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Top Questions

0 votes
0 answers
5 views

Does the expected value of a (Breeden Litzenberger) market-implied distribution have to be the current price?

2 votes
1 answer
6k views

how to do interpolation in the term structure of volatility surface?

1 vote
0 answers
26 views

Interpolating implied volatility term structure when IV is sampled at fixed delta points

0 votes
1 answer
71 views

Question on effective days of an exponentially weighted moving average model

0 votes
0 answers
10 views

UK OIS Vs gilt curve

0 votes
0 answers
30 views

Arbitrage example in "When Genius Failed"

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0 answers
9 views

Is "extreme CVaR" (CVaR from extreme value theory) elicitable or conditionally elicitable with some other statistical mapping (like VaR)?

0 votes
1 answer
134 views

How can I optimize a Bond Portfolio in Practice?

2 votes
1 answer
25 views

How do you handle non integer time intervals in Quantlib for options pricing (ie intraday pricing)

0 votes
0 answers
17 views

Why do stock prices typically decline when a company issues bonds? [closed]

5 votes
2 answers
2k views

Stress Testing for VaR

1 vote
2 answers
117 views

How to calculate the yield of a perpetual bond that pays a floating coupon payment?

0 votes
0 answers
9 views

Accrued Interest and Forward Pricing of Bond with Quantlib

0 votes
0 answers
13 views

In Barra , why sum(W_i*F_i)=0 constraint can solve the collinearity between country and industry factor

0 votes
0 answers
9 views

VIX/VSTOXX futures data in quantmod

5 votes
2 answers
495 views

What is the intrinsic value of a stock that doesn't give dividends?

0 votes
0 answers
22 views

What is the difference between Discount Yield and Yield on US Treasury Bills

0 votes
2 answers
161 views

Practically, are the prices of 0-strike European calls and stock identical?

3 votes
1 answer
846 views

Modified duration in multi-currency portfolio

0 votes
0 answers
14 views

Simple DCF model with inflation and taxes - Why do inflation and taxes only matter jointly? [closed]

0 votes
1 answer
31 views

How to prove with put-call parity: return multiplier ratio of ILCD (index linked certificate deposit ) < 1

2 votes
0 answers
29 views

Aggregation of (cross-sectional) Factor model

0 votes
1 answer
45 views

What is the meaning of the following mathematical equations? [closed]

1 vote
0 answers
57 views

Two approaches to optimizing quadratic utility

0 votes
1 answer
148 views

Converting US Treasury CMT to Discount Yields

1 vote
1 answer
72 views

Term Structure Modelling - Why model the state prices and not an asset or rate

0 votes
1 answer
296 views

A decent model to calculate hedges

0 votes
0 answers
35 views

Brokers' treatment of lease repayments [closed]

3 votes
0 answers
270 views

Proving Flow Property of Stochastic Differential Equation

7 votes
1 answer
809 views

compute time from FX forward, how use DEPO rates?

1 vote
3 answers
561 views

Pricing a bond denominated in USD but issued in Europe

31 votes
9 answers
36k views

What is the best data structure/implementation for representing a time series?

1 vote
2 answers
223 views

How can Delta Neutrality profit you?

0 votes
1 answer
29 views

Equity vs Credit Performance [closed]

0 votes
1 answer
93 views

If a security has many options expiring on a day, can you predict its price direction?

0 votes
1 answer
559 views

Historical Simulation of Bond, Stock and Option Portfolio

0 votes
0 answers
40 views

Quantlib issue with BlackVarianceSurface diffusing with the wrong vol when there are either holes or arbitrages in early maturities

2 votes
0 answers
15 views

Exotic options with lookback features [closed]

2 votes
0 answers
127 views

Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

0 votes
0 answers
17 views

Factor construction [closed]

3 votes
1 answer
99 views

Covariance Between Two Frontier Portfolios

1 vote
0 answers
30 views

Mean of diffusion term not zero using NORMINV? [closed]

4 votes
3 answers
4k views

How to price a phoenix and snowball type autocallable options?

0 votes
0 answers
22 views

What are some consumer sentiment models in Finance? [closed]

0 votes
1 answer
94 views

Tesla Inc. Cash Flow Statement

0 votes
1 answer
38 views

Question about 'reversing in' in repo markets [closed]

0 votes
1 answer
58 views

Scaling in and out of a strategy [closed]


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