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0 votes
1 answer
29 views

How to compare bank deposit behaviour for different age groups considering you have flow of deposit balances and few other characteristic features?

0 votes
0 answers
13 views

Computing the price of a zero-coupon bond

2 votes
1 answer
184 views

Hedging gamma, theta or other risks

0 votes
0 answers
25 views

What are the assumption in the DTS paper

0 votes
0 answers
18 views

ql.OvernightIndexFutureRateHelper asking for a fixing, but not able to add it

0 votes
0 answers
13 views

Market Data UST

0 votes
1 answer
72 views

Double interpolation continuity

1 vote
0 answers
40 views

How to deal with the deterministic $y$ in the d-dimensional gaussian model

0 votes
1 answer
37 views

swap curve calibration with interpolation using newton-like method

0 votes
1 answer
67 views

Minimum variance hedge ratio for currency hedging

0 votes
0 answers
19 views

Mean-reversion strategy with overnight gaps

0 votes
0 answers
31 views

LMM under risk neutral measure

0 votes
0 answers
25 views

Issues with a time-dependent market price of risk

0 votes
1 answer
188 views

Put-Call Parity; Time Value of Money

3 votes
1 answer
1k views

Dupire (Local Vol with Imp Vol)

0 votes
0 answers
22 views

roll convention on 1 week instrument on LIBOR curve

0 votes
1 answer
35 views

Quantifying Costs/Benefits Of Partial Hedging

0 votes
1 answer
34 views

Regression swap vs bond future

2 votes
1 answer
66 views

Caplets volatility questions

2 votes
2 answers
499 views

How to account for the credit spread ( e.g. LIBOR + 2%) when using the Multicurve Methodology in valuing a Swap

2 votes
3 answers
2k views

TED Spread Replacement?

0 votes
1 answer
409 views

Understanding Spread, SOFR - US Treasury [duplicate]

-1 votes
1 answer
612 views

Whos OIS rate? Is there only one?

0 votes
1 answer
57 views

What is the timeline for EUR and USD swaps vis-a-vis fixing curves and discount curves?

0 votes
1 answer
123 views

Market data and machine learning

0 votes
0 answers
19 views

How to Compute Returns from Cumulative PnL and Price Data for Portfolio Optimization in Algorithmic Trading?

0 votes
0 answers
13 views

Cs01 computation for TRS with underlying single name bond

0 votes
0 answers
31 views

Volatility Surface Modelling in Python

1 vote
0 answers
33 views

Early exercise with multiple dividends

0 votes
0 answers
304 views

Is there any way to estimate a multivariate GARCH-MIDAS model in R?

0 votes
0 answers
14 views

Time-varying Normal copulas, generating residulas with parameters

0 votes
0 answers
34 views

Arbitrage between one touch option and vanilla option

0 votes
1 answer
100 views

What to predict in delta-gamma hedging?

1 vote
0 answers
103 views

Interpreting parameters on Matlab from Patton's code on time varying copulas

-2 votes
0 answers
34 views

My volatility estimate is off by 30bps. My estimate of VaR is off by 5pts

0 votes
1 answer
103 views

Reconstructing the CRR model knowing put and call prices

0 votes
0 answers
19 views

Approximation of an Autocall (trigger 100%) with ATM options prices

0 votes
0 answers
26 views

For what values of $l$ does there exist a self financing portfolio for the asset $A_t= B_t^l Y_t \mathbb{E}(\frac{A_T}{B_T^l Y_T} \mid \mathcal{F}_t)$

2 votes
0 answers
46 views

Interpolating the volatility cube of European Swaptions

5 votes
8 answers
2k views

Conceptual problem with risk neutrality-What is a 'risk-neutral world', exactly?

0 votes
0 answers
29 views

Option pricing model adjustments in practice

0 votes
1 answer
66 views

Marginal effect of asset in a strategy

3 votes
1 answer
977 views

Getting over bid-ask bounce

3 votes
1 answer
169 views

Understanding the calibration of High-frequency trading in a limit order book

5 votes
1 answer
97 views

High Frequency Market Making When Short Selling Is Prohibited

0 votes
1 answer
91 views

Optimal Multi-Level Quoting for Market Making

0 votes
1 answer
77 views

Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?

0 votes
1 answer
82 views

Stock split and fractional shares


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