Quantitative Finance Questions, Problems & Solutions : TransWikia.com ~ Page 15

Multiple tracking error constraints - is this problem convex?

Let's say I have a return forecast for each stock in the DAX index. I also have a covariance matrix for these 30 stocks. I want to solve for the...

Asked on 12/11/2020 by cune

1 answer

Any database with all of companies previous CEO's?

I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated...

Asked on 12/10/2020 by TysonU

1 answer

Constructing Daily Term Structure

I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html Appreciate if someone could help me with the following...

Asked on 12/06/2020

1 answer

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income...

Asked on 12/05/2020 by clubkli

3 answer

Why is portfolio optimization a convex problem if variance is concave?

Variance is concave, so portfolio risk must be too. The mean-variance model employs quadratic programming to optimize (minimize) portfolio risk. My understanding is that quadratic programming requires a convex...

Asked on 12/04/2020

2 answer

Why do not include loan payments in NPV?

Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost...

Asked on 12/03/2020 by Henrique Ramos

3 answer

What is the cause of this error 'TypeError: Wrong number or type of arguments for overloaded function 'new_HestonModelHelper'?

I'm simulating the option prices every month using the Heston Model. The option contract expires at the of the month and the next option contract start the day after the...

Asked on 11/30/2020 by user324313

1 answer

Understanding what is 'special' about the security market line

I am trying to get my head around the CAPM model and all the intricacies of portfolio management. I have written some code to help me visualise what happens to...

Asked on 11/28/2020 by Andy

2 answer

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?...

Asked on 11/28/2020 by develarist

0 answer

simulate volatility surface

Assuming I have a stochastic volatility model for an asset, if I wanted to use it for pricing I would proceed in the following way:Use Euler discretization to simulate a...

Asked on 11/27/2020 by therealcode

1 answer

Ask a Question

Get help from others!

Quantitative Finance : Recent Questions and Answers (Page 15)

Ask a Question