Unanswered Questions
5,956 questions with no upvoted or accepted answers
38
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0
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How to show that this weak scheme is a cubature scheme?
Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model.
Can anyone familiar with Cubature on ...
30
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0
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684
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Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?
Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent $Q-$ ...
23
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0
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Local Stochastic Volatility - Break even levels
In Chapter 12 of his excellent book Stochastic Volatility Modeling, Lorenzo Bergomi discusses the topic of local-stochastic volatility models (LSV).
As most of you are probably aware of, the idea is ...
22
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0
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944
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Questions on Kelly criterion
I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino).
...
17
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0
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1k
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Markov-Switching Multifractal and FX Rates
Is there a better model than Markov-Switching Multifractal (MSM) for detecting regime shifts in FX rates across multiple time horizons? I am especially interested in the different aspects of the ...
17
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0
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404
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Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.)
In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund managers....
16
votes
1
answer
750
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Heston model reparametrisation
It is well-known that calibrating Heston to the vanilla market is not as easy as it seems: some parameters are "interdependent" and the objective function exhibit plateaus in the parameter space (at ...
15
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0
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390
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Here is an approach for measuring Data Snooping; is it new?
I came up with an approach for measuring data snooping, or overfitting. My question is whether this approach was published and expanded-on already, or is it new?
My approach relies on the observation ...
14
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0
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798
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Optimization procedure for entropy pooling
I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress ...
13
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1
answer
2k
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Risk management tools for long term Gamma/Vega sellers subject to margin calls
TL;DR: if you're a retail investor and you systematically sell long-term vertical spreads while staying Delta-neutral, your main risk comes from Vega and the Gamma of opening gaps that can throw you ...
13
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0
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513
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Jim Gatheral's ansatz
In the Ansatz section of Jim Gatheral's book Volatility Surface (page 32), he assumes $$\mathbb E[x_s|x_T]=x_T\frac{\hat w_s}{\hat w_T}$$
where $\hat w_t:=\int_0^t \hat v_s ds$ is the expected total ...
13
votes
1
answer
986
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Risk-Neutral CAPM
In the paper Measuring Equity Risk with Option-implied Correlations, Buss and Vilkov replace the standard CAPM beta:
$$
\beta_{iM,t}^P=\frac{\sigma_{i,t}^P\sum_{j=1}^N w_j \sigma_{j,t}^P\rho_{ij,t}^P}...
12
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0
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3k
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Volatility-Based Envelopes
I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
11
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0
answers
771
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Block bootstrap to synthesize asset prices
I have a few basic questions on block bootstrapping on a financial time series ('TS').
Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
11
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0
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6k
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Bridgewater's Daily Observations
Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...