Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Pricing an American call under the CGMY model

I am pricing an American call under the CGMY model ($0 < Y < 1$) with strike $K$ at grid point $(x_i,\tau_j)$ where $x_i=x_{min}+i\,\Delta x $ for $i=0,1,...N$ and $\Delta ...

american-options cgmy-model  
asked by Behrouz Maleki 7 votes

Reflection Principle

Let $(\Omega,\mathcal{F},P)$ be a probability space and $\{W_t ∶ t ≥ 0\}$ be a standard Wiener process. By setting $\tau$ as a stopping time and defining \begin{align} ...

stochastic-processes wiener  
asked by John kent 6 votes
answered by Behrouz Maleki 2 votes

Are there references about liquidation, transaction, market impact costs in portfolio optimization

I am looking for some references treating of what I would call liquidation cost market impact cost transaction cost(*) in the usual "portfolio optimization problem under linear constraints". Let ...

portfolio-management optimization portfolio-optimization market-microstructure  
asked by statquant 6 votes

If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?

equities trading exchange  
asked by Marina Dunst 6 votes
answered by vonjd 3 votes

Boundary Condition for Convertible Bond under Two-factor Model Interest Rate

I want to find Boundary conditions for Convertible Bond under Two-factor Model Interest Rate.The portfolio contains stock where stochastic differential equation for the stock price is \begin{align} ...

options interest-rates bond  
asked by Joe fritz 5 votes
answered by Behrouz Maleki 3 votes

good R package for vectorized option pricing

I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that? As noted by @Richard, I could use lapply, ...

options option-pricing black-scholes r black76  
asked by RockScience 4 votes
answered by RockScience 3 votes

Extended CIR and discretization

Did someone know how to discretize this process efficiently : $dX(t) = \kappa [\theta(t)-X(t)]dt + \sigma \sqrt{X(t)}dW(t)$ I am looking for something more sophisticated than the trivial Euler ...

stochastic-processes simulations hullwhite  
asked by Gauss8 4 votes
answered by Behrouz Maleki 7 votes

Greatest hits from previous weeks:

Kalman Filter Equity Example

I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?

statistics r quants kalman  
asked by Add 1 vote
answered by Andrew 3 votes

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 5 votes
answered by Jase 7 votes

Can you answer these?

The difference in sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model.

The question is that I want to know whether there is difference in the applying of sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model. In the ...

asked by Fly_back 1 vote

Fitting High Frequency Indicators

I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ...

optimization high-frequency modeling  
asked by algotr 2 votes

conferences for credit portfolio managers

What are worth conferences for credit portfolio managers? I appreciate your recommendations! PS:I am aware that this question is not the typical quant.SE question, BUT I couldn`t find reliable ...

risk portfolio-management risk-management credit-risk soft-question  
asked by Kare 2 votes
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