. Each time series may or may not be relevant
> 3. A stressed scenari... |
# Python version of Brian's R code:
Brian's code automatically grabs the first expense ratio it finds, which is the one you wanted. This version is a little more explicit.
import urllib2, re
stockSymbols = [ "VDIGX", "VFIAX" ]
expenses = [ [ "Fund", "Most Recent Expense Ratio" ] ]
for stockSymbol in... |
Why does CDS spreads track the implied volatility on equities? What is the fundamental relationship that would keep the two inline from deviating too far from each other?
My speculation: Could it be because CDS spreads are not necessarily “pure” compensation of default risk but also include spread volatility risk and ... |
when I run chart.Correlation I get a series of warnings. I get the identical warnings with
> chart.Correlation(managers[,1:2],method="pearson")
Here is a short sample:
> 1: In plot.window(...) : "method" is not a graphical parameter
> 2: In plot.xy(xy, type, ...) : "method" is not a graphical paramete... |
Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size.
I'm looking for a function such as `SETTLEMENT=SPOT*LOT_SIZE^CURVING_FACTOR/commodity_constant*ASK/BID`.
This settlement/spot ratio is dependent on the amount of liquidity and the co... |
Let me guess, you fell for one of the fake Quantquote reviews and decided to purchase their buggy data?
The reason for the missing quotes is Quantquote data is more of a snap-shot of market activity. It will not record every quote the way TickData or CQG does. ActiveTick is not as expansive as TickData but is more com... |
This is Question No.11 from 2007 May MFE Exam.
>For a two-period binomial model for stock prices, you are given:
>
>(1) Each period is 6 months.
>
>(2) The current price for a nondividend paying stock is $70.00$
>
>(3) $u=1.181$, $d=0.890$
>
>(4) The continuously compounded risk-free interest rate is $5\%$.
>
>Calcula... |
I was reading this paper: [Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy][1].
The author has the model presented here: [Quantum Evolutionary Financial Economics][2]
But I am confused. There's all this build up of using quantum mechanics and quantum probability in the model, but the... |
I am not familiar with the technicalities of order routing so my main sources of information as of now is the [**sec gov trade execution info**](http://www.sec.gov/investor/pubs/tradexec.htm) and an explanation of how [**SOR**](http://www.kotaksecurities.com/faqs/smartorder.html) works.
**Question 1:**
> Let's say I ... |
I would like to validate this sentence, coming from a [WSJ article][1]:
> The cost of holding a Eurostoxx 50 future, for example, has climbed
> from an average of 0.07% of the contract value since 1998, to an
> average of 0.45% over the last year, according to BlackRock
> calculations based on broker estimates.
While ... |
I have a question on the following exercise from chapter 9 of D. Luenberger, Investment Science, International Edition.
> Exercise 2 (Wealth Independence)
>
> Suppose an investor has exponential utility function $U(x) = -e^{-ax}$ and an initial wealth level of W. The investor is faced with an opportunity to invest an... |
I want to contruct an optimized stock portfolio with the restriction of a zero-investment strategy. The portfolio weight in each stock needs to be modeled as a function of state variables (factors that have an effect on stock performance).
This method for portfolio optimization is colled "parametric portfolio policy" a... |
I have a question on the following problem from chapter 9 of D. Luenberger, Investment Science, International Edition:
> (Portfolio Optimization)
>
> Suppose an investor has utility function $U$. There are $n$ risky assets with rates of return $r_i$, $i=1,2,...,n$, and one risk-free asset with rate of return $r_f$. Th... |
From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23:
> Excerpt from **Problem 4.23**
>
> The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ...
> Calculate the six-month, one-year ... zero rates.
Working out the six-month zero rate first, I understand that
$$\frac {6}{... |
Before I start: Ok, this is something I investigated for a fair amount of time and my question is semi-academic. To simplify, I will introduce the short bit (TLDR) of my question and then lay out specifics.
**Short Question**: What happens when option pricing model estimate and market price disagree? What is the cours... |
I recently received the following exercise:
> Construct a $n=10$-period binomial model for the short-rate, $r_{i,j}$.
>
> The lattice parameters are:
>
> - $r_{0,0}=5\%$,
> - $u=1.1$,
> - $d=0.9$ and;
> - $q=1−q=1/2$.
This I did do at this point without any problems.
>Assume that the 1-step hazard rate in node $(i,... |
I know that each individual option has it's own implied volatility, but how do you go about calculating the overall implied volatility for an underlying?
