Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Correctly applying GARCH in Python

Problem: Correct usage of GARCH(1,1) Aim of research: Forecasting volatility/variance. Tools used: Python Instrument: SPX (specifically adjusted close prices) Reference material: On Estimation of ...

volatility garch python  
asked by The Laughing Man 4 votes

How to approximate the time to mean reversion for implied volatility

Given an option and its implied volatility, and also the mean value of the implied volatility over the last 30 days, if we find that the current IV is significantly (> 1 std dev.) away from the mean, ...

options implied-volatility mean-reversion  
asked by Victor123 4 votes
answered by vonjd 3 votes

correlation for portfolio of stocks

I have a portfolio of stocks and all I want to do is to make sure that I'm not trading one big position, so I would like to monitor some type of metric that gives me a rough idea of what the overall ...

portfolio-management correlation  
asked by jason_cant_code 3 votes
answered by vonjd 2 votes

Does higher vega imply higher IV and vice versa

If an option A has higher vega than option B, does that also mean that A has a higher IV than B? I understand that by definition, a higher vega means that A's price is more sensitive to its IV than B. ...

option-pricing implied-volatility greeks vega  
asked by Victor123 3 votes
answered by frickskit 3 votes

What is the yield on an infinitely lived ZCB?

I guess the price of a Zero-Coupon Bond with infinite maturity should go to zero, what about its yield? I am asking this because I was dealing with the yield curve and its asymptotic properties when ...

fixed-income yield-curve bond-yields yield  
asked by franic 3 votes
answered by crunch 2 votes

Why an option has sometimes and implied volatility greater than 100%?

Sometimes, in an option chain, the implied volatility of an option is greater than 100% . How is this possible? I mean, it is possible for 100$ stock to increase more than 100%, but not decrease more ...

options implied-volatility  
asked by Victor123 3 votes
answered by AFK 9 votes

Black Scholes: How does it help to transform uncertainty and still not be able to calculate a fair price?

Recapitulating the history of Black-Scholes: Nobody knows the fair price of options. Revolution: BS! You put in all the parameters and get a price -> A Nobel Prize for that one! Wait: Nobody knows ...

option-pricing black-scholes  
asked by vonjd 3 votes
answered by AFK 3 votes

Greatest hits from previous weeks:

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...

programming database  
asked by Fenix Chen 10 votes
answered by mollmerx 9 votes

What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...

data time-series market-data  
asked by dizzy 15 votes
answered by wburzyns 16 votes

Can you answer these?

forward curve and cap/floors in nowadays environment

I'm currently trying to get the implied volatility of a vanilla Euro floor with maturity 1Y with data from bloom. I have the price ( which is not supposed to take into account the first floorlet ...

forward multicurve ois-discounting  
asked by hariboy13 1 vote

Stochastic control (HJB) for wealth process involving stopping times

Given a wealth process that evolves as $$d w_t = r w_t dt + \theta_t ( \sigma dW_t + (\mu-r) dt) - c_t dt.$$ where $\theta_t$ is the worth of holding at time $t$ and $c_t$ is the consumption stream. ...

optimization stochastic-calculus portfolio-optimization  
asked by Richard 1 vote

Is it too important that my residuals be normal? I am Using an ARMA/GARCH model

I am trying to fit an ARMA/GARCH model to a time series. I found that the best candidate is an ARMA(1,0) + GARCH(1,1) with gaussian white noise It has coefficients with p-values near cero and the ...

time-series r garch arma modelling  
asked by Rodrigo Guinea Ordóñez 2 votes
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