Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.
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 answerI'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 answerI 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 answerLet'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 answerVariance 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 answerTextbooks 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 answerI'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 answerI 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 answerIf 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 answerAssuming 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 answerGet help from others!
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