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Quantitative Finance : Recent Questions and Answers (Page 2)

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

Can "Turbo warrants" be priced using the Black & Scholes model?

I am trying to model the pricing of an asset called a "Turbo warrant", which to me looks a lot like a Down-and-Out Barrier option with leverage. When the price...

Asked on 12/28/2021

1 answer

Definition of sharpe ratio maximising and variance minimising portfolios

In this paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226985, in the derivation of the mean variance efficient portfolio using lagrangians in the appendix, on page 29, the two portfolios are defined: $$pi_R=frac{V^{-1}R}{1^TV^{-1}R},...

Asked on 12/26/2021 by WeakLearner

1 answer

How to make futuresHelpers in Quantlib work with monday settlement day not IMM?

My EuroDollar futures have monday of third week expiration and settlement date from CME exchange how ever Python Quantlib doesn't seem to like it. Anyway I can get away with...

Asked on 12/26/2021 by Richard Lin

2 answer

Three questions regarding local volatility implementation (based on the Andreasen, Huge article "Volatility interpolation")

I am new to the area of local volatility interpolation and I am trying to make a decent implementation for calculating the local volatility surface from option prices using the...

Asked on 12/24/2021 by Jesper Tidblom

1 answer

Relationship between Data Size and Arima Prediction Interval Width?

When we use Arima model to acquire Interval Predictions, will the width of prediction intervals decrease if we use more data (longer history) to fit the model?...

Asked on 12/21/2021 by Ericcheng

1 answer

I just got Matlab, what are some options that I should model in a jump diffusion

Don't worry I understand mathematics: ito's calc, martingales, etc. I am just curious what options I should test, and from what indices. Is there stuff I can test from the...

Asked on 12/21/2021

2 answer

Overnight Index Swaps (OIS) vs. Fed Funds Futures

When calculating the probability of a certain target rate specified by the Fed at an FOMC release, I’ve generally read that it is typical to use Fed Funds Futures as...

Asked on 12/19/2021 by Mild_Thornberry

2 answer

VBA Black Scholes Implied Volatility

I keep getting a Implied Vol. = to my initial guess, My code is as bellowOption ExplicitOption Base 0Const EPS As Double = 10 ^ -5Const DELTA_VOL As...

Asked on 12/19/2021 by Zakaria Ourad

1 answer

Why is the Schöbel-Zhu model affine?

In the Schöbel-Zhu model, the stochastic volatility process is $dv_t=kappa(theta-v_t)dt+sigma dW_t$. The characteristic function of the stock process can be found by arguing that the model is affine if...

Asked on 12/19/2021 by Frimousse

0 answer

Cross Currency Swap - is par basis supposed to change while OIS discounting rate is changing?

Assume a USDJPY cross currency basis swap priced using usd ois & usdjpy basis curve as discounting, and usd libor & jpy libor as projection curve. Now if usd ois...

Asked on 12/17/2021 by pqsn

2 answer

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