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Dokumentumok száma: 20,364
The document asks why exchange option chains can show different implied volatilities for European puts and calls with the same underlying and expiry, even though put-call parity links their prices. Its answer points to market supply and demand: stronger…
The document outlines a backward calculation for estimating a company’s earnings from a limited set of financial ratios and working-capital data. Starting with average accounts receivable and the time needed to collect payment, it estimates annual sales…
The document considers position sizing for a hypothetical signal that predicts an index’s direction with a 60% win probability against 40% losses. One answer applies the Kelly criterion to maximize long-run capital growth and gives a fraction of capital to…
The document frames a selection problem in an online game’s item market: prices fall when a double-experience event increases supply, and the trader wants to buy during the event and sell about a month later. The proposed starting point is to compare each…
A swap spread trade pairs a cash bond with an interest rate swap of a matching maturity. The answer describes a convention for a long spread position: hold the bond long and pay fixed in the swap. It notes that traders commonly size the two legs to have…
The document clarifies what it means to complete pricing by integrating a modeled future swap rate. The target is not to integrate the rate merely to recover its current value, which follows from its martingale property under the swap measure. Instead, the…
The document addresses how to identify periods when a portfolio and its benchmark diverge despite having high correlation over a full evaluation period. It offers two exploratory approaches: plot the portfolio-minus-benchmark spread and inspect intervals…
The document considers whether stationary electricity futures prices can be simulated directly from a fitted distribution to estimate value at risk, or whether a multi-step simulation is needed. It distinguishes a one-horizon risk estimate from a…
The document explains how to derive daily stock returns relative to the Fama-French three-factor model. The question asks whether regression residuals represent daily outperformance, or whether one should subtract factor contributions, weighted by estimated…
The document explains how to choose a discount curve for Black–Scholes option valuation and how to turn quoted market rates into continuously compounded rates for different maturities. It describes building a money-market curve from short-term interbank…
The document describes approaches to calculating the discount margin of a floating-rate bond with QuantLib. The initial method builds a spreaded forward curve whose spread is controlled by an observable quote, then uses a one-dimensional numerical solver to…
The document raises a portfolio optimization issue: a turnover constraint with a target of zero appears not to preserve user-specified starting weights. In the example, the author sets four initial asset weights, applies box and return and risk objectives,…
The document discusses ways to reduce runtime when calibrating a Heston model with Monte Carlo simulations in MATLAB. The author reports using a four-core computer, 10,000 scenarios, 1,000 time steps, and `fminsearch`, with a run taking roughly half an hour…
The document considers how to combine coefficient arrays from repeated wavelet decompositions of a time series. The stated aim is to represent the frequency component while leaving residual noise with the smallest standard deviation. The question notes that…
The document explains why Level II equity market data does not have one universal update schedule. The cadence depends on the exchange and the particular data product. Some feeds publish aggregated book information on a fixed interval, while many products…
The document addresses a confusion in binomial pricing: a put’s value at an intermediate node can exceed the discounted value of continuing to the next step, making early exercise optimal. It distinguishes the put’s intrinsic value at that node from the…
The document explains why integrating a Wiener process over time does not produce zero, even though a naive sum of variances for partition terms may appear to vanish. The error is treating the sampled process values as independent: Brownian motion at…
The document asks how to convert an empirically estimated monthly expected shortfall into an annual figure. Its example estimates a lower-tail expected shortfall by averaging the worst observations in a monthly return sample, then considers two possible…
The discussion examines how to derive an approximation for an option’s gamma from values at an underlying price above and below the current price. The original question substitutes finite-difference estimates of delta into a difference quotient and obtains…
The document compares an exact relationship between real, nominal, and inflation rates with the familiar approximation that the real rate equals the nominal rate minus inflation. It asks how these formulas relate to a bond valuation example involving a real…
The discussion asks how to choose the number of historical candles used to estimate a spread z-score in a crypto perpetual swap pairs strategy. The question notes that different pairs appear to perform best with different window lengths in both backtests and…
The answers map fixed-income reading choices to different levels and goals. For an accessible treatment that connects theory with trading practice, they recommend Bruce Tuckman’s Fixed Income Securities; Pietro Veronesi’s text offers broader valuation and…
The discussion explains how to include control variables in both the conditional mean and conditional variance of a GARCH model using the rugarch package in R. The example specifies one external regressor for the mean equation and another for the variance…
The discussion asks whether a manager’s Sharpe ratio should use the risk known when an investment was first made, rather than risk measured over its full return history. The answer reframes this as a question about choosing the lookback horizon for…