Top Questions

4 votes
2 answers
1k views

Does AI-based trading assume efficient market hypothesis?

11 votes
2 answers
843 views

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

4 votes
2 answers
281 views

Does value of a TRS only involve past price movement and not expected returns?

4 votes
1 answer
710 views

If someone is comfortable with 100% stocks, why shouldn't they just build a stock/bond portfolio and lever it to match the volatility of 100% stocks?

2 votes
1 answer
206 views

When optimizing a portfolio for risk parity, can any portfolio weights turn negative?

1 vote
1 answer
150 views

GBP OIS Curve - Zero Rate Curve Calculation in Quantlib

1 vote
1 answer
244 views

Arbitrage Free Nelson Siegel Model Python

1 vote
1 answer
104 views

Admissible values for non diagonal elements of correlation matrix

0 votes
2 answers
163 views

How to conclude which option is overpriced (by using implied volatility)

3 votes
1 answer
182 views
+50

Help me understand super replicating portfolio

2 votes
1 answer
133 views

Understanding VaR rescaling

0 votes
1 answer
103 views

I-Spread vs G-Spread

4 votes
2 answers
80 views

Interpretation of SMB factor loading

0 votes
2 answers
75 views

How close to the issue date should the "on-the-run" and "first-off-the-run" treasuries be?

1 vote
1 answer
92 views

Is there a "standard" "textbook" model for making re-financing decisions?

1 vote
2 answers
69 views

Bonds in a zero interest rate environment

3 votes
1 answer
143 views

How to estimate Dealers’ Gamma Positioning

0 votes
2 answers
105 views

Shape of Yield curve of ZCB under no-arbitrage

3 votes
1 answer
77 views

TRS and leveraged etf

0 votes
1 answer
112 views

If an option is undervalued, how does shorting a portfolio generate profit?

1 vote
1 answer
64 views

How to calculate CAT-Bond Profit

0 votes
1 answer
82 views

PCA factors not uncorrelated

2 votes
1 answer
79 views

Does PCA for yield curve has any tangible value?

0 votes
2 answers
93 views

Why do ATM options intuitively have higher Time Value (Extrinsic Value) than Out- and In-The-Money options?

0 votes
2 answers
71 views

QuantLib Python: Calculate ZSpread

4 votes
1 answer
71 views

What are the downsides of using Kim's integral equation (1990) to determine the exercise boundary of an American option?

0 votes
1 answer
52 views

Can a Call and a Put with same strike price and expiration date and underlying asset have different implied volatility?

2 votes
0 answers
109 views

Optimal weights in portfolio after rebalancing

2 votes
1 answer
59 views

Quantlib OIS USD discount rates don't match Bloomberg discount rates

-2 votes
1 answer
59 views

Probability Distribution of Stock Returns [closed]

0 votes
2 answers
58 views

US treasuries TRACE

1 vote
1 answer
93 views

How to obtain bivariate regression coefficients from two univariate regression coefficients? [closed]

1 vote
2 answers
68 views

Market-Making stocks with random inventory exposure

1 vote
0 answers
87 views

Functional From to Approximate Volatility Surface

0 votes
1 answer
85 views

Portfolio optimization with Scipy in Python

0 votes
1 answer
84 views

Difference between replicating portfolio and option price

0 votes
1 answer
82 views

How to annualize with different trading days in single portfolio

1 vote
1 answer
81 views

Question about pricing kernel definition in "Quality minus junk" paper

1 vote
0 answers
79 views

Bond basis arbitrage

1 vote
1 answer
60 views

Step by step integration of the Hull-White SDE

1 vote
0 answers
77 views

short-term statistical factor models for equities with different trading hours

0 votes
1 answer
58 views

pricing option with two volatility regimes

-1 votes
1 answer
58 views

Approximate 5y swap rate move in 1 tick move in 5y treasury

0 votes
1 answer
45 views

STIR Topic: How to calculate implied policy rate for next meetings using FRA

0 votes
0 answers
74 views

How to access the Black Sholes Formula through the Distributive Law?

0 votes
1 answer
73 views

Constructing payoff diagram using European calls [closed]

0 votes
0 answers
73 views

Quant Strategies on longer time frames

0 votes
1 answer
34 views

What is the P&L


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