Quantitative Finance

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Awarded 5479 times.
Emanuel Derman Volatility Approximation [closed]
Awarded 31 mins ago
Quantlib OIS USD discount rates don't match Bloomberg discount rates
Awarded 2 hours ago
Does AI-based trading assume efficient market hypothesis?
Awarded 6 hours ago
Interpreting Factor Coefficients for an Emerging Markets Fund against the Market and its Benchmark
Awarded 12 hours ago
Asset pricing based on stochastic inflation discounting (inflation controlled by stochastic state variable)
Awarded 17 hours ago
(post deleted or otherwise unavailable)
Awarded 19 hours ago
Portfolio Statistic Calculations [closed]
Awarded yesterday
Market make when the orderbook has very few orders/volume in it? (price is stable at $10)
Awarded yesterday
Conic form of maximizing Sharpe ratio with long-short constraints
Awarded 2 days ago
Help me understand super replicating portfolio
Awarded Apr 15 at 10:11
Do perpetual futures have initial and variation margins?
Awarded Apr 13 at 22:05
How to prove the inequality for the standard deviation of a linear combination of two random variables
Awarded Apr 13 at 10:55
Barrier Puts Pricing (down-and-in put)
Awarded Apr 12 at 22:00
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Awarded Apr 12 at 16:56
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Awarded Apr 11 at 16:47
Heston Model Sensitivity Qualitative Property
Awarded Apr 11 at 7:07
When to use SOFR strip VS Eris interest rate swap, what is the difference?
Awarded Apr 10 at 18:28
Adjusting for variance bias when using overlapping data
Awarded Apr 9 at 19:35
Purpose of Vega Hedging
Awarded Apr 7 at 22:05
Optimized Method to Calc Real Rates of Return From Monthly Nominal Rates
Awarded Apr 7 at 20:11
(post deleted or otherwise unavailable)
Awarded Apr 7 at 18:21
(post deleted or otherwise unavailable)
Awarded Apr 5 at 18:31
Simulating the Term Structure of Interest Rates in the CIR model
Awarded Apr 5 at 17:46
Hull-White Matlab code
Awarded Apr 4 at 9:41
Interpretation of SMB factor loading
Awarded Apr 3 at 13:27
If someone is comfortable with 100% stocks, why shouldn't they just build a stock/bond portfolio and lever it to match the volatility of 100% stocks?
Awarded Apr 3 at 10:42
Scaled VaR: approximation vs reality
Awarded Apr 2 at 16:42
The continuous-time limit of asset price processes where there is more than one asset
Awarded Apr 1 at 16:15
Market-Making stocks with random inventory exposure
Awarded Apr 1 at 1:06
Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?
Awarded Mar 31 at 22:07
How to prove that the return criteria for adding an investment A to an existing portfolio can be represented using Sharpe Ratio Approach
Awarded Mar 31 at 19:17
Obtain B-S-M from a binomial tree as n goes to infinty using Lebesgue integral
Awarded Mar 31 at 13:28
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Awarded Mar 31 at 2:55
Intergral of Brownian motion w.r.t. Brownian motion
Awarded Mar 29 at 22:39
(post deleted or otherwise unavailable)
Awarded Mar 29 at 19:34
Delta Hedging using another correlated asset
Awarded Mar 27 at 21:51
Independence of log-returns under Heston model
Awarded Mar 26 at 17:05
Pricing a zero coupon callable bond
Awarded Mar 25 at 16:46
GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
Awarded Mar 25 at 15:51
(post deleted or otherwise unavailable)
Awarded Mar 22 at 18:01
Comparing standard error asymptotics of standard deviation and mean absolute deviation estimators
Awarded Mar 22 at 10:34
path dependency and dollar gamma
Awarded Mar 22 at 4:42
How do I calculate the implied dividend yield and/or the forward rate for an equity ETF?
Awarded Mar 21 at 4:20
Black scholes, issues inferring T(time to expiry) andS (underlying price)) from wrds SPX dataset
Awarded Mar 20 at 17:57
Question about marginal risk contribution / portfolio volatility decomposition
Awarded Mar 20 at 11:47
(post deleted or otherwise unavailable)
Awarded Mar 20 at 10:36
QuantLib: Problem with IRS valuation
Awarded Mar 18 at 13:13
Under which conditions the given random process is martingale and under which submartingale?
Awarded Mar 18 at 13:13
Most Accurate Method for Pricing crypto Options
Awarded Mar 17 at 19:25
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Awarded Mar 17 at 17:18
Price Path Dependent Swap
Awarded Mar 16 at 14:46
Fama-French Long-Short portfolios. Is short really necessary? [closed]
Awarded Mar 16 at 2:57
Can MACD with a broad range of parameter combinations beat Buy and Hold under the Efficient Market Hypothesis?
Awarded Mar 15 at 13:25
Par and Zero Coupon Yield Curves
Awarded Mar 12 at 23:01
Understanding Vega calculation in black Scholes model
Awarded Mar 12 at 23:01
Arbitrage opportunities [closed]
Awarded Mar 11 at 18:18
Autocallables - valuation/modelling/booking
Awarded Mar 11 at 16:40
How to prove that a market is incomplete using the concept of EMMs?
Awarded Mar 11 at 6:17
(post deleted or otherwise unavailable)
Awarded Mar 9 at 14:15
Combination of factors
Awarded Mar 9 at 6:22
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