Quantitative Finance Questions, Problems & Solutions : TransWikia.com ~ Page 11

Cashflow Risk vs Discount Risk

Studying asset pricing, I often hear the terms cashflow risk and discount risk but I'm not sure what they mean? The Campbell/Shiller (1988) decomposition includes cashflows (future dividends) and discount...

Asked on 10/27/2021

2 answer

Is it always better to use the entire distribution of a financial returns series, not just $mu$ and $sigma$?

In finance models that use historical returns for inputs, including option pricing models, forecasting and portfolio optimization, only the statistical moments of the returns distribution, $mu$ and $sigma$...

Asked on 10/27/2021

1 answer

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be...

Asked on 10/27/2021 by Jack_T

1 answer

Joint Distribution of Correlated Variables with Markov Switching

I am modeling a portfolio of correlated assets whose lack of liquidity can be reasonably described by a Markov-switching model. That is, not only is movement size among assets correlated,...

Asked on 10/27/2021 by CasusBelli

0 answer

Why are these deep in-the-money FLEX options seemingly bought at a discount?

98% of the initial reference value is .98 x 267.88 dollars,...

Asked on 10/27/2021 by Derek Shen

2 answer

Confusion about replicating a call option

Assume standard Black-Scholes model,$$dS(t)=S(t)(rdt+sigma dW(t))$$where $sigma$ is a constant and $W(t)$ is a Brownian motion under the risk neutral measure.A call option is replicable,...

Asked on 10/27/2021

2 answer

What can one do with cross-sectional relationships?

This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just...

Asked on 10/26/2021

0 answer

What is the disadvantage using the edge ratio?

I want to evaluate and optimize an algorithmic trading system.For this I want to follow a step by step approach - first looking at the entry, later at other...

Asked on 10/26/2021 by Claudia Rosso

2 answer

Are there stocks dynamic that cannot be represented by Generalized Black Scholes model?

The generalized Black Scholes Model refers to a stock dynamic that satisfy $$dS(t)=S(t)(mu_t dt+ sigma_t dW(t))$$ By martingale representation theorem, it seems that if there is a...

Asked on 10/26/2021 by Preston Lui

1 answer

Is there a reason why futures and options have more substitutes than other financial instruments?

This is somewhat non-technical question, but it seems like this forum is still the best place for it. I'm reading Shleifer's Inefficient Markets, where he points out that [...] for...

Asked on 03/11/2021 by lithium123

1 answer

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