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 questions a research paper’s assumption that adverse selection tied to cheapest-to-deliver mortgage-backed securities affects the seller of a dollar roll more than the buyer. The paper’s stated rationale is that the buyer chooses the delivered…
The document asks how to determine whether a market with a stock, a bond, and call options admits arbitrage when the option’s time-zero price is unknown. It proposes using the stock and bond alone to derive a range of state prices, then checking whether…
The document surveys tools and references for constructing an options volatility surface from strike prices and bid–ask quotes. It mentions QuantLib, NAG, Intermark toolkits, an empirical study with source code, OpenGamma Strata, and research on consistent…
The document compares two descriptions of implied-volatility smile dynamics under local volatility. Derman’s account focuses on a negatively skewed equity market: as the index rises, local volatility is lower, and as it falls, local volatility is higher.…
The discussion asks whether Bloomberg’s standard data functions can retrieve trading volume for individual corporate bonds. It points to TRACE, the reporting system for many bond transactions, and describes Bloomberg’s trade-history view as a way to inspect…
The document describes a volatility-modeling workflow using log returns. The author selects an ARIMA specification with the Akaike information criterion, then applies Engle’s test to the ARIMA residuals to check for conditional heteroskedasticity. After…
A company’s balance sheet may report the dollar value and share count of treasury stock, but dividing those figures does not generally recover the market price. The reported amount reflects the accounting basis for shares repurchased and held by the company,…
The document asks how a weaker dollar could keep borrowing costs low, given that U.S. firms generally borrow in dollars. The included answer links depreciation to higher dollar revenues for exporters earning foreign currency, then argues that stronger…
The document reports an empirical research question about Indian firms, examining financial constraints, research and development spending, and stock returns. The researcher says the constraint index was built using approaches associated with Kaplan and…
The document addresses the difficulty of locating transaction-level interbank lending data, where records identify the lending and borrowing banks, amounts, and rates. The questioner had found interest-rate series but wanted disaggregated lending…
The document explains a practical way to retrieve stock data for the members of an index from CRSP. It suggests compiling constituent tickers from an external list, such as Wikipedia, and using that list to query CRSP for individual stock prices or returns.…
The document asks how to convert the standard deviation of weekly stock returns into an annual volatility estimate. It reports observations over 179 weeks and proposes multiplying weekly volatility by the square root of 52, based on the number of weeks in a…
The document investigates why a Monte Carlo estimate for a European call differs from a binomial-tree value. The accepted explanation identifies the simulation’s use of first-order Euler steps for geometric Brownian motion as a source of bias, especially at…
The document discusses why a delta-hedged option portfolio is assigned the risk-free return in no-arbitrage pricing. It describes a short call hedged with stock and considers the portfolio value as the stock hedge minus the call liability. One answer…
The document explains how a vanilla option’s price changes when the underlying price and strike are both rescaled by the same factor, with implied volatility, time to expiry, and other pricing inputs held constant. In its example, reducing both the…
The document explains intuitive bounds for a dual digital payoff that pays when two digital option conditions are both met. If the individual event probabilities are 0.7 and 0.8, the joint probability cannot exceed the smaller probability: the less likely…
The document asks how to extend an Excel Monte Carlo pricer to value American options, which allow exercise before expiration. It mentions least-squares methods associated with Longstaff and Schwartz, but the questioner finds that approach difficult to…
The document asks how to value the bond-return leg of a total return swap and how that valuation differs from a bond forward. It focuses on coupon treatment: the TRS receiver gets the bond’s return, including coupons, while the forward buyer does not receive…
The document examines how to apply a Vanna-Volga adjustment to an up-and-in put. The question proposes starting with a flat-volatility Black-Scholes barrier price and adding a hedge-cost adjustment based on market prices of vanilla options, with hedge…
The document describes a plan to forecast daily realized volatility from S&P 500 returns and then evaluate a straddle strategy using historical options data. The author has calculated log returns and rolling volatility and asks how to retain fitted values…
The document offers a qualitative explanation for why the Australian dollar three-month cross-currency basis may be positive while euro and yen basis measures are often negative. It connects the sign of the basis to banks’ currency-denominated assets and…
The document asks how to derive the product of two forward rates with different reset times when each follows a lognormal diffusion. The rates are driven by correlated Brownian motions, and the displayed expression includes both stochastic terms and variance…
The document asks why realized variance of a momentum strategy might help avoid momentum crashes, particularly when markets rebound sharply after steep declines and the strategy’s short positions rise. It refers to a study that uses the sum of squared…
The document works through a two-period binomial example in which a company’s value can rise or fall, shareholders own a stated fraction, and debt holders own the remainder. It first derives the risk-neutral probability of an up move from the up and down…