Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Why does it take so many lines of code to price even the simplest of options with QuantLib

I have been looking at QuantLib I am trying to figure out why I need to write so much boilerplate code even when pricing the "simplest" of European Options using the analytical Black-Scholes formula ...

options pricing quantlib  
asked by BigLudinski 6 votes
answered by Student T 8 votes

derivation of the hedging error in a black scholes setup

I'm reading the following short paper by Davis. In section 2.6 he wants to derive an expression for the hedging error. Assume we have Black scholes setup: $$ dS_t = S_t(r dt + \sigma dW_t)$$ $$ dB_t ...

black-scholes hedging delta-hedging  
asked by user8 5 votes
answered by AFK 3 votes

When are ES E-mini future options issued?

Since options lose 2/3 of their time value in the second half of their lifespan, it makes sense to be aware of when an option was issued. What are ways of figuring out when ES futures options have ...

options futures spx  
asked by Gascoyne 4 votes
answered by Brian B 1 vote

How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...

fx returns var  
asked by vkrouglov 4 votes
answered by user103929 1 vote

KMV-Merton Probabilties of Default vs Moody's EDF

Moody's used to publish probability of default estimates from their Moody's EDF model, but they have temporarily discontinued it. I understand that the Moody's EDF model is closely based on the Merton ...

probability models default  
asked by varun chandra 4 votes
answered by AfterWorkGuinness 3 votes

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of illiquid securities. It also does not cover over the counter securities. ...

equities order-execution  
asked by Sammy 3 votes
answered by Brumder 0 votes

12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ...

homework rates  
asked by buruzaemon 3 votes
answered by ocstl 2 votes

Greatest hits from previous weeks:

t-statistics for the mean return, using Newey-West standard errors

I have seen that in several papers, where the aim was to evaluate the performance of a certain investment strategy, they use t-statistics to test for significance in the results. However, this seems a ...

backtesting probability performance-evaluation  
asked by Good Guy Mike 4 votes
answered by lemarin 5 votes

How to calculate unlevered beta

I have derived a firm's cost of equity using the WACC formula (see here), which means that the cost of equity has factored in the firms' debt (i.e. levered beta) and now I need to calculate the firm's ...

beta capm  
asked by Ben 1 vote
answered by jeff m 1 vote

Can you answer these?

Are there academic papers on the 'term structure' of adverse selection for futures and options?

By term structure I mean a non-stationarity in the pattern of intraday adverse selection as a given instruments approaches its expiry. Note that I am interested in the adverse selection on the ...

options futures high-frequency market-microstructure  
asked by Kevin Webster 1 vote

What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?

I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...

asked by Ron Steckly 2 votes

Test for difference in security returns before and after financial regulation

I'm going to study the effect of corporate credit rating changes (Moody's) on stock prices before and after a specific financial regulation. So far i have used an event study where i have divided the ...

statistics statistical-finance testing event-study  
asked by Lickt0rn 3 votes
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