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Quantitative Finance : Recent Questions and Answers

How to optimise Fixed Income portfolio (Yieldbook) based on YTM, duration, rating and exchange rate

I have a fixed income portfolio built up in the Yieldbook and BBG Port.However due to some bad performance of my portfolio compared to the benchmark I would like...

Didier Sornette's Strategy to Exploit Return Correlations

In his book, "Why Stock Markets Crash", Didier Sornette discusses a trading strategy that exploits return correlations.Consider a return $r$ that occurred at time $t$ and a return $r'$ that...

Which Maximum Diversification Approach in MATLAB is correct?

I am currently trying to find the portfolio weights of the Maximum Diversification Portfolio and found two approaches which result in different outcomes. The first one is based on this...

Asked on 11/17/2021 by Dirty Dan

Is there a good guide/mind map for factors of quantitative trading?

I have know there are many factors , they can divied into several groups in my opiniongroup 1 are some factors called P/E , P/B, ROE .... ,...

My question is about credit spreads and the corresponding probability of default (PD).One of the most simple relations between credit spreads and PDs is (see e.g. ch7 in Malz(2011))...

Ratios or combinations of risk measures

In finance, alternative risk measures such as value-at-risk (VaR) and GARCH are introduced as replacements to standard deviation volatility. Is there any application or value where several risk estimators or...

PnL due to model recalibration and its relationship with hedging error

Consider the case where at t=0, I calibrate my model to the market, but at t=1 my model is no longer able to recover the price in the market, so...

Modelling volatility for higher frequency data

I'm doing some academic work on volatility forecasting. I've got 1-minute bar data. It is not clear to me what model is best suited for forecasting volatility when higher frequency...

How do farmers use futures when they are not physically settled

I was wondering how farmers use futures when they have a production ability but cannot sell what they produced ? Is the exchange not used for physically delivering products, then...

Low volatility in factor regression

Let's say we are working with the standard Fama-French 3 factor model and we want to add a low volatility factor. Is it alright to add a low volatility risk...