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Quantitative Finance : Recent Questions and Answers (Page 12)

Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.

Why is portfolio optimization a convex problem if variance is concave?

Variance is concave, so portfolio risk must be too. The mean-variance model employs quadratic programming to optimize (minimize) portfolio risk. My understanding is that quadratic programming requires a convex...

Asked on 12/04/2020

2 answer

Why do not include loan payments in NPV?

Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost...

Asked on 12/03/2020 by Henrique Ramos

3 answer

What is the cause of this error 'TypeError: Wrong number or type of arguments for overloaded function 'new_HestonModelHelper'?

I'm simulating the option prices every month using the Heston Model. The option contract expires at the of the month and the next option contract start the day after the...

Asked on 11/30/2020 by user324313

1 answer

Understanding what is 'special' about the security market line

I am trying to get my head around the CAPM model and all the intricacies of portfolio management. I have written some code to help me visualise what happens to...

Asked on 11/28/2020 by Andy

2 answer

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?...

Asked on 11/28/2020 by develarist

0 answer

simulate volatility surface

Assuming I have a stochastic volatility model for an asset, if I wanted to use it for pricing I would proceed in the following way:Use Euler discretization to simulate a...

Asked on 11/27/2020 by therealcode

1 answer

Creating daily rebalancing stock portfolios based on analyst recommendations

I am doing research on analyst recommendations on Finnish stock market, using Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns by Barber etc. as reference paper....

Asked on 11/26/2020 by Mr Sandwich

0 answer

How can the increments of a CIR process be derived?

For a CIR process, which has SDE$$dr_t = alpha (mu - r_t) dt + sigma sqrt{r_t} dW_t$$how can I derive the increments over the discrete...

Asked on 11/19/2020 by John Smith

1 answer

Market Impact proportional to the bid-ask spread

Empirical studies have shown that market impact can be linked to the following parameters: $$ mathcal{I}(Q) = kappa . sigma ...

Asked on 11/12/2020 by mbz0

1 answer

Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)

I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the...

Asked on 10/21/2020 by Kiann

1 answer

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