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0

votes

3

answers

360

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What actually drives a stock price up ou down?

answered 15 hours ago Ishan Shah 11

2

votes

1

answer

173

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DB quant research

quant-trading-strategies papers

modified Dec 14 at 20:15 user20172 11

4

votes

2

answers

71

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Why is there a convexity adjustment if the payment date differs from Libor end date?

libor convexity adjustments

modified yesterday Gordon 14.3k

4

votes

3

answers

114

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arbitrage free volatility surface

options volatility no-arbitrage-theory

modified Dec 14 at 2:10 Ezy 710

1

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1

answer

70

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interest-rates stochastic-calculus futures vasicek eurodollars

answered Dec 14 at 16:33 Jojo Tang 192

1

vote

1

answer

81

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Most profitable? High % but low probability or Low % but high probability

arbitrage statistical-finance

answered yesterday Enrico Schumann 1,176

3

votes

0

answers

81

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How to interpret CDF($d_1$)/PDF($d_1$) from BS model ?

options black-scholes

asked Dec 13 at 10:00 DeltaB 16

-1

votes

1

answer

72

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Credit Risk default [on hold]

credit-risk credit

answered Dec 12 at 19:39 Joe Lager 1

1

vote

1

answer

70

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How to calculate monthly momentum strategies J6K6?

momentum

modified yesterday skoestlmeier 950

1

vote

1

answer

32

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Levy process and random measure

stochastic-processes stochastic-calculus pricing jump-diffusion

modified Dec 14 at 16:10 skoestlmeier 950

1

vote

3

answers

52

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What's a reasonable way to extrapolate a bond curve?

fixed-income extrapolation

answered Dec 14 at 3:29 VanillaCall 305

0

votes

1

answer

40

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Bond is maturing in 10.25 years, YTM calculation

bond bond-yields

modified 2 days ago Bob Jansen♦ 3,269

2

votes

0

answers

61

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How to justify the martingale condition

martingale

modified 2 days ago YellowRiver 21

0

votes

0

answers

49

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Studying Market Microstructure

market-microstructure

asked Dec 14 at 14:52 prmkbr 1

0

votes

1

answer

29

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“J” message type in Nasdaq ITCH Totalview sample file

equities market-data market-microstructure nasdaq feed

answered Dec 12 at 3:58 Lliane 2,078

-2

votes

0

answers

42

views

Why not turn log returns into returns to get tractable distributions?

log-returns

asked Dec 12 at 12:14 Ameen 1

3

votes

0

answers

42

views

Solving BSDE in R

stochastic-processes stochastic-calculus monte-carlo simulations sde

asked Dec 13 at 14:09 AIM_BLB 207

1

vote

1

answer

32

views

Is there any open source library for commodities trading (pricing/risk managment)?

commodities library

answered 8 hours ago Juan Ignacio Gil 336

0

votes

0

answers

39

views

Interpreting the bid-ask spread calculated by the Corwin and Schultz (2012) method

spread bid ask

asked Dec 13 at 11:46 babelproofreader 1,442

0

votes

1

answer

29

views

Calculating the diviend yield for a sector?

dividends

answered Dec 13 at 14:57 mbison 1,296

0

votes

0

answers

37

views

Question about Bergomi's Model

volatility stochastic-volatility stochastic

asked yesterday Benedict 21

0

votes

0

answers

35

views

Type II error for share return event study

returns error event-study

modified Dec 13 at 9:02 LenaH 54

0

votes

0

answers

35

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FX Forward pricing with QuantLib

fx pricing quantlib forward

modified Dec 12 at 14:34 beta 108

0

votes

1

answer

34

views

VXX Put pricing

options volatility implied-volatility pricing vix

modified yesterday Lliane 2,078

-3

votes

0

answers

33

views

Query regarding Quantitative analyst [closed]

quantitative

asked Dec 12 at 13:23 Himanshu Doneria 1

0

votes

0

answers

33

views

Bulk Volume Classification Algorithm

volume

modified yesterday Bob Jansen♦ 3,269

1

vote

0

answers

32

views

Interpretation of Market Price of Volatility Risk

option-pricing financial-markets market-model

modified yesterday Ben 6

0

votes

0

answers

32

views

Why can we assume the bid-ask spread equals to one tick?

limit-order-book tick

modified yesterday davegaut 6

0

votes

0

answers

32

views

How to compute Delta of a future contract priced with MTM?

sensitivities

modified 12 hours ago Alex C 5,701

2

votes

0

answers

30

views

Prove unique arbitrage-free price implies attainable

arbitrage asset-pricing no-arbitrage-theory

modified Dec 12 at 6:44 YellowRiver 21

1

vote

0

answers

30

views

Vasicek model: joint simulation with discount factor

short-rate vasicek

asked yesterday InnocentR 291

0

votes

0

answers

29

views

Optimal strategy - HJB equation [on hold]

optimization sde stochastic-control

asked yesterday Jonathan Kiersch 1

0

votes

1

answer

29

views

Synthetic equity index futures calendar spread using options

options futures spread

answered Dec 14 at 16:07 Alex C 5,701

-2

votes

0

answers

27

views

Correlation coefficient [on hold]

python

asked Dec 14 at 12:41 user36949 1

-2

votes

0

answers

26

views

Calculating Intraday Volatility Using Tick Data

volatility intraday

asked Dec 14 at 22:34 tiger88 1

1

vote

0

answers

25

views

How to price equity options using a Black76 implied volatility surface?

option-pricing black-scholes implied-volatility quantlib black76

modified 15 hours ago Cornholio 6

0

votes

0

answers

24

views

Historical prices and fundamentals for US market with the right to re-publish

data market-data historical-data fundamentals

asked yesterday Alexey Petrushin 101

0

votes

0

answers

22

views

What is the use of undiscounted Futures/Option Prices

options option-pricing volatility futures discounting

modified Dec 14 at 10:58 Phil-ZXX 561

0

votes

0

answers

22

views

What are the implications of the random walk hypothesis? [on hold]

equities returns modeling random-walk forecast

modified Dec 14 at 7:03 BorisD 1

0

votes

0

answers

21

views

zeroCurve with zero rates as simple quotes

python quantlib

asked Dec 13 at 18:26 byouness 930

-1

votes

0

answers

21

views

Spread in crossing network?

market-microstructure spread limit-order-book volume

asked Dec 15 at 0:22 Zhang_anlan 1

0

votes

0

answers

21

views

Resource to learn about Long / Short Commodities portfolio

portfolio commodities pnl

asked 15 hours ago Nicola Torrisi 1

0

votes

0

answers

20

views

Assessing the quality of the Empirical Distribution

probability risk-neutral-measure density

asked Dec 14 at 15:20 DomingoBrown 91

0

votes

0

answers

20

views

False advertisement and fees on the credit line [on hold]

credit banking

asked Dec 15 at 4:49 charlie137 1

0

votes

0

answers

20

views

Exposure of two companies in a transaction involving an FX option

options fx

modified 9 hours ago sound wave 23

-2

votes

0

answers

19

views

Would bonds issued in the EU be comparable to UK after Brexit

fixed-income

asked yesterday Alisha 17

0

votes

0

answers

19

views

Numerical solution to Convection diffusion equation [on hold]

numerical-methods finite-difference-method

asked yesterday Jonathan Kiersch 1

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