Hottest Questions This Week

3

votes

1

answer

153

views

USD swaps trading post LIBOR: the current state of the world (January 2022)

modified 2 days ago Jan Stuller 4,513

4

votes

1

answer

148

views

Market convention for building the front-end of the SOFR discounting curve

interest-rate-swap discounting sofr

answered yesterday river_rat 730

2

votes

3

answers

134

views

Should Cross-Currency Basis Swaps exchanging risk free rates trade flat?

interest-rates trading currency cross-currency-basis

answered Jan 13 at 12:20 thijs818 11

0

votes

2

answers

137

views

Expectation of functions with Brownian Motion embedded

stochastic-processes brownian-motion

modified 21 hours ago Pleb 2,907

1

vote

1

answer

81

views

Delta Hedging with a Different Underlying

hedging greeks delta-hedging delta

modified Jan 14 at 12:32 Kermittfrog 4,629

0

votes

1

answer

97

views

VaR on Interest Rate Swaps

value-at-risk interest-rate-swap

modified Jan 14 at 15:48 Dimitri Vulis 8,729

2

votes

1

answer

148

views

Obtaining the dynamics of the Vasicek model using Itô

stochastic-processes stochastic-calculus itos-lemma short-rate vasicek

modified Jan 14 at 8:54 Jan Stuller 4,513

0

votes

3

answers

108

views

+100

compounding component contributions

portfolio-management portfolio performance-evaluation compounding

modified 6 hours ago D Stanley 1,008

1

vote

2

answers

85

views

+50

How does the bank uses the provisioning amount and RWA based capital adequacy

credit-risk banks basel banking-regulations

modified 12 hours ago user3762120 61

1

vote

3

answers

124

views

Backtesting Option Strategies with IV Data Only

options backtesting historical-data

modified Jan 14 at 23:04 AKdemy 3,660

2

votes

0

answers

96

views

Swap PCA - attribute P&L to factors

risk swaps pca

modified 17 hours ago John 21

0

votes

1

answer

65

views

"spread-to-maturity" as defined by Bloomberg

bond bloomberg spread

modified Jan 15 at 2:59 demully 4,811

0

votes

1

answer

46

views

Is there a closed form formula for the value of a European Put KO/KI?

options barrier

modified Jan 13 at 19:39 Count 1

1

vote

0

answers

68

views

Replacement for LIBOR Market Model (LMM)?

interest-rates models sofr libor-market-model

asked yesterday equanimity 319

1

vote

0

answers

65

views

Mechanism design in continuous time models

finance finance-mathematics market-microstructure financial-engineering game-theory

asked Jan 15 at 8:53 Nav89 175

0

votes

1

answer

47

views

Bizarre appending in multivariate geometric brownian motion simulation [closed]

brownian motion

modified Jan 14 at 8:17 Tudor Constantin 1

0

votes

0

answers

45

views

Time series data for probability of default (or credit ratings)

time-series credit-risk default-probability database credit-ratings

asked Jan 14 at 16:48 Matteo Menziani 1

0

votes

0

answers

43

views

How do you hedge a portfolio against a factor using index Futures?

portfolio beta index hedge

asked Jan 15 at 1:46 ds3236 1

0

votes

0

answers

42

views

Why would valuation for a swap be the same on the backward and forward rate but not a caplet

options interest-rates monte-carlo risk-neutral-measure arbitrage

modified 4 hours ago user9078057 193

0

votes

0

answers

41

views

How does one formulate Ito's lemna? [closed]

stochastic-processes stochastic-calculus itos-lemma black-scholes-pde

asked yesterday Ratanna 1

0

votes

0

answers

41

views

Questions about Merton's derivation of the security market line

capm mean-variance

asked Jan 14 at 12:39 gwg 113

0

votes

0

answers

40

views

SciPy Calibrating Heston call option

option-pricing programming optimization heston

modified 18 hours ago Pleb 2,907

0

votes

1

answer

40

views

Interpolation method to convert a 1 month return to daily return, is LN the answer? [closed]

log-returns interpolation compounding

answered 12 hours ago user3762120 61

1

vote

0

answers

40

views

State-of-the art factor models for intraday event studies

factor-models high-frequency intraday event-study abnormal-returns

asked 2 days ago MiFischer22 11

0

votes

0

answers

39

views

How to fit generalized Gamma distribution to data in R

programming

modified Jan 15 at 20:07 janig9 1

0

votes

0

answers

36

views

PD estimation methods

credit-risk cds default-probability credit-ratings

asked yesterday Tamás F 3

0

votes

0

answers

35

views

How to combine compound calls and puts such as to have a guaranteed fixed payoff at expiration?

options portfolio put-call-parity payoff

asked 2 days ago user60694 1

2

votes

0

answers

33

views

Back testing fixed income for bond portfolio management

fixed-income data callable-bonds

asked 9 hours ago the_brass_bottle 31

0

votes

0

answers

32

views

How to exactly calculate latency between 2 exchanges

arbitrage high-frequency latency

asked 17 hours ago RLaszlo 1

0

votes

0

answers

32

views

QuantLib Python: how to retrieve the Yield Term Structures connected to a VanillaSwap Object

programming swaps quantlib

asked Jan 14 at 15:05 user808182 1

1

vote

0

answers

30

views

Methods of predicting liquidity consumption

equities market-microstructure modeling limit-order-book

asked Jan 12 at 19:56 mkultra 245

0

votes

0

answers

27

views

Price of a forward delivery bond - Quantlib python

programming bond quantlib forward-start

modified Jan 12 at 17:27 Sarat Muppana 31

0

votes

0

answers

27

views

Pricing asian options with Monte Carlo and brownian bridge

options monte-carlo quantitative asian-option

asked Jan 12 at 15:35 urii 1

0

votes

0

answers

27

views

Pricing of factors - portfolio sorts

portfolio asset-pricing risk-premium

asked Jan 14 at 13:12 Jan Sila 720

0

votes

0

answers

26

views

What is the payoff of a cash-or-nothing and asset-or-nothing call and put? [closed]

options payoff binary

asked Jan 13 at 15:46 user60694 1

1

vote

0

answers

24

views

Core deposits forecasting in stress testing

risk-management risk-models banking-regulations stress-testing banking

asked yesterday ps0604 78

0

votes

0

answers

23

views

Event study individual day Abnormal returns in STATA

regression statistical-finance event-study

modified Jan 13 at 10:58 Pleb 2,907

0

votes

0

answers

22

views

What are the crypto futures trading fees of a typical exchange, how does leverage work? What about shorting fees?

futures cryptocurrency

asked yesterday he wei 1

0

votes

1

answer

21

views

Incorporating market cap after Hierarchical Risk Parity (HRP) Portfolio Optimization. Using Black Litterman?

programming portfolio-optimization portfolio

answered 7 hours ago Michael Williamson 11

0

votes

0

answers

19

views

Ensuring terminal correlation matches the input correlation on a calendar spread option with unequal fixing dates (Asian arithmetic averaging) MC

monte-carlo exotics spread-options embedded-options

asked Jan 14 at 16:10 Matt 113

1

vote

0

answers

17

views

Relationship between 10 yield and P/E in Equity valuation

equities

asked 7 hours ago Gogo78 386

0

votes

1

answer

12

views

Optimization algorithm for maintaning portfolio weights

portfolio-optimization portfolio

answered 6 hours ago Michael Williamson 11

Top Questions

Looking for more? Browse the complete list of questions, or popular tags. Help us answer unanswered questions.