Recent Questions - Quantitative Finance Stack Exchange

I'm trying to find the historical data for 3 month or 6 month lows. Thinkorswim has it (NYLO3M) and barcharts.com has it (M3LN) but they don't match...and thinkorswim only goes back to 2012. Does anyone know of another source where I could get this data?

My question is simple, consider a European call with payoff max(S_T-K, 0), Let's suppose that the underlying stock follows a binomial tree with up and down factors I know as we take n goes to infinity that the stock is log-normally distributed at time t=T (I know how to derive it). The idea is to derive the B-S-M pricing formula as the expected value of the present value of max(S_t-K, 0) using t…

I've been modelling the relationship between government debt auction calendars and implied volatility surfaces in emerging market contexts — specifically whether φ (sovereign refinancing pressure) and λ (liquidity stress) create predictable, calendar-driven dislocations that standard models like Heston and Bates don't capture. The intuition: retail-dominated EM options markets systematically unde…

The first step in the Black-Litterman method is to find the "implied market returns" (the prior). Usually this is calculated as: $\Pi = \lambda \Sigma w$ , where $\Pi$ is the vector of returns "implied by the market", $w$ is the vector of market weights (each element = security market cap / total market cap), $\Sigma$ is the covariance matrix, $\lambda$ is the market risk aversion (a constant). I…

IM a student in 3rd year of Engg. want to make career in quant finance hence seek small guidance of how to start.. hope experienced folk answers

Cover's universal portfolio maximizes the wealth growth rate Markowitz's mean-variance model minimizes portfolio variance Both allocate assets based on historical returns. How do these two models perform against one another (assuming for Markowitz we use the global minimum variance portfolio by default). How does the universal portfolio compare against the equally-weighted portfolio that is known…

I am a bit confused about the martingale property of the CEV model. Given $dS(t)=σS(t)^βdW(t)$ , is $S$ a martingale for values of $β<1$ ?

i'm facing a new and interesting task: We are calculating a time series of (hypothetical) behavioral portfolios, for which i need a few parameters to calculate the portfolio's weights in each asset. I'm using an observed portfolio as starting point, from which i need to extract the implied utility parameters (in the case at hand the CPT utility as seen in my screeenshot). My idea is to find the p…

I am new to stochastic calculus. I would like to compute the closed-form solution for $$ \int_0^t \exp \left( \alpha s - \sigma W_s \right) \; {\rm d}s \tag{1}$$ $$ \int_0^t \exp \left( \alpha s - \sigma W_s \right) \; {\rm d} W_s \tag{2} $$ which I encountered when trying to solve the following stochastic differential equation (SDE) $$ dX_t = \theta(\mu - X_t)\; dt + \sigma X_t \; dW_t $$ How to…

How to use interest rate or base rate to assess weather option premium is overpriced or low or at par. Or any other method to get to know without using any financial model

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!

I am trying to understand the intuitive reasoning for why volatility is more for deep OTM/ITM put/call then ATM..(why Simles for equity) Why ATM will not have more volatility as deep OTM/ITM option will be less likely to be exercised.. Thanks for the help!!

On Polymarket, there's a market for GDP growth in 2026. There are six mutually exclusive intervals (It states that a value exactly on the border will go to the higher interval.). The odds for these intervals sum to a number much higher than 100%. At time of writing 153%, and it was 180% earlier today. The obvious thing to do is of course to simply buy the "no" on each interval until the probabili…

Using the following Python code I am setting USD LIBOR Swap quotes. I found that by default settlementdays uses whatever is associated with the Index (in C++: if (settlementDays_==Null<Natural>()) settlementDays_ = iborIndex->fixingDays(); ). If I wanted to explicitly set settlementDays = 0 , how can I do that? I tried just use settlementDays = 0 , but the code does not seem to like named argumen…

I want to ask a question about the answer provided here: https://quant.stackexchange.com/a/35211/61083 . I'm wondering if there is mathematical proof as to why it is working. Meaning if I reprice a vanilla option of strike K, with a stripe of vanillas of strikes ranging from K1 to KN why the gamma would be capped when the option is ATM and close to expiry and not explode.

I was able to obtain some tick data on a particular asset and I wanted to calculate the daily realized variance of the asset. After browsing through a few threads here, it seems the formula to calculate daily realized variance is simply (assuming you have constant time intervals): Where R^2 is the squared log returns from the constant time interval t , with a total of m time intervals during the …

The internal rate of return (IRR) is usually defined as the rate that sets the net present value of a sequence of cash flows to zero, and it is often described as a “discount rate.” I would like to ask about IRR from a different angle: interpreting it as the yield earned by money while it is actually tied up in an investment. Under this interpretation, money earns a constant yield only while it r…

A pair of stock that I have been trading has a negative cointegration coefficient (Beta) that is statistically significant. When i want to long a spread, according to the spread equation below, I should long both stockA and stockB (vice versa for short spread). This pair has strong positive correlations that is statistically significant as well. The spread is stationary and hurst exponent is < 0.…

Info on Risk Reversals for context In the FX vanilla options market buying risk reversal involves selling a lower strike put and buying a higher strike call. The price of such a structure is a volatility spread . Thus, if we assume the existence of a delta-volatility smile function , which has the appropriate abilities to convert deltas to strikes and vice versa then one can easily use that Smile…

I'm currently studying a simple market model with an asset $S$ whose price follows a geometric Brownian motion ( $dS_t=S_t(μdt+σdW_t)$ ) and a risk-free asset $B$ ( $dB_t=B_trdt$ ) over a finite horizon $T$ . I'm trying to understand the impact of illiquidity on the set of Equivalent Martingale Measures (EMMs). In my model, illiquidity is characterized by a constraint on the set of admissible str…