Questions tagged [modeling]
The modeling tag has no usage guidance.
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Modeling compounded RFRs with Vasicek
I’m wondering if simple interest rates models, like Vasicek, could be successfully used for modeling compounded setting-in-arrears rates (compounded SOFR for example)?
As far as I see I can do that ...
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Predatory trading as a game of size
Predatory trading has been addressed in literature frequently. I have read for example Brunnemeier (2005) but that paper mostly addresses predatory trading surrounding a preexisting distressed trader. ...
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Question about the "VolZScore" in this article about applying the Boids algorith to equities to find flocking behavior
In this article, "Flocking behavior of US equities":
https://www.cs.dartmouth.edu/~lorenzo/teaching/cs174/Archive/Winter2013/Projects/FinalReportWriteup/ira.r.jenkins.gr/final.html
They use ...
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How to mathematically model Bid and Ask as two separate processes, and combine into a Price process?
Let's say you were modeling bid and ask as two separate processes.
With their own mean and variance. And with the constraint that ask must be greater than or equal to bid.
How would you then ...
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Option pricing model adjustments in practice
I’m trying to understand significant differences in theoretical options pricing data that I‘m seeing. I’m new to this, so I suspect I’m missing something obvious.
Taking a fixed set of inputs 1, when ...
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Preferred Option pricing model [closed]
I am at Uni studying mathematical finance and wanted to know which is most preferred /widely used model by Finance Industry Practitioners from the list below.
Fourier Transform for option pricing
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YUIMA: Drift and diffusion parameters must be different?
I am currently working with the Yuima package and trying the estimate the parameters of a CARMA(p,q) model to real data. Using the eacf function of the TSA package a ARMA (2,1) process is recommended ...
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Simulating the Term Structure of Interest Rates in the CIR model
I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
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Inverse differencing in continuous time
I want to fit a continuous time ARMA (CARMA) model to traffic data $T_t$. After removing trend and seasonality I need first order differencing to obtain stationarity. Then I fit a CARMA model (yuima ...
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Risk aversion and inter dependency in finance
In almost all papers that I read in quantitative finance trying to model a situation where several financial agents interact the distribution of the individual risk aversion is considered as ...
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Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
This question is related to the following questions asked previously, primarily the first:
Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
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How to construct continuous futures contracts with multiple maturities
I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with ...
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Two-period binomial model probability question
I have started to work with given two period binomial model S(0)=100 u=1.25 d=0.8 r=0.05 and the market probability of stock going up each period is p=0.55.
I am trying to calculate two probabilities;
...
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Is the impact of "small" orders on market dynamics more than is commonly assumed?
When modeling the dynamics of a market, a common assumption is that the impact of a "small" (e.g. very low percentage of daily traded volume) order on current and future observations of the ...
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Potential Future Exposure for vanilla swap
I need to calculate the PFE for vanilla swap. I wonder if it makes sense to simulate the MC scenarios with a 1-factor Hull white model. In my opinion, this model only allows parallel curve ...
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