Unanswered Questions
6,126 questions with no upvoted or accepted answers
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Utpplan quotation service broadcast
I see that there are multiple ip addresses mentioned here on this website https://www.utpplan.com/DOC/IP_Addresses_for_UTP_Data_Feed_Services.pdf
For example, there is “RP's 207.251.255.42” and then ...
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5
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Expected vs Implied Volatility discussion - Gatheral chapter 3
On page 27-28 of Gatheral's book The Volatility Surface, the Black-Scholes forward implied variance is defined as
$$
\nu_{K,T} (t) = \dfrac{\mathbb{E} \left[\sigma_t^2 S_t^2 \Gamma_{BS}(S_t, \bar{\...
- 1,057
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MAC swap futures
I recently asked a question about SOFR swap futures - unfortunately didn't receive any replies on that, maybe because SOFR is still relatively new.
So I'll try MAC swap futures (https://www.cmegroup....
- 3,203
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Explaination and Reference of Formula for Portfolio Optimization
I stumbled upon Pricing Currency Risks by Chernov and Dahlquist (Jrl Fin, 2023). They state on page 698-699: "Suppose that we have $N$ basis assets with an $N × 1$ vector of excess returns $R^e_{...
- 12k
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Visual way to assess normalisation/prediction of log returns?
Is there a visual way to assess how good is the normalisation/prediction of log returns?
Normalisation (blue line), at time $t$ we predict (with some complex algo) future 1y log return $\log r_{t+365} ...
- 335
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57
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Optimal Delivery Date of Treasury Futures
I have been reading some questions on deciding which is the optimized delivery date for treasury futures recently. And from most sources, the optimal delivery date is said to be based on the carry of ...
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Extracting the correct future settlement data from Bloomberg
I am trying to replicate this paper https://www.bayes.citystgeorges.ac.uk/__data/assets/pdf_file/0017/251702/No.-34-Fuertes_Commodity-Strategies.pdf and I'm having trouble figuring out what data I ...
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133
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Asian vs Vanilla Call
When would an asian call be more expensive than a vanilla call, all things being equal ? Assume fixed strike, arithmetic average.
I thought that it was mainly about forward and volatility term ...
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Why is revenue growth so important of a metric?
Revenue growth is considered important and is frequently mentioned by company executives as a primary goal. As long as it provides an ROI that is adequate, why does it matter whether the company is ...
- 1,675
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Higher expected returns for volatile stocks, historically?
I'm fitting annual arithmetic returns dependent on volatility. The historical data shows that the higher the volatility the higher expected returns.
...
- 335
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Credit Conversion Factor with changing credit limits
What is your go to approach when calculating the CCF at the product level, when accounts withing the products have changing credit limits from the point of observation to the point of default.
The FCA ...
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Cap & Floor pricing using distinct year fractions for floating and fixed rates
The usual Black (lognormal) formula to price IBOR-linked caplets and floorlets (see e.g. Brigo & Mercurio textbook) reads
$$
\textit{cf}(t;T_{i-1},T_i,K,\omega)
= N P_d(t,T_i)\tau(T_{i-1},T_i)
\...
1
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89
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Gamma Exposure Options, is it of any value?
I have recently read the paper "Gamma Exposure (GEX),
Quantifying hedge rebalancing in SPX options" by SqueezeMetrics (2017) and tried to implement it for NSE Nifty50 weekly options.
The ...
- 1,046
3
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72
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SOFR swap futures
A few questions about the price of Eris SOFR swap futures (https://www.cmegroup.com/markets/interest-rates/files/eris-sofr-swap-futures-overview.pdf) as I'm not familiar yet with these instruments.
...
- 3,203
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Questions on Predicion markets and thin markets
I am posting the question below, as a sequel of a previous question that is already posted in here. Thank you in advance.
I have some generic question about prediction markets and thin markets. I see ...
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