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8

votes

3

answers

6k

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What mathematical theory is required for high frequency trading?

modified 2 days ago Dave Harris 2,186

3

votes

3

answers

163

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Getting sets of random correlated variables

finance-mathematics machine-learning macro-economics random-variables cholesky

modified yesterday g g 1,399

3

votes

1

answer

100

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What is the easiest way to learn Option pricing with PDE?

options option-pricing stochastic-calculus itos-lemma girsanov

modified Jun 16 at 23:58 SmurfAcco 58

3

votes

1

answer

82

views

What is upper left vol?

option-pricing implied-volatility swaption

modified 2 days ago Alex C 6,761

1

vote

2

answers

98

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How to create a volatile market, by combining less volatile markets?

volatility random-walk random-variables

modified yesterday Daneel Olivaw 3,182

5

votes

1

answer

93

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How frequently is local volatility calibrated to implied vol surface, in practice?

risk-management calibration local-volatility exotics

answered Jun 17 at 7:43 Vitomir 132

3

votes

1

answer

72

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Estimating a Yield Curve in a country without Bond Stripping

yield-curve bootstrapping zero-coupon

answered Jun 15 at 5:34 Enrico Schumann 1,446

1

vote

1

answer

91

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Are questions in Joshi's book really asked at Quant interviews? [on hold]

quants

modified Jun 15 at 12:11 Magic is in the chain 1,894

3

votes

1

answer

63

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How to comprehend this notation?

finance-mathematics

modified Jun 14 at 18:11 Magic is in the chain 1,894

2

votes

2

answers

43

views

How to calculate necessary gain to compensate a loss in a financial transaction?

returns

modified Jun 15 at 18:44 David Addison 2,115

1

vote

2

answers

78

views

Reference on Futures basis trading strategy

futures quant-trading-strategies mean-reversion basis

modified 20 hours ago noob2 4,364

1

vote

1

answer

73

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Pricing structured products (Mortgage Backed Securities) [on hold]

options futures swaps mbs abs

answered 2 days ago bhutes 686

0

votes

1

answer

44

views

How would one sell a security that they don't own? [on hold]

arbitrage

modified 6 hours ago Alex C 6,761

1

vote

1

answer

68

views

exponential weighting on volatility

volatility

modified yesterday amdopt 1,294

3

votes

2

answers

51

views

Interest Rate Assumption (Ornstein - Uhlenbeck Process)

interest-rates stochastic-processes

answered 2 days ago noob2 4,364

2

votes

1

answer

62

views

what are the underlying transactions for SOFR?

fixed-income interest-rates risk bond derivatives

answered Jun 15 at 21:26 Magic is in the chain 1,894

0

votes

2

answers

76

views

Geometric Sharpe ratio

portfolio-management sharpe-ratio mutual-fund

modified yesterday Chris 558

1

vote

1

answer

73

views

Fixed Income Portfolio Optimization

fixed-income portfolio-management portfolio-optimization optimization bond-portfolio

answered Jun 17 at 13:37 JeanGuillaume 63

1

vote

1

answer

55

views

Why do Factor Models set up their factors differently from regression?

regression modeling factor-models factor-loading

answered Jun 15 at 21:28 develarist 130

0

votes

2

answers

83

views

From Libor Curve rates to “forward” zero-coupons

swaps libor bootstrapping zero-coupon multicurve

modified yesterday ujsgeyrr1f0d0d0r0h1h0j0j_juj 757

3

votes

1

answer

39

views

How to prove martingality of forward rate under T-forward measure

interest-rates martingale forward-rate numerairechange

modified Jun 14 at 21:32 Magic is in the chain 1,894

1

vote

1

answer

44

views

Why is the volatility of an Ito process not the square root of its variance?

