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1 vote
1 answer
39 views

Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?

6 votes
4 answers
4k views

Where can I get historical ticker change database?

0 votes
0 answers
4 views

Price spread or ratio for mean reversion pair trading

0 votes
1 answer
21 views

Pricing look-back option

3 votes
3 answers
1k views

Valuation of a swap where both parties can cancel (not settle at market) with accrual method instead of present-value?

0 votes
0 answers
5 views

Fuzzy Logic - Smoothing of payoff function: Linear vs. Sigmoid

0 votes
0 answers
17 views
+50

IFRS 9 PiT-PD model when the lagged dependency exceeds one year

0 votes
1 answer
6 views

Does including an additional pricing factor necessarily reduce the pricing errors?

0 votes
0 answers
14 views

Testing one asset pricing model against another a la Cochrane: a counterexample

0 votes
1 answer
75 views

Calculation of break-even correlation for diversification effect in N-assets case?

1 vote
1 answer
16 views

The relationship between no-arbitrage and the law of one price

1 vote
1 answer
36 views

How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?

1 vote
1 answer
130 views
+50

0DTE volatility and greeks

0 votes
0 answers
30 views

When is the Quantlib's C++ to python package faster than just coding natively in python?

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