Hottest Questions This Week

2

votes

3

answers

136

views

Why is it so rare for finance theory to depart from the normal distribution?

black-scholes normal-distribution

answered 2 days ago demully 1,813

2

votes

3

answers

131

views

Are there any books/articles on how to use options to be long volatility (implied or realized)? [duplicate]

modified 8 hours ago noob2 5,126

2

votes

2

answers

219

views

Pricing In Real Life vs Theory

options volatility black-scholes finance pricing

answered Mar 25 at 0:03 kdragger 321

2

votes

2

answers

84

views

Can you calculate modified duration for swaps?

swaps duration

modified 2 days ago Martin Vesely 167

0

votes

2

answers

80

views

What is the delta of an at-the-money European call option with respect to volatility?

options option-pricing black-scholes greeks european

answered Mar 24 at 9:10 Kermittfrog 301

0

votes

2

answers

66

views

Connecting the dots: Black Scholes, Volatility and Implied Volatility

options option-pricing volatility black-scholes implied-volatility

answered 2 days ago simzoor 126

1

vote

2

answers

49

views

What is actually going on in Monte-Carlo simulation for Mortgage backed securities?

monte-carlo simulations term-structure mbs

modified 3 hours ago Martin Vesely 167

0

votes

1

answer

64

views

Why is there a theoretical lower bound on the price of call options?

options option-pricing european-options

modified Mar 23 at 18:33 ramoncelma 11

1

vote

1

answer

36

views

Sampling from an empirical distribution

distribution sampling

answered Mar 24 at 20:22 Stéphane 801

1

vote

1

answer

46

views

Beginner to high-frequency trading

high-frequency

answered 13 hours ago lehalle 8,142

1

vote

1

answer

58

views

How do I create a term structure of a bond using QuantLib?

programming quantlib

modified Mar 25 at 10:31 PrasKam 25

0

votes

1

answer

58

views

Macaulay duration of an IRS receiver [closed]

interest-rate-swap delta duration

answered 2 days ago Akai M 11

1

vote

1

answer

32

views

calculating covariance from three variances

variance covariance covariance-matrix

answered Mar 25 at 13:57 Kermittfrog 301

0

votes

1

answer

52

views

Optimize risk return of portfolio

portfolio-optimization returns risk-management

modified Mar 27 at 0:12 demully 1,813

1

vote

1

answer

45

views

lognormal assumption of Black Scholes

black-scholes lognormal

modified 2 days ago Kermittfrog 301

0

votes

1

answer

35

views

How to apply decay factor in the volatility calculation for 1 asset?

volatility time-series decay

answered 2 days ago Kermittfrog 301

2

votes

1

answer

39

views

A PARADOX? - relationship between risk reversal (slope of vol smile) and digital price

european-options volatility-smile binary-options skew

answered Mar 26 at 1:35 Lliane 2,409

0

votes

0

answers

49

views

On Geometric Brownian motion and Itô's formula

stochastic-calculus itos-lemma geometric-brownian

asked Mar 25 at 14:49 M. A. Kacef 323

0

votes

1

answer

49

views

price of IRS receiver fixed rate [closed]

swaps interest-rate-swap swaption floating-rate fixed

modified Mar 25 at 20:08 noob2 5,126

1

vote

1

answer

36

views

Different performance between GLD, IAU and PHYS

futures derivatives commodities

modified Mar 25 at 10:38 noob2 5,126

1

vote

1

answer

35

views

Difference between par value and principal?

