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Top Questions

0 votes
0 answers
16 views

Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?

0 votes
1 answer
18 views

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

1 vote
2 answers
53 views

QuantLib Python - Discount Factor Interpolation within curve nodes

0 votes
1 answer
49 views

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

0 votes
1 answer
73 views

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

0 votes
0 answers
33 views

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

1 vote
0 answers
32 views

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

0 votes
1 answer
91 views

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

0 votes
2 answers
54 views

Difference in interpretation between credit ratings from different agencies

0 votes
0 answers
23 views

Downloading historic yield curve data from bloomberg [closed]

0 votes
1 answer
52 views

Neural network time series prediction tool [closed]

0 votes
0 answers
20 views

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

0 votes
0 answers
38 views

Ito Process: How to calculate expected return?

0 votes
1 answer
113 views
+50

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

0 votes
1 answer
53 views

Pricing look-back option

1 vote
3 answers
250 views

Floor vs Receiver Swaption with Equal Strike

1 vote
0 answers
21 views

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

0 votes
0 answers
22 views

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

1 vote
1 answer
31 views

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

0 votes
0 answers
18 views

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

1 vote
1 answer
49 views

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

2 votes
1 answer
69 views

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

1 vote
0 answers
83 views

Portfolio construction in the real world [closed]

0 votes
0 answers
15 views

Price spread or ratio for mean reversion pair trading

0 votes
0 answers
20 views

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

0 votes
3 answers
100 views

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

1 vote
0 answers
40 views

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

0 votes
0 answers
14 views

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

0 votes
0 answers
108 views

What is the correct procedure for discounting risky cash flows?

1 vote
1 answer
13 views

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

0 votes
0 answers
40 views

Constraints in a Mean-Variance Optimization Case

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0 answers
30 views

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

0 votes
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?

0 votes
0 answers
61 views

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

1 vote
1 answer
180 views

Why stock beta is not equal to its index weight?

0 votes
1 answer
55 views

Latency (market updates) and link to market efficiency

0 votes
0 answers
50 views

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

-2 votes
0 answers
39 views

Calibration of Heston model In Python [closed]

0 votes
1 answer
92 views

Senior Preferred vs Senior Unsecured Bonds

0 votes
1 answer
90 views

Risk-neutral option pricing under distribution assumption

0 votes
0 answers
125 views

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

3 votes
2 answers
395 views

Determining bet sizes given odds

0 votes
0 answers
21 views

Instantaneous forward rate function to use in HJM framework

0 votes
0 answers
55 views

volatility surface interpolation across expiry

0 votes
0 answers
22 views
+50

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

0 votes
0 answers
49 views

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

0 votes
0 answers
75 views

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

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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