Quantitative Finance Weekly Newsletter - Thursday, July 28, 2016

Quantitative Finance newsletter

Top new questions this week: Black Scholes paradox exercise Any idea where lies the problem? Thank you for suggestions. black-scholes   asked by Michael Mark 7 votes answered by Quantuple 5 votes What is implied volatility? I always understood implied volatility as a volatility I need to plug into BS in order to get the market price. My question is if I am using different model, does it mean that implied volatility is ... implied-volatility   asked by Michael Mark 6 votes answered by Gordon 2 votes FX Forward pricing with correlation between FX and Zero-Cupon I would like to extend my question about about FX Forward rates in stochastic interest rate setup: FX forward with stochastic interest rates pricing We consider a FX process $X_t = X_0 \exp( ... fx correlation forward forward-rate   asked by Joe 4 votes Implied Vol in Different Payoffs Let's say I have a black box stock price model I run Monte Carlo on to estimate European call prices. For a given strike $K$ and expiration $T$, I then back out the Black-Scholes implied volatility ... options implied-volatility   asked by bcf 3 votes answered by Quantuple 3 votes Risk Free Rate vs LIBOR Theoretically, in pricing derivatives, most textbooks refer to the risk-free rate. What is obtainable in practice? The risk-free rate or the LIBOR rate? finance   asked by Akinyinka Akintunde 3 votes answered by Student T 2 votes Mix of Arithmetic and Geometric Brownian Motion Talking with some traders the other day, I found out that they were using a pricing model based on a mix between a geometric brownian motion and an arithmetic brownian motion to price certain ... stochastic-processes stochastic-calculus pricing models   asked by Iliana 3 votes answered by Kiwiakos 0 votes Predict the financial markets in the fashion of a video game? DeepMind have demonstrated amazing capabilities of a reinforcement machine learning agent to competently play Atari video games. It is most astounding that that during training nothing more than the ... automated-trading machine-learning   asked by GoFaster 3 votes answered by MJ73550 2 votes Greatest hits from previous weeks: How to fit ARMA+GARCH Model In R? I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ... time-series statistics r   asked by Add 9 votes answered by Jase 12 votes Usage of NoSQL storage in Finance I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ... data database   asked by user697697 25 votes answered by Dirk Eddelbuettel 21 votes Can you answer these? VAR FPCA analysis paper replication I've been trying to replicate the following publication: toronto.edu/sjaimung/papers/VAR-FPCA.pdf but I havent been able to get the same results estimating the $\beta_{k}$ parameters. First, I got ... regression var matlab forward pca   asked by Jose Pedro Melo 1 vote ARIMA prediction for currencies I was browsing TradingEconomics.com and I came across their forecast models which immediately captivated my interest. They describe them as "projected using an autoregressive integrated moving average ... r forecasting arima   asked by Justin 1 vote Calibration: comparing models Exponential Lévy models fall in two main categories: jump diffusion models and infinite activity Lévy models. For my paper, I study jump diffusion models and in particular Merton's model (i.e normall ... modeling calibration   asked by Siron 1 vote

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