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Active 3 Bountied Hot Week Month
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Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?

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oronimbus
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1 answer
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Calculating key dates for a Forward Starting Interest Rate Swap versus a Spot IRS

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1 vote
2 answers
53 views

QuantLib Python - Discount Factor Interpolation within curve nodes

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1 answer
49 views

Any other ways to hedge a bond portfolio against interest rate risk?

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user68819
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1 answer
73 views

How to get the fair value for an option with variable strike?

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33 views

QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification

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Fama-MacBeth regressions to predict stock returns; confusion on which steps to use

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Richard Hardy
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1 answer
91 views

Why do the Greeks not converge to the strike as the volatility tends to zero? [closed]

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2 answers
54 views

Difference in interpretation between credit ratings from different agencies

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Julien Maas
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0 answers
23 views

Downloading historic yield curve data from bloomberg [closed]

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s5s
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1 answer
52 views

Neural network time series prediction tool [closed]

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JamesWuuuu
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0 answers
20 views

FM regressions for size groups when examining a cross section of expected stock returns

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Richard Hardy
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0 answers
38 views

Ito Process: How to calculate expected return?

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1 answer
113 views
+50

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

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T123
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1 answer
53 views

Pricing look-back option

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Kai
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1 vote
3 answers
250 views

Floor vs Receiver Swaption with Equal Strike

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21 views

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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Richard Hardy
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22 views

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

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Julien Maas
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31 views

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

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

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Richard Hardy
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1 answer
49 views

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

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NICOLÁS ZANNI
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2 votes
1 answer
69 views

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

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Xiarpedia
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1 vote
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83 views

Portfolio construction in the real world [closed]

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15 views

Price spread or ratio for mean reversion pair trading

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20 views

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

Richard Hardy's user avatar
Richard Hardy
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3 answers
100 views

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

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40 views

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

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THAT'S MY QUANT MY QUANTITATIV
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14 views

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

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Landscape
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108 views

What is the correct procedure for discounting risky cash flows?

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1 answer
13 views

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

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Richard Hardy
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40 views

Constraints in a Mean-Variance Optimization Case

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30 views

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

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xxxtttsss666
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1 answer
48 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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0 answers
61 views

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

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XY0
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1 vote
1 answer
180 views

Why stock beta is not equal to its index weight?

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Chris Taylor
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1 answer
55 views

Latency (market updates) and link to market efficiency

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quantinho
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50 views

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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-2 votes
0 answers
39 views

Calibration of Heston model In Python [closed]

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Анатолий Клим
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1 answer
92 views

Senior Preferred vs Senior Unsecured Bonds

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Dimitri Vulis
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1 answer
90 views

Risk-neutral option pricing under distribution assumption

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MrLCh
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125 views

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

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pierrot
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3 votes
2 answers
395 views

Determining bet sizes given odds

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Rodrigo de Azevedo
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21 views

Instantaneous forward rate function to use in HJM framework

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Oliver Mohr Bonometti
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0 answers
55 views

volatility surface interpolation across expiry

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MMM
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22 views
+50

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

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Richi Wa
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49 views

Adjusting the p-value of a strategy for number of parameters

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75 views

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

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humanoid
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1 vote
2 answers
77 views

How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?

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