- August 14th, 2020, 5:15 pm
- Forum: General Forum
- Topic: Correlation of A-B and C-D kind of assets
- Replies:
**2** - Views:
**826**

This is a real life scenario where in the market I am able to transact only A - B and C - D, even though time series of A, B, C and D are published separately. How do I find the correlation of A - B and C - D. To understand the order of magnitude, A, B, C, D are order of $50 while A - B, and C - D a...

- May 18th, 2020, 3:35 pm
- Forum: General Forum
- Topic: Returns and volatility of spread portfolio (pairs trade)
- Replies:
**1** - Views:
**2631**

This is a real life trade situation where there is no margin requirements due to bilateral nature of the deal. At all periods in time, I have to two assets A, B in my portfolio of quantity 1 each. Day 1: Stock A is at $100 Stock B is at $101 SpreadAB = $1 Day 2: Stock A is at $110 Stock B is at $101...

- February 19th, 2020, 11:17 pm
- Forum: General Forum
- Topic: Proof for square-root-of-time rule
- Replies:
**4** - Views:
**3886**

Is there a proof for square root of time scaling for variance ? i.e. if I have a daily stock price time series, I get the daily standard deviation by taking standard deviation of the price returns. Now to annualize it we multiply by sqrt(365) or sqrt(252). But what is the proof for this? Edit: Is th...

- February 19th, 2020, 11:04 pm
- Forum: General Forum
- Topic: Creating volatility term structure
- Replies:
**2** - Views:
**3695**

I am trying to understand how to create volatility term structure if I know volatility at certain point in time. I have only 1 known volatility of 40% exactly 90 days from now. How do I create an equivalent volatility for 120 days, 180 days, 200 days, etc. Is there a more rigorous way than to use s...

- February 11th, 2020, 9:28 am
- Forum: General Forum
- Topic: Code for closed form solution for max(S1-S2-K, 0)
- Replies:
**5** - Views:
**3091**

For valuation of max(S1 - S2 - K, 0) when K is much larger than 0; I came across this paper (page 17-18): http://www.cs.toronto.edu/pub/reports/na/ccc/ywchen-18-msc.pdf I tried looking up Matlab or Python codes for this option valuation but I didn't find one. I don't want to recreate the wheel if al...

- November 13th, 2019, 2:43 pm
- Forum: General Forum
- Topic: Historical Implied Vol vs Standard Deviation for Monte Carlo Price Simulation
- Replies:
**1** - Views:
**2019**

I have a daily time series data which looks something like the following: Date , Price , PriceReturn, Premim (strike = 30.13); max(Price - 30.13, 0) 1/1/2019 , 41 , ,10.8 1/2/2019 , 27 , -0.34 , 0 1/3/2019 , 33 , 0.222 , 2.86 1/4/2019 , 24 , -0.27 , 0 1/5/2019 , 28 , 0.166 , 0 1/6/2019 , 11 , -0.60 ...

- November 7th, 2019, 2:03 pm
- Forum: General Forum
- Topic: Volatility of B from correlation with another asset A
- Replies:
**3** - Views:
**2271**

I have two assets A and B.

I know the correlation of A and B and I also know the volatility of A.

Is it possible to generate the volatility of B? If not, why?

I know the correlation of A and B and I also know the volatility of A.

Is it possible to generate the volatility of B? If not, why?

- September 20th, 2018, 3:30 pm
- Forum: Politics Forum
- Topic: Trump -- the last 100 days
- Replies:
**4471** - Views:
**257700**

If Prof. Cindy gets her way, from now on anyone can accuse any other person of an assault and ask for FBI investigation without feeling the need to explain to public why public resource like FBI should be used to trace their claims which has had no obvious evidence. Why stop at high school, why not...

- September 20th, 2018, 2:45 pm
- Forum: Technical Forum
- Topic: Value of option on stationary price process
- Replies:
**4** - Views:
**1314**

I am dealing with a price process which is already stationary. Is there a meaning to value of call option for this price process ?

Edit: I have checked the stationarity through ADF test. My question is more on the order of how to value option on stationary process.

Edit: I have checked the stationarity through ADF test. My question is more on the order of how to value option on stationary process.

- August 7th, 2018, 9:54 pm
- Forum: Student Forum
- Topic: Correlated random numbers using cholesky vs multivariate normal random number
- Replies:
**2** - Views:
**1583**

- March 6th, 2018, 10:18 pm
- Forum: Technical Forum
- Topic: Correlation among contracts in forwards curve
- Replies:
**1** - Views:
**1164**

I am trying to understand what is the best way to find correlation between the contracts composing the forward curve. Is it just lining up the front month, front +1 month contracts and so on, calculating their price returns and finding the correlation of returns or is there more to it?

- January 17th, 2018, 1:56 pm
- Forum: Technical Forum
- Topic: Portfolio of long and short stocks vs stock-spread
- Replies:
**5** - Views:
**1218**

Empirically your answer sounds good but I am looking for a mathematical reason.

- January 10th, 2018, 6:04 pm
- Forum: Technical Forum
- Topic: Portfolio of long and short stocks vs stock-spread
- Replies:
**5** - Views:
**1218**

I have two stocks 1 unit of A (long) and 1 unit of B (short) and I am able to buy and sell them simultaneously and I have daily prices for them also. I create the portfolio on day 1. On day 2, I want to keep the portfolio as invariant as possible by buying/selling SPY. Hence, I can do regression as...

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