bond bond-yields principal-components

answered Mar 26 at 22:15 Martin Vesely 167

1

vote

1

answer

34

views

Summing up two VaRs

var

answered Mar 24 at 10:20 Kermittfrog 301

0

votes

1

answer

43

views

Use futures contracts of different lengths to predict spot prices

time-series futures forecast quandl

modified Mar 26 at 17:44 Stéphane 801

0

votes

0

answers

42

views

Probability and random walk

quant-trading-strategies probability random-walk

asked Mar 23 at 13:40 TmSmth 352

0

votes

0

answers

38

views

Optimal portfolio balancing based on past performance

options black-scholes stochastic-processes portfolio-optimization stochastic-control

modified yesterday noob2 5,126

0

votes

1

answer

29

views

Pricing an interest rate floor

options black-scholes interest-rates

answered Mar 23 at 22:22 David Duarte 1,485

0

votes

0

answers

37

views

Is now the time to short volatility for a long term investor? [closed]

volatility vix short-selling

modified Mar 25 at 9:31 noob2 5,126

1

vote

1

answer

37

views

When Fitting Implied Vol in, implied vol=ax²+bx+c, why is better to use moneyness than delta as independent variable?

implied-volatility volatility-smile curve-fitting

answered 7 hours ago Stéphane 801

0

votes

1

answer

36

views

Compute dZ(t) : Ito's formula/lemma

stochastic-calculus itos-lemma statistical-finance

answered 2 days ago ForumWhiner 121

0

votes

1

answer

28

views

Can ARMA and GARCH models be estimated separately in ARMA/GARCH？

time-series garch arma

answered yesterday Alex 11

1

vote

0

answers

35

views

Optimization problem with a constrant

optimization market-microstructure

asked Mar 24 at 22:58 Hunger Learn 11

1

vote

0

answers

34

views

90 day SOFR market rate to equivalent 3M Libor rate conversion

forward-rate libor

asked Mar 24 at 5:24 Kim 11

0

votes

1

answer

34

views

Black-Scholes and solving for both $r$ and $\sigma$ ; Do I have a unique solution?

option-pricing black-scholes

answered 8 hours ago Stéphane 801

0

votes

1

answer

34

views

Trouble understanding Notation in Stochastic Calculus (wedge symbol ∧)

stochastic-calculus notation

answered 5 hours ago Dimitri Vulis 1,253

0

votes

0

answers

30

views

What is a good follow up book to Anatoly Schmidt's “Quantitative Finance for Physicists: An Introduction”?

books

asked yesterday Mustafa Azzam 1

0

votes

0

answers

26

views

How many decimal places are allowed in declared dividend per share?

market-data dividends

modified Mar 25 at 1:58 Norgate Data 924

0

votes

0

answers

25

views

First principles implied financing cost embedded in equity futures

rolling

asked Mar 23 at 8:21 sjl2202 1

1

vote

1

answer

23

views

Calculation of the Bid-Ask Spread on Bloomberg

bloomberg spread

answered yesterday Martin Vesely 167

0

votes

0

answers

22

views

correlation and the absolute or squared value of correlation [closed]

data

asked Mar 24 at 17:53 luai 1

0

votes

0

answers

22

views

Quantos Options - AOA domestic discounting rate in a trinomial discrete time model

options risk-neutral-measure no-arbitrage-theory discrete-process trinomial-tree

modified 17 hours ago Akai M 11

0

votes

0

answers

22

views

heat equation : why my code does not generate enough decay in time?

finite-difference-method

asked yesterday black_pde 1

1

vote

0

answers

22

views

Option Prices Affecting Underlying value Through market makers max pain

options market-making

asked yesterday Jorisdrees 111

1

vote

1

answer

16

views

How to deflate USD inflation?

inflation

answered 18 hours ago Martin Vesely 167

0

votes

0

answers

20

views

RQuantlib up to date? [closed]

rquantlib

asked 2 days ago Oyvind Foshaug 1

0

votes

0

answers

20

views

Correct labelling for trading strategies

programming quant-trading-strategies algorithmic-trading

asked yesterday Vitomir 612

1

vote

0

answers

20

views

Day-count conventions for the floating leg of an asset swap

swaps interest-rate-swap floating-rate asset

modified yesterday Daneel Olivaw 4,256

0

votes

1

answer

20

views

Implied cost of borrowing USD via an FX swap

fx

answered 5 hours ago David Duarte 1,485

1

vote

2

answers

20

views

CDS time series construction

credit-derivatives

answered 19 hours ago Dimitri Vulis 1,253

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