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Active 3 Bountied Hot Week Month

2 votes

2 answers

565 views

Delta of Black formula vs numerical

AKdemy

8,143

modified Nov 2 at 19:04

3 votes

2 answers

395 views

Determining bet sizes given odds

Rodrigo de Azevedo

330

modified Nov 27 at 11:53

0 votes

3 answers

299 views

Sticky delta vs sticky strike

nbbo2

10.9k

modified Nov 9 at 17:34

1 vote

1 answer

180 views

Why stock beta is not equal to its index weight?

Chris Taylor

5,891

modified yesterday

1 vote

3 answers

209 views

Market Makers how can they sell an asset they don't have

nbbo2

10.9k

modified Nov 18 at 16:44

1 vote

3 answers

250 views

Floor vs Receiver Swaption with Equal Strike

user35980

1,231

modified yesterday

0 votes

1 answer

105 views

Quantlib FRA and interpolated rate in Swaps vs BBG valuation

David Duarte

5,685

modified Nov 24 at 10:50

1 vote

1 answer

154 views

+50

0DTE volatility and greeks

THAT'S MY QUANT MY QUANTITATIV

151

answered 2 days ago

1 vote

1 answer

173 views

Quantlib - mismatch with BBG Swap

Gloomy

21

modified Nov 8 at 11:37

0 votes

1 answer

131 views

QuantLib: How to price or construct a zero coupon swap using Quantlib

Xiarpedia

101

modified Nov 21 at 21:15

1 vote

1 answer

117 views

If there was a way to back out implied volatility (IV) from a stock, would it be the same as the IV backed out from an option on that same stock?

Mats Lind

1,352

modified Nov 7 at 15:19

-1 votes

1 answer

112 views

Treasury Basis Trade - Real life example?

nbbo2

10.9k

modified Nov 11 at 11:37

2 votes

2 answers

139 views

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

Richard Hardy

2,726

modified Nov 28 at 8:40

1 vote

1 answer

133 views

CBOE dispersion index formula

Hans

2,736

modified Nov 11 at 21:46

0 votes

1 answer

101 views

What is "position" when referring to the holders of a bond?

Dimitri Vulis

11.9k

answered Nov 12 at 15:09

0 votes

2 answers

61 views

implied volatility for close to expiry ATM options vs VIX

dm63

16.5k

answered Nov 23 at 4:27

0 votes

1 answer

126 views

How can I price this option? [closed]

Kai

559

answered Nov 19 at 1:15

0 votes

1 answer

93 views

price discreteness in stock market

Kai

559

answered Nov 20 at 12:09

0 votes

1 answer

91 views

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

JamesWuuuu

36

answered 21 hours ago

0 votes

1 answer

114 views

Calibrating the Heston with the Levenberg-Marquardt algorithm

Halmo

1

modified Nov 15 at 19:27

0 votes

1 answer

107 views

How to calculate VaR given mean and sd?

Kai

559

answered Nov 21 at 10:42

3 votes

0 answers

137 views

Is Bloomberg's global equity data sufficiently high quality that it can be used for backtests?

Deets McGeets

131

modified Nov 14 at 13:15

1 vote

1 answer

135 views

Implied volatility greater than realized volatility at all strikes?

Hans

2,736

modified Nov 10 at 15:37

1 vote

1 answer

99 views

Trade Impulse signal

nbbo2

10.9k

modified Nov 16 at 9:46

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?

Attack68♦

9,205

modified Nov 24 at 16:18

0 votes

0 answers

125 views

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

pierrot

21

modified Nov 27 at 5:22

0 votes

0 answers

119 views

Price a contingent claim with payoff $(S_{1T}-S_{2T})^+$ at time $T$

Mr. Ivan

33

modified Nov 21 at 21:40

0 votes

1 answer

56 views

Replication of the payoff of a chooser option

Kevin

15.2k

answered Nov 16 at 12:47

0 votes

1 answer

92 views

Senior Preferred vs Senior Unsecured Bonds

Dimitri Vulis

11.9k

answered Nov 26 at 22:50

0 votes

1 answer

55 views

What is the unit of DTS (and why)?

Kermittfrog

6,425

modified Nov 22 at 11:48

1 vote

1 answer

90 views

Multi level micro price

databento

2,368

answered Nov 16 at 7:12

1 vote

0 answers

114 views

Determining the floating rate for an interest rate swap

aghilario

11

modified Nov 12 at 12:00

1 vote

0 answers

110 views

Straddle Approximation - Directly from Integral

aarongroff

11

modified Nov 26 at 1:14

0 votes

1 answer

109 views

Bumping forward rates in Quantlib for Bartlett SABR greeks

user35980

1,231

modified Nov 20 at 15:21

0 votes

0 answers

108 views

What is the correct procedure for discounting risky cash flows?

EE18

109

modified 2 days ago

0 votes

1 answer

83 views

What do the existence and parameters of an efficient investment tell you about the value of a risk-free return?

T123

543

modified Nov 15 at 16:04

0 votes

1 answer

105 views

Pairs trading stocks without shorting

Filip

3

modified Nov 8 at 9:45

0 votes

0 answers

104 views

Simulating Hull-White Model in Python

amdopt

4,738

modified Nov 4 at 15:38

1 vote

1 answer

102 views

Find the right module for CDI DI BRL swaps valuation Quantlib

Xiarpedia

101

answered Nov 18 at 20:23

0 votes

0 answers

101 views

Pricing of OIS on USD at t=0

EconFox

1

asked Nov 19 at 10:52

2 votes

0 answers

100 views

Why does total spread increase as the number of market maker increases?

EdisonKIng

21

modified Nov 3 at 12:22

0 votes

3 answers

100 views

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

stackoverflower

291

answered 2 days ago

1 vote

0 answers

98 views

Why is Feynman-Kac formula applicable in Burgard-Kjaers PDE paper?

zoom

390

modified Nov 14 at 18:48

0 votes

1 answer

73 views

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

THAT'S MY QUANT MY QUANTITATIV

151

modified 13 hours ago

0 votes

0 answers

93 views

Convert US Treasury par yields to spot rates

AleVis

1

modified Nov 7 at 11:34

0 votes

1 answer

43 views

Is sorting stocks into portfolio mandatory in Fama-French model?

Richard Hardy

2,726

answered Nov 24 at 8:02

2 votes

0 answers

90 views

Antoine Savine's store

11house

93

asked Nov 6 at 7:07

0 votes

1 answer

90 views

Risk-neutral option pricing under distribution assumption

MrLCh

1

answered Nov 27 at 11:29

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