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Why stock beta is not equal to its index weight?

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568 views

American put option. Exercise time is a random variable, calculation of expected payoff

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Ito Process: How to calculate expected return?

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Distribution of this test statistics

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Trader Workstation on Ubuntu cannot be connected to via the API

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Testing one asset pricing model against another a la Cochrane via change in $\hat\alpha' \text{cov}(\hat\alpha,\hat\alpha')^{-1}\hat\alpha$

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Garch Model with Vix as external regressor un dummy rugarch r studio

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

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Testing one asset pricing model against another a la Cochrane: why this works

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Scaling variables (Fraction vs % vs log) when regressing twelve month returns

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forecast using rugarch in r

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

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6 votes
4 answers
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Where can I get historical ticker change database?

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Price spread or ratio for mean reversion pair trading

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Pricing look-back option

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

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

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

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

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

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

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

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0DTE volatility and greeks

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

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What is the correct procedure for discounting risky cash flows?

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1 answer
59 views

QuantLib: Pricing BRL zero coupon swap using relevant attributes in Quantlib

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How to compute the Brazilian Plain vanilla swap using Quantlib?

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Portfolio construction in the real world [closed]

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What will be the payoff equation of a GBPUSD European Exotic option/FX forward with Notional in USD [duplicate]

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3 answers
90 views

Closed form / analytical solution for bespoke (but vanilla) Option

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How can we simulate daily return based on multi-factor model?

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Constraints in a Mean-Variance Optimization Case

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1 answer
93 views

Closed form solution for Mean-Variance optimization without short-selling

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1 vote
3 answers
213 views

Floor vs Receiver Swaption with Equal Strike

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Non-zero real-valued function continuous and piecewise $C^1$ that vanishes outside (0,1) with piecewise Lipschitz derivative

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2 answers
139 views

Testing as in Fama & MacBeth vs. comparing models as in Cochrane's lecture notes

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Richard Hardy
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1 answer
44 views

Tick data-why the ask price and ask volume are 0, but the trade price exists and the trade price is still big? How to understand this?

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quantinho
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1 answer
235 views

Far OTM calculation issue on Bjerksund-Stensland

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Latency (market updates) and link to market efficiency

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Calibration of Heston model In Python [closed]

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Taking a set of normally distributed random variables as the sample space to fitting an exponential distribution

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ak10
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9 votes
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1k views

How we can derive the PIDE of double exponential jump-diffusion model (Kou model)?

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Rodrigo de Azevedo
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1 answer
1k views

Bond convexity Treasuries futures

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Instantaneous forward rate function to use in HJM framework

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Oliver Mohr Bonometti
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3 votes
2 answers
376 views

Determining bet sizes given odds

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1 answer
86 views

Risk-neutral option pricing under distribution assumption

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Kou model — solving PIDE for European and American options in Python

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Senior Preferred vs Senior Unsecured Bonds

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Dimitri Vulis
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