Quantitative Finance Questions, Problems & Solutions : TransWikia.com ~ Page 10

Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?

I would like to know if this difference occurs when the coupon payments are very large and/or if there are other reasons....

Asked on 10/27/2021 by JorgeT

3 answer

Comparison of Carhart alphas (four-factor model)

I would like to compare two strategies through the alpha Carhart obtained. The idea is to find out which one is more profitable (or the least bad). For the first...

Asked on 10/27/2021 by Gauthier Golin

2 answer

Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume.Anyone knows where to get them from? Thank you,...

Asked on 10/27/2021 by Tim Kim

2 answer

Value Option with Forward Volatilities

That is probably a rather simple question but I got confused and would be very thankful for help.Imagine we are in 2015 and have an option that expires in...

Asked on 10/27/2021 by Maths student G

2 answer

Deriving Forward Vol from Straddle and Put Spread

Assuming we have the fair value of the July straddle on a certain strike, what would be the implied July-Oct forward vol if an order comes in to sell the...

Asked on 10/27/2021 by J Swartz

1 answer

Lead-lag bivariate VAR model

I am really interested in Granger-causality. Can anyone think of a paper that uses a bivariate VAR model in economics or finance?...

Asked on 10/27/2021

1 answer

List of ticker-symbols of European countries

To download the European countries' equity (stocks) data from CRSP database, I need individual stocks ticker symbols. Can anyone help me regarding how can I get the list of ticker-symbols...

Asked on 10/27/2021 by Syed Riaz Mahmood Ali

3 answer

Is it possible to match talib's RSI results down to machine precision using just python?

I want to match talib's RSI with just python down to machine precision and I'm struggling. Out of curiosity I also tried a bunch of libraries like...

Asked on 10/27/2021 by user165494

0 answer

Where to Get the Yield of One Year Constant Duration TIPS ( inflation protected bonds)

Do you know where can I get the Yield of One Year Constant Duration TIPS ( inflation protected bonds). I found the yield of 5 year, but never could get...

Asked on 10/27/2021 by Lopo

1 answer

Modelling Geometric Browian Motion price model with stochastic volatility

I'd like to generate scenarios (simulate several paths of the process) for several stocks using multinomial Geometric Brownian Motion under Stochastic volatility assumption. I'm going to use it in...

Asked on 10/27/2021

1 answer

Ask a Question

Get help from others!

Quantitative Finance : Recent Questions and Answers (Page 10)

Ask a Question