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The document describes connections between actuarial science and quantitative finance, using insurance portfolios and life insurance contracts as examples. Its central distinction is that actuarial work often estimates future distributions from observed…
The document considers whether an American put calendar spread can have a negative price and examines an attempted no-arbitrage argument based on selling the shorter-maturity put and buying the longer-maturity put at the same strike. The key issue is…
The document outlines a practitioner framework for evaluating alternative data signals when simple relationships may already be widely known. It recommends writing a specific hypothesis and pass/fail criteria before inspecting results, with the decision…
The document discusses how a dealer might quote caps and floors in an emerging market with swaps but no traded interest-rate options. Without option quotes for calibration, the response recommends developing an indicative volatility cube using comparable…
The document proposes an aggressive ETF rotation strategy inspired by dual momentum. Instead of comparing a small set of broad holdings, it would compare ETFs across asset classes, regions, sectors, and leveraged products, then select the strongest performer…
The document examines why robust portfolio allocation can be useful and distinguishes choosing a portfolio for a worst-case market outcome from choosing a portfolio rule that performs well under uncertain parameters. One proposed frequentist framing…
The document asks how to construct term structures for ESTER and SOFR, daily reference rates that do not necessarily have established swap markets. It contrasts the usual curve-building approach with the limited instruments available for these newer…
The document distinguishes spot at-the-money options from at-the-money-forward options in foreign exchange. In the described convention, an ATM option has a strike equal to the current spot rate and its delta is hedged in the spot market. An ATMF option uses…
The document discusses difficulties fitting the Heston stochastic volatility model to vanilla option prices. Parameter dependence and flat regions in the calibration objective can make optimization unstable, especially for mean reversion. It considers…
The document asks whether a quantitative strategy’s useful life can be forecast as returns decay. It distinguishes two possible causes: other traders may discover and arbitrage a strategy, or market conditions may change. The main answer is skeptical:…
The document explains why historical records for some options may appear to end before expiration. In the QQQ example, puts below a particular strike disappear from one vendor’s data after a date, while a nearby strike remains available. The accepted…
The document examines the profit profile of a call writer who holds stock to offset the call’s delta. Because the stock position has no gamma while the short call has negative gamma, the combined portfolio retains negative gamma. The question is whether this…
The discussion considers how to select the orders of an EGARCH model for forecasting volatility associated with S&P 500 option portfolios. It distinguishes choosing a model for in-sample fit from choosing one for predictive performance. AIC, BIC, and…
The document raises a practical calibration question for a one-factor Hull–White interest-rate model used to price a structured note. The example note pays annual coupons based on the positive part of three-month EUR Libor plus a spread, then returns…
The note explains how to value a put whose premium is deferred until exercise. It rejects treating the arrangement as a standard put with a reduced strike, because that changes the payoff: a conventional option buyer can lose the upfront premium even when…
The document distinguishes two sources of bond price change. Pull-to-par is the movement of a bond’s clean price toward face value as maturity approaches, assuming its yield is unchanged. For a zero-coupon bond, the price converges to par as the remaining…
The document explains what the left-hand side and intercept mean in factor regressions, using questions about comparing stocks and choosing a benchmark. An excess return is the difference between two portfolio returns, so a regression can model an asset’s…
The document asks whether a rolling Value at Risk backtest is appropriate for returns from a winner-minus-loser (WML) momentum strategy. The described procedure estimates a mean and variance from a moving historical window, computes a normal VaR threshold,…
The document clarifies terminology in fixed-income return attribution. It considers whether implied forward rates and the market-implied return from forward rates refer to the same expected-return benchmark, and whether realized return can be split into…
The document explains how to price a maturity claim that pays the larger of a deterministic money account and a dividend-paying stock. It decomposes the payoff into the money account plus a call option on the stock, with the money account value at maturity…
The document investigates a claim that portfolio positions proportional to forecast returns maximize an alpha strategy’s information ratio. It relates the question to mean-variance portfolio theory, treating returns relative to a benchmark as analogous to…
The document clarifies how open interest changes when futures positions are opened or closed, including a question framed around crypto exchanges. Open interest counts outstanding contracts, with each contract having both a buyer and a seller. It does not…
The document examines whether investment-grade bonds or junk bonds necessarily have greater duration. It distinguishes measures based on contractual cash flows from effective or risk-adjusted duration, which estimates interest-rate sensitivity using modeled…
The document explains how to add a market-neutrality condition to a long-only, fully invested minimum-variance portfolio in CVXPY. Given a vector of asset betas and portfolio weights, neutrality is imposed by requiring their dot product to equal zero. The…