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8
votes
1answer
334 views

Are there any standard MBS coupon stack models?

I need to model MBS coupon stack prices. It would not be difficult to create something from scratch, but I don't want to re-invent the wheel (and explain why I did) if a somewhat standard model ...
5
votes
1answer
181 views

How to scale option pricing components in regard to time

I am looking at closed-form options approximations, in particular the Bjerksund-Stensland model. I have run into a very basic question. How should I scale the input variables in regard to time? My ...
12
votes
3answers
675 views

Discrete-time model: stock dynamics

I am working in the area of probability theory and for a case study I would like to make some calculations in finance. Since I am developing theory for the discrete time, I am interested in models for ...
7
votes
3answers
698 views

Does the gamma function have any application in quantitative finance?

I was looking into the factorial function in an R package called gregmisc and came across the implementation of the gamma function, instead of a recursive or iterative process as I was expecting. The ...
10
votes
2answers
2k views

Is there a standard model for market impact?

Is there a standard model for market impact? I am interested in the case of high-volume equities sold in the US, during market hours, but would be interested in any pointers.