volatility

answered Jun 15 at 15:42 starovoitovs 250

0

votes

1

answer

50

views

Why do we need to borrow money in the call-put parity? [on hold]

put-call-parity

answered yesterday bhutes 686

1

vote

1

answer

37

views

How is hypothesis testing work in population sampiling? [on hold]

finance-mathematics mathematics quantitative math

answered yesterday Chris 558

2

votes

1

answer

37

views

Constant Maturity Swap dates and conventions

option-pricing cms annuity

modified 10 hours ago Daneel Olivaw 3,182

1

vote

1

answer

36

views

Why the variance of a process is $\left( \frac{dS_T^2}{dt}\right)^2$?

stochastic-processes stochastic-calculus math

answered Jun 15 at 14:06 Magic is in the chain 1,894

1

vote

1

answer

35

views

Max allowable return in Markowitz model

portfolio-management portfolio-optimization modern-portfolio-theory markowitz

answered yesterday phdstudent 4,170

1

vote

0

answers

57

views

How to solve these SDE Problems

brownian-motion probability hullwhite sde short-rate

modified Jun 13 at 21:55 ddss321 6

1

vote

0

answers

55

views

transactions costs and leland modified volatility

delta-hedging transaction-costs

modified Jun 17 at 13:43 user40929 16

1

vote

1

answer

40

views

In-sample and out-sample backtest performance, how to do this?

quant-trading-strategies backtesting

answered 11 hours ago Vitomir 132

0

votes

0

answers

51

views

Yield Curve Flattening Trade

fixed-income finance-mathematics yield-curve bond-yields yield

asked Jun 17 at 16:20 ElChevy 1

0

votes

0

answers

51

views

Practical Skew Model For Equity Options?

options implied-volatility reference-request skew term-structure

asked Jun 17 at 15:17 user3294195 133

0

votes

1

answer

50

views

How to add annualized quarterly returns? [on hold]

returns annualized

answered Jun 17 at 17:23 Ming Chang 101

1

vote

0

answers

48

views

How would one go about pricing a FX future?

options fx futures derivatives swaps

asked Jun 16 at 23:55 user41439 13

0

votes

0

answers

47

views

Difference between characteristic function and Fourier transform

option-pricing finance-mathematics heston call fourier-transform

modified yesterday Alex C 6,761

0

votes

0

answers

43

views

CDS Quote Conversion - Quoted vs Par

cds credit-derivatives quote convention

asked 2 days ago Phil-ZXX 620

0

votes

0

answers

43

views

What is the basis for the ansatz here? [on hold]

volatility

asked 2 days ago CanaDa 1

1

vote

0

answers

42

views

Newbie question on Net Present Value with Constant Growth

valuation present-value dcf

modified Jun 14 at 4:30 bhutes 686

1

vote

1

answer

25

views

Is the undiscounted value process of a Euro call option under Bachelier model a Martingale? [on hold]

options finance-mathematics no-arbitrage-theory fundamentals

answered Jun 14 at 17:55 Daneel Olivaw 3,182

2

votes

0

answers

41

views

Hull White Equation Derivation

hullwhite differential-equations

asked Jun 16 at 18:54 Rangga Putra Pertama 30

1

vote

0

answers

41

views

Proof standard Brownian Motion under change of measure

bond brownian-motion martingale numerairechange girsanov

asked Jun 16 at 15:49 rs4rs35 63

1

vote

1

answer

52

views

American Put Option Pricing

options option-pricing american-options binomial-tree

answered Jun 17 at 1:24 terenaam 19

0

votes

0

answers

38

views

Zero rate computation in Quantlib [on hold]

python quantlib

modified Jun 17 at 19:40 byouness 1,231

0

votes

0

answers

37

views

Why doesn't tenor of Euribor index change spot rate in Quantlib?

python swaps quantlib

asked Jun 17 at 18:43 N4v 106

0

votes

0

answers

36

views

Option Prices on Thomson Reuters Eikon Database

options bloomberg reuters

asked Jun 17 at 20:28 xander 1

0

votes

0

answers

36

views

Dependence modelling in Finance

copula modelling

asked Jun 17 at 5:14 David Nguyen 79

3

votes

0

answers

35

views

Annualization of higher order Co-moments

portfolio-optimization econometrics skewness annualized kurtosis

modified Jun 16 at 10:03 Carlos Esparcia Sanchís 16

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