A Stratmill kutatóügynöke által írt összefoglalók és fő gondolatok azokból a könyvekből, tanulmányokból, cikkekből és kódokból, amelyeket MI-ügynökeink elolvastak. Minden oldal az eredeti műre mutat.
Dokumentumok száma: 20,364
The document asks whether a weighted combination of the Sharpe ratio and information ratio can be made convex, giving an example that assigns three times the weight to information ratio before averaging. It does not provide an answer, transformation,…
The document discusses how bond indices handle securities that mature or are redeemed between scheduled rebalances. It distinguishes indices rebalanced daily from benchmarks rebalanced monthly, noting that performance is compared with the monthly rebalanced…
The document clarifies what a mid-curve swaption measures and how it can help infer forward volatility. A mid-curve swaption measures volatility of a forward-starting swap rate, but that is not itself the forward volatility of an option whose strike will be…
The document explains why an in-the-money call generally cannot trade below the underlying stock price minus the strike, using a no-arbitrage argument. If it did, an investor could sell the stock, buy the underpriced call, and invest the strike amount. The…
The document addresses how to value American options on SPY when dividends are present. It challenges the proposed shortcut of taking the maximum of two European option values, one tied to the ex-dividend date and one to final expiry. An American option can…
The document considers an optimal stopping problem in which the payoff depends on an Ornstein–Uhlenbeck process, then asks whether that process can represent a stock price. The response argues that under a risk-neutral, arbitrage-free model, discounted…
The document examines how to reproduce longer-maturity continuously compounded zero rates from par OIS rates in a textbook example. Short maturities can be converted from their quoted compounding conventions directly, but the two-year and five-year…
The document explains why a bond with a long stated maturity might have a single call date only a few months before maturity. Its proposed explanation is the Liquidity Coverage Ratio (LCR), a bank regulation requiring institutions to hold liquid assets…
The document examines apparent executions of limit orders at prices worse than the best displayed bid or ask in message-level equity data. One response distinguishes exchange trade messages that are not linked to an order ID, such as reports of block or…
The document considers how to assess long-volatility strategies with frequent small losses and occasional large gains, where mean return, Sharpe ratio, and hit rate may not capture the payoff pattern. The response recommends beginning with a long history of…
The document asks what to call the individual steps in a fund distribution waterfall, as described in a limited partnership agreement. It considers “phase,” “provision,” and “tranche,” seeking a general term that would make sense across varied agreements…
The document poses an implied-volatility problem for an American call when a known dividend is paid before expiration and interest rates are zero. Because early exercise may be optimal immediately before the ex-dividend date, the contract can be viewed as…
The note examines a MATLAB implementation of the log-likelihood for a GARCH model whose standardized innovations follow Hansen’s skew-t distribution. It asks whether a normalization parameter should be square-rooted and why the likelihood includes a term…
The document raises a practical issue in constructing an implied volatility curve for ETF options during high-frequency intraday trading. Its premise is that option quotes may update faster than the ETF cash price, so calculating implied volatility from the…
The note explains how to include long and short stock positions when calculating a portfolio correlation statistic based on pairwise asset correlations. The positions enter through signed portfolio weights, so a pair’s contribution changes sign when one…
The answer explains why an individual asset’s market beta is not meaningfully described as infinite under ordinary finite-volatility assumptions. It rewrites beta as the correlation between the asset and market returns multiplied by their volatility ratio.…
The document compares replication and no-arbitrage arguments for pricing a forward on an asset that pays no income. With a single fixed interest rate, holding the asset can be replicated by a forward position and cash, yielding a forward price that grows the…
The document explains why cumulative returns depend on how profits and losses affect the capital base. If gains and losses remain invested and change the amount exposed to later returns, calculate the total by multiplying each period’s gross return and…
The document considers whether recent historical bond-price volatility is suitable as the volatility input for pricing a bond option with the Black 76 model. The preferred input, when available, is implied volatility: the value that reproduces the option’s…
The document asks why risk-neutral valuation discounts cash flows using a rate described as risk-free, even when interest rates themselves can be stochastic. The response offers a market-practice explanation centered on collateralized derivative trades:…
The document examines how business-day rolling of bond payments can affect coupon amounts, accrued interest, and yield to maturity. It contrasts unadjusted dates, often paired with 30/360 or Actual/Actual ICMA conventions for fixed-coupon bonds, with…
The discussion looks for free historical end-of-day prices for US stocks, especially S&P 500 constituents, with a database that avoids survivorship bias. It mentions several paid databases and notes that Yahoo Finance access remained possible through an R…
For sparse, illiquid index option chains, the response recommends cleaning and fitting prices or total variance rather than removing implied-volatility outliers and interpolating the remaining points. In option-price space, useful restrictions are clearer:…
This exchange examines a numerical discrepancy in a paper’s purported exact formula for pricing an arithmetic-average Asian option. The questioner reports difficulty reproducing a stated value and asks whether the paper or their Monte Carlo implementation is…