For example when someone sais the IV of a certain underlying is 40%, they are not referring to a specific option/strike. They mean that the option market as a whole ... |
Let’s take a simple example to answer a broad but interesting question:
Imagine that we have a daily return serie denoted $r_{t}$ ( which is assumed to be stationary) and let's take a little time to define main concepts :
*Mean Process (First moment process)*
- The **unconditional** mean of $r_{t}$ denoted $u$ ... |
According to me, backtesting resumes to **a validation process of the optimization method** employed to fix parameters of your model.
In such case you can perform multiple out of sample backtests, each of one having a different out of sample-period devoted to the optimization of the parameters and a second period to ... |
I am looking to compare the returns of a sector rotation strategy between the various `SPDR` sector ETFs
- XLY,
- XLP,
- XLE,
- XLF,
- XLV,
- XLI,
- XLB,
- XLK,
- XLU
vs. the returns of just investing in the SPY overall S&P 500 ETF.
I am using the price data of the 9 ETFs vs. the price data of ... |
I'm downloading intraday bar data using Bloomberg API and C#.
I have adapted the official Bloomberg c# "IntradayBarExample” to suit my needs.
However downloads are *really* slow, I found [this post][1] recommending to use a dedicated `EventQueue` instead of calling `NextEvent()` on a `Session` object. But the impr... |
I have to plot the implied volatility surface for EUR/USD.
So, my goal is to produce something like that, from put delta 10 to call delta 10:
[![enter image description here][1]][1]
[1]: https://i.stack.imgur.com/KlkMG.png
Searching for informations, I found that I could find call et put volatilities using
> S... |
I saw this question as an interview, and to be honest, I have no idea what it's even asking for:
> Write a function (in R or Python) that finds the stock drawdown which
> will trigger a rebalance, if given:
>
> 1. an X% stock (vs bond) target
> allocation; and
>
>2. a Y% drift threshold from target allocation.
Do I p... |
I'm trying to figure out the concepts "compound and continuous interest". [This article](http://betterexplained.com/articles/a-visual-guide-to-simple-compound-and-continuous-interest-rates/) explains the material very well in the context of a savings account. However, I find it difficult to transfer my understanding to... |
I am encountering two approaches for valuation of FX swaps (fixed for fixed, e.g. fixed USD payments for fixed EUR payments) which seem to result into different values although in theory they should be the same.
1. Bloomberg's SWPM
Bloomberg's SWPM takes EUR cash flows, discounts them at USD discount curve adjuste... |
I've been using [vollib][1] to calculate IV, but my answers have been different by tenths from other sources like NASDAQ and Yahoo. The answers range +- 0.5, sometimes even more.
The inputs are:
$S$ (float) – underlying asset price
$K$ (float) – strike price
$t$ (float) – time to expiration in years
$r$ (float) – ri... |
I'm trying to simulate a process as close as possible to EUR/USD of the ten past years.
I've used a Ornstein-Uhlenbeck process:
$$d X_t = -\theta (X_t - \mu) d t + \sigma d B_t$$
with the parameters $\mu$, $X_0$, $\theta$, $\sigma$ being calibrated such that mean, standard deviation, total absolute variation (i.e. $... |
I've looked into many books at my academic library, and very often it goes like this:
* Brownian motion
* Then, stochastic integration (Itô's formula etc.)
* Application: Black-Scholes formula for price of a call option
---
However, I've seen a proof that **doesn't require stochastic integration at all**, it goes li... |
Investopedia says:
> The following are two types of futures traders:
>
> * hedgers
>
> * speculators
>
> An example of a hedger would be an airline buying oil futures to guard against potential rising prices. An example of a speculator would be someone who is just guessing the price direction and has no intention of a... |
> Lets assume I made two models for predicting future price of stocks, one trained in RNN and other in MLP (Multi Layer Perceptron) using 10 years (OHLC) of data from SPY with good accuracy.
>
> Which algorithm has more chances to give an accurate prediction?
The choice of which model to use for training matters far, ... |
I'm reading Piterbarg [paper][1], "Funding beyond discounting: collateral agreements and derivatives pricing." and have a question about equation $(6)$.
There he says that for a derivative we have
$$E_t[dV_t]=(r_F(t)V(t)-(r_F(t)-r_C(t))C(t))dt = (r_F(t)V(t)-s_F(t)C(t))dt$$
where $C(t)$ amount in collateral, $r_F$ sho... |
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