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by amit7ul
June 7th, 2012, 6:56 am
Forum: Numerical Methods Forum
Topic: Covariance Formula
Replies: 1
Views: 13478

Covariance Formula

COVAR(x,y) = E[(x-m(x)).(y-my))] = E[x.y] - E[m(x).y] - E[x.m(y)] + E[m(x).m(y)] = what you asked (as constants can be taken out of expectation)futureoptions, by asking really basic questions you are wasting your currentoptions...
by amit7ul
June 7th, 2012, 6:48 am
Forum: Numerical Methods Forum
Topic: Constructing a Covariance Matrix
Replies: 3
Views: 13888

Constructing a Covariance Matrix

<t>convert price series into series of log returns for each of the N stocks ( you will have N series, each of 249 elements)..suppose A1:A249 has log returns of stock 1 and B1:B249 of stock 2 and so on. Then N by N covariance matrix has these entries(1,1) = COVAR(A1:A249,A1:A249)(2,1) = COVAR(B1:B249...
by amit7ul
October 10th, 2011, 11:26 am
Forum: Trading Forum
Topic: can this be done in markets
Replies: 3
Views: 18043

can this be done in markets

he could hedge to avoid that loss(and dishonesty)...was he running it naked till spot reached 99.9
by amit7ul
September 12th, 2011, 2:03 pm
Forum: Student Forum
Topic: Cap/floor parity for in arrears products
Replies: 2
Views: 82600

Cap/floor parity for in arrears products

just write the payoffs and you would know...for vanilla PCP holds: max[L-k,0] - max[k-L,0] = L-kfor in-arrears caplet-floorlet, the LHS is max(0,quadratic function of L).... so
by amit7ul
June 17th, 2011, 11:01 am
Forum: Technical Forum
Topic: European Digital with Two Valuation Date
Replies: 8
Views: 20261

European Digital with Two Valuation Date

this sounds like a dual digital which is an option that pays if (stock1>strike1 AND stock2>strike2)under BS it is priced using bivariate gaussian, i'd use the similarity of this option with dual digital with correlation=Sqrt(T1/T2)
by amit7ul
May 12th, 2011, 6:31 am
Forum: Brainteaser Forum
Topic: A Bug's Life
Replies: 8
Views: 26413

A Bug's Life

<t>A thirsty bug finds a pool of water at the centre of a circular island(of radius 1.5). After drinking from pool, it realizes that water is poisonous and to nullify theimpact of poison it must drink sea water(ya Bug scores high in geography and chemistry). To have sea water, the bug starts walking...
by amit7ul
May 3rd, 2011, 11:07 am
Forum: Trading Forum
Topic: Structured products -- equity underlyings -- + barriers
Replies: 7
Views: 21130

Structured products -- equity underlyings -- + barriers

<t>American Barrier "continuous" monitoring in FX space means barrier breaching is monitored on a "daily" basis. I guess this comes from the fact that counterparties agree on the source of spot(Reuters/NY/3p.m.) for settlement which is used for monitoring as well.They don't define/agree on all the t...
by amit7ul
March 9th, 2011, 12:07 pm
Forum: Technical Forum
Topic: knock-in knock-out option
Replies: 7
Views: 193648

knock-in knock-out option

and wrong
by amit7ul
February 14th, 2011, 1:10 pm
Forum: Book And Research Paper Forum
Topic: best ebook reader
Replies: 3
Views: 23365

best ebook reader

for PDFs not bought from amazon, one could use the "native PDF support" feature over which amazon has no issues.
by amit7ul
January 28th, 2011, 11:22 am
Forum: Student Forum
Topic: Forward or spot price in d1
Replies: 4
Views: 21444

Forward or spot price in d1

there may be people who would abbreviate spot with 'F' and forward with 'S'. But in my experience till now, these people form a set of measure zero.
by amit7ul
January 10th, 2011, 11:21 am
Forum: Technical Forum
Topic: digital
Replies: 13
Views: 22503

digital

search for margrabe formula for exchange call option with payoff = Max(S1-S2,0) and take the relevant terms from there
by amit7ul
November 1st, 2010, 12:47 pm
Forum: Student Forum
Topic: Finance / econometrics question
Replies: 6
Views: 23246

Finance / econometrics question

i guess the answer to your question is (NormalInverse(0.005), NormalInverse(.995))
by amit7ul
November 1st, 2010, 11:24 am
Forum: Student Forum
Topic: Heston's stochastic volatility model
Replies: 20
Views: 39952

Heston's stochastic volatility model

it looks like a case one or more of following1. overparameterization, when 2-3 parameters are enough, one is using 5 parameters to define skew at a given expiry2. parameterization such that parameters are more intuitive, polynomial fit isn't intuitive, heston parameters are
by amit7ul
October 7th, 2010, 8:40 am
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 27660

Understanding Volatility

Antonio,"From financial theory, there is only one good (i.e. from which you can not construct any arbitrage) interoplation curve."what does "one good" imply in above statement ?
by amit7ul
August 9th, 2010, 8:36 am
Forum: Student Forum
Topic: I got this question
Replies: 3
Views: 24798

I got this question

y=w^nuse ito's lemma to get dy=(something).dt + ...show something=0 to prove y is/isn't a driftless process
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