Quantitative Finance Weekly Newsletter - Thursday, November 27, 2014

Quantitative Finance newsletter

Top new questions this week: Does it make sense to use upward and downward volatility in option pricing? Historically stocks have a higher likelihood to increase in price than to fall in price. As such would it make sense to split a stocks volatility measurement into upward and downward components? For ... options volatility black-scholes stochastic-volatility   asked by Jakobovski 5 votes answered by SRKX 3 votes What are the canonical books for statistics applied to finance? I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics. Now I am working quite a lot with data, and trying ... statistics reference-request   asked by Ulysses 5 votes answered by vonjd 1 vote How to estimate the greeks with a Monte Carlo simulation? I am simulating the path of three indices to price a 1 year basket option. All the indices are domestic, so there is no currency component. At each time step I am using the local volatility ... monte-carlo greeks local-volatility   asked by Karthik Balasubramaniam 4 votes answered by Brian B 1 vote Portfolio VaR with Copula? Let the portfolio be given by: $$X=X_1+X_2$$ $(X_1,X_2)$ are dependent through a Copula function $C(u_1,u_2)$, such that the joint distribution is given by: $$F(x_1,x_2)=C(F(x_1),F(x_2))$$ What is ... copula value-at-risk   asked by emcor 3 votes answered by Ulysses 3 votes Total demand under logit model The setting is simple, i.e. formula for demand of service/product is linear $$ d = \alpha - \beta p $$ where $ \alpha $ is maximum demand, $ \beta $ is some coefficient, and $ p $ is price. There ... pricing market   asked by R.Dj.M 1 vote Black Scholes model: condition of payout function Given: Consider a two-asset, continuous time model (B,S) where $$dB_t = B_t r dt, \quad dS_t = S_t ( \mu dt + \sigma dW_t)$$ Clearly, the martingale deflator is: $$Y_t = e^{(-r - ... black-scholes stochastic-calculus   asked by Richard 1 vote answered by emcor 3 votes How to calculate a forward-starting swap with forward equations? I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ... swaps forward   asked by Katherine99 1 vote Greatest hits from previous weeks: What is the intuition behind cointegration? What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated. Say you need to explain it to an investor ... time-series statistics cointegration intuition   asked by user40 15 votes answered by Shane 21 votes What data sources are available online? What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources? data finance economics   asked by John Smith 130 votes answered by Andy Nguyen 106 votes Can you answer these? Longer term average probabilities of fills at fx ECNs? I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ... trading fx high-frequency market-making   asked by Matt Wolf 1 vote Estimating Number of "Day Trades" from Total Volume of Commodity Futures Contract Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ... futures models commodities volume intraday   asked by Rarw 1 vote Bachelier model: number of stocks in replicating strategy Given: Consider a two-asset, continuous time model (B,S) where \begin{equation} dB_t = B_t r dt, \quad dS_t = \mu dt + \sigma dW_t. \end{equation} The question is: How to show that the number of ... black-scholes stochastic-calculus   asked by Richard 1 vote

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