Quantitative Finance Weekly Newsletter - Thursday, June 30, 2016

Quantitative Finance newsletter

Top new questions this week: Compare two time series with different frequencies Lets say I have two time series $X_t$ and $Y_{t,q}$. As an examples, lets say $X_t$ is a series that measures year over year changes in the level of output of a good (say number of widgets). So $X_t = ... time-series statistics estimation   asked by qwer 4 votes answered by Owe Jessen 0 votes How to price this basket option? Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ... option-pricing risk-neutral-measure copula basket moments   asked by smw1991 3 votes answered by Quantuple 2 votes GARCH variance vs standard deviation for volatility in my series of questions related to GARCH and volatility I finally think I've got a decent grasp on it. You guys have been great help clearing up my questions for me. My next question is just a ... volatility garch variance   asked by rec 3 votes answered by Quantuple 3 votes Expected option return in MATLAB The expected return of an option is given by its expected payoff under $P$ over its market price under $Q$. For the Black-Scholes model, expected call option return is given as (see here): $$ ... options option-pricing black-scholes matlab expected-return   asked by emcor 3 votes answered by Quantuple 4 votes Option price derivation with these dynamics If my underlying follows a dynamics of the form \begin{align*} dF(t,T)/F(t,T)=\sigma_1(t,T)dW_1(t)+\sigma_2(t,T)dW_2(t), \end{align*} where $\sigma_1(t,T)=h_1e^{-\lambda(T-t)}+h_0$, and ... stochastic-calculus   asked by snowave 3 votes answered by Gordon 3 votes How to replicate a correlation swap using only vanilla options and underlying Assume I have two assets A and B that are positively correlated most of the time. I'm trading a strategy based on this correlation. Is there a way to protect myself in the event that the correlation ... options correlation replication   asked by zuhao 2 votes answered by dm63 2 votes Expected number of days inside a corridor Is there a simple (ish) approximation for the expected number of steps a random walk is within a set of bounds over a given time period? - in particular if i presume log normal and constant vol. If i ... monte-carlo random-walk random-variables   asked by will 2 votes answered by Gordon 2 votes Greatest hits from previous weeks: Is the Interactive Brokers API suitable for hft? By HFT here I mean anything with holding period less than 5 to 10 minutes. Any empirical/anecdotal evidence of using it successfully on even higher frequencies? programming high-frequency interactive-brokers   asked by user40 16 votes answered by Pete 14 votes How to numerically obtain delta? The delta in option pricing, also called the hedge ratio, is expressed as the sensitivity of the option price to the underlying price change. The analytical solution for the most common option ... option-pricing greeks numerical-methods delta-hedging   asked by JohnAndrews 7 votes answered by vonjd 9 votes Can you answer these? S0602 - whether to report Quantity (C0130) or Par Amount (C0140) for Money Market Funds? We have several positions in a money market fund (CIC IE43) to report in the S.06.02 QRT, and we receive source data for both Quantity & Par Amount. These are actually identical. Which one ... solvency-ii   asked by RawFocus 1 vote Example Scalar Model Extended Kalman Filter I have a simple question. I think not a question is, is a request. This month I have been studying how to understand and implement the Kalman filter algorithm for simple models such as the local ... time-series kalman   asked by Diogo Bastos 1 vote Reference Request: Trader Replication I am looking for any reference where the following problem was addressed: given the list of trades of a trader teach an AI to replicate that trader's strategy. There are several well-known results ... replication   asked by vkrouglov 1 vote

Subscribe to more Stack Exchange newsletters Unsubscribe from this newsletter or change your email preferences by visiting your subscriptions page on stackexchange.com. Questions? Comments? Let us know on our feedback site. If you no longer want to receive mail from Stack Exchange, unsubscribe from all stackexchange.com emails. Stack Exchange, Inc. 110 William St, 28th Floor, NY NY 10038 <3