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Quantitative Finance : Recent Questions and Answers (Page 12)

Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.

Global Maximum Drawdown and Maximum Drawdown Duration Implementation in Python

Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted...

Asked on 03/02/2021 by DickyBrown

2 answer

GARCH model using high frequency price return

I would like to forecast variance at time length $kdelta$ based on a price (return) time series of time step length $delta$. I will apply a GARCH(1,1) model...

Asked on 02/25/2021

1 answer

when deep itm european options time value increase from negative to positive

The time value of an deep ITM option usually is negative in the real world. I see deep itm options time value increase from negative to positive, why does it...

Asked on 02/16/2021 by Wei Wu

0 answer

For option spreads, why ought the debit paid $le 75%$ of the strike width?

Diagonal Spread | Definition of a Diagonal Spread | tastytrade | a real financial networkThe trade will be entered for a debit. It’s important that the debit...

Asked on 02/10/2021

1 answer

Differentiability of solutions of a stochastic differential equation

I would like to clarify a confusion I have. It is well known that a Wiener process (Brownian motion) is nowhere differentiable. I have no difficulty in understanding that. But...

Asked on 02/09/2021 by user144410

1 answer

Is there any website for a detail chronological description of U.S. index futures market development?

Is there any website for a detail chronological description of U.S. index futures market development? I have searched online for some time but unable to locate particular focus on index...

Asked on 02/08/2021 by Tsz Chun Leung

1 answer

QuantLib python ql.schedule getting end of month dates

i'm trying to get payment schedule of a bond that pays coupon quarterly. value date is 2020-04-01, first coupon date is 2020-06-30, maturity date is 2022-09-30. so I expect to...

Asked on 02/08/2021 by user51725

2 answer

How to link market risk and the transition to the new risk-free rates?

I'm a market risk analyst intern and I've the opportunity to do a project related to it. So I would like to move towards SOFR and €ster transitions, I have...

Asked on 02/08/2021 by Browl

0 answer

An example of Feynman-Kac

I've been learning about Feynman-Kac recently and I understand the underlying ideas. I am stuck however in actually computing explicit solutions for specific problems. For example, assume that $S_t$...

Asked on 02/06/2021 by Moh514

0 answer

Credit VaR for this portfolio assuming no default correlation and no recovery?

I am trying to estimate the Credit VaR for a portfolio of two risky bonds. The Credit VaR is defined as the maximum unexpected loss at a confidence level of...

Asked on 02/05/2021

0 answer

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