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0 answers
17 views

PCA risk modelling

0 votes
1 answer
13 views

BSM replication with expiry delta

2 votes
0 answers
42 views

FX risk reversal approximation

1 vote
0 answers
28 views

How to retrieve Yahoo Finance tickers for stocks, given the companies' name

2 votes
1 answer
183 views

Setup for proving equation 3.4 from Grinold

0 votes
1 answer
55 views

Complicated barrier options

1 vote
1 answer
90 views

Pairs trading with 3+ assets

2 votes
1 answer
54 views

How does it help to make callable bonds floating if not called?

0 votes
0 answers
14 views

How to correctly postion size back adjusted 'continuous' data while back testing?

0 votes
0 answers
24 views

Implied Vol under CEV model

0 votes
0 answers
23 views

Portfolio Construction Question [closed]

2 votes
1 answer
81 views

Proof of weights maximizing sharpe of a portfolio

0 votes
0 answers
21 views

OIS ESTR curve Bloomberg / Par Swap curve EUR3M / as of 19.06.2024 [closed]

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0 answers
15 views

Incompatibility between LFM and LSM

1 vote
1 answer
100 views

Arbitrage between implied and realised spot-vol beta

0 votes
0 answers
25 views

Interpretation of internal rate of return (IRR) [closed]

-1 votes
0 answers
79 views

A past exam question on Heston model

0 votes
3 answers
92 views

Python QuantLib datecount ActualActual basis vs Matlab daycount basis

0 votes
0 answers
11 views

Macro Hedging Bond Index Total Returns with IRS to get Excess Return over Swaps

4 votes
1 answer
203 views

Calculating swap rolldown using the RatesLib Python Library

0 votes
0 answers
30 views

After-tax yield to maturity for a discount bond

1 vote
0 answers
41 views

Understanding Order Book Imbalance When a New Queue is Established on Liquid Stocks

1 vote
0 answers
57 views

If a process satisfy the "affine property" is it a Markov processes?

5 votes
0 answers
56 views

Predatory trading as a game of size

1 vote
0 answers
43 views

Modeling compounded RFRs with Vasicek

0 votes
0 answers
53 views

What pricing curve to use for different instruments?

1 vote
1 answer
93 views

Carry Roll Calculation for Interest Rate Swaps in Nordea Note

0 votes
0 answers
58 views

Seemingly under-estimated backtest performance of intraday trading

0 votes
1 answer
67 views

Periodic investments with compound interest: where's the mistake?

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0 answers
39 views

Modified duration with zero-coupon bond yields

-1 votes
0 answers
35 views

Data Analysis Questions for Quant Research Interview [closed]

0 votes
1 answer
65 views

An application of Ito's formula with correlated Brownian increments

0 votes
1 answer
121 views

Ideas behind early exercise of American Option

0 votes
0 answers
32 views

Questions about Building & Optimizing Portfolio with Sharpe Ratio [closed]

3 votes
1 answer
364 views
+50

Geometric Brownian Motion as the limit of a Binomial Tree?

-1 votes
1 answer
73 views

Carry and Roll on Interest rate Swap

0 votes
0 answers
35 views

Scenario | Portfolio optimization

2 votes
1 answer
68 views

Weak Stationarity for Neural Network Input?

0 votes
1 answer
49 views

LOBSTER Execution Price

0 votes
0 answers
60 views

Issue with Volatility Parameter for Geometric Brownian Motion [closed]

3 votes
1 answer
171 views

Do we need a risk premium for the assets in the binomial option pricing model?

0 votes
1 answer
37 views

When using quantlib's swaphelper to build a curve, is the fixing lag considered?

0 votes
1 answer
62 views

Decompose portfolio in factor risk

1 vote
0 answers
57 views

Financial Time-Series: Stochastic or Dynamic?

2 votes
0 answers
59 views
+50

LSV leverage function calibration

0 votes
0 answers
74 views

Corporate finance for mathematicians

0 votes
0 answers
44 views

dynamic hedging Formula

4 votes
2 answers
233 views

A quant job interview question about (toy) futures


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