#AceNewsDigest – Question and Answers – Subject: Quantitative Finance
These are question people ask every week about finance and the markets, how many can you answer?
Quantitative Finance newsletter
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Top new questions this week:
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In mathematical finance complete markets are very nice. You essential have an unique ELMM (equivalent local martingale measure) $Q$ and you know how that the value $V_t$ at time $t$ of a contingent …
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My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the …
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My question is a bit philosophical. As a risk manager I often have to tell portfolio managers to reduce risk (e.g. due to VaR limits or exposure limits). Then usually the discussion arises that if …
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A trading system has $n$ colocated uplinks to TCP order entry gateways $g_1, \dots, g_n$ on a given exchange. Each gateway $g_i$ has a different order entry delay function $d_i(t)$ as a function of …
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I know long duration bonds, on a a single bond basis, exhibit convexity however do treasury futures prices and the 10 yr yield exhibit the same property? Below is a plot of continious ten year …
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I have a question about the Pricing of a Forward Contract in "Term-Structure Models: A Graduate Course" by D. Filipovic.
In chapter $8$ he introduce the following (I quote): A forward contract $Y$, …
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Is it possible to synthesize a futures spread option using only the options on the spread’s underlyings? If so, how? If not, is there another way?
As an example, please show me how to synthesize …
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Greatest hits from previous weeks:
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In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that …
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Can you use the variance ratio test to determine whether or not a time series is mean reverting? I’m using the Lo.Mac function in the vrtest library in R.
I’ve used the test to reject geometric …
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Can you answer this?
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Suppose I divide a time series into 10 sequential time windows, where each window contains 1000 data points.
I want to do test 5 different garch models using cross validation.
So for each model, I …
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