# Quantitative Finance newsletter

## Top new questions this week:

### When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?

risk-management market-data

### Min VaR and Min TE as second order cone program

The quadratic optimization (min variance) $$w^{T} \Sigma w \rightarrow \text{min},$$ where $w$ is the vector of portfolio weights and $\Sigma$ is the covariance matrix of asset returns, is a well …

optimization tracking-error portfolio-optimization min-var

### Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition

I have a very large covariance matrix (around 10000x10000) of returns, which is constructed using a sample size of 1000 for 10000 variables. My goal is to perform a (good-looking) Cholesky …

risk risk-management correlation-matrix random-matrix-theory covariance-matrix

### How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly …

volatility estimation kernel

### Forcing price to rise or fall by high volume buying and shorting

Is there an a name for the approach / strategy to artificially move a price either up or down by high volume buying or shorting. ie. Buying a large (say 5%) of a stock very quickly, thus …

volume

### Securitization of a loan portfolio

I am interested in the securitazion process and am looking for useful examples to help me understand how it can be applied in practice. Assuming I have a loan portfolio consisting of secured* and …

hedging loan-portfolio securitization abs structured-product
 asked by Homunculus Reticulli 1 vote

### Solvency II Assets-D1 - aggregation of line items by CIC code

The revised version of Assets D1 (now S.06.02 – List of assets under CP13) requires the following aggregations (page 24): CIC 71 (Cash), only one line per currency is to be reported; CIC 72 …

solvency-ii
 asked by RawFocus 1 vote

## Greatest hits from previous weeks:

### How to calibrate Hull-White from zero curve?

I am interested in calibrating a Hull-White model to the market. I do not, however, have data on anything except the market zero curves, as all derivatives are being traded OTC. My plan is to …

fixed-income calibration hullwhite