Hottest Questions This Week

11

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2

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1k

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Mark Joshi's book - quant interview questions

modified Jun 7 at 16:58 Daneel Olivaw 6,365

1

vote

3

answers

292

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What is the point of hedging in this scenario?

futures hedging

answered Jun 9 at 14:03 Dimitri Vulis 6,936

5

votes

2

answers

171

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Black-Scholes: Volatility Smile “sharpens” with time to expiry

options black-scholes implied-volatility volatility-smile

answered 2 days ago kdragger 411

3

votes

1

answer

124

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Brownian Bridge general case

stochastic-processes stochastic-calculus brownian-motion

answered Jun 6 at 18:20 LucaMac 191

1

vote

1

answer

73

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Collateral on Derivative Position

interest-rate-swap collateral

answered 2 days ago dm63 11.8k

2

votes

1

answer

83

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Probability of touching short call strike and not touching touching short put strike of a short strangle?

option-pricing probability

modified Jun 9 at 2:20 ir7 3,948

2

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1

answer

76

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Martingale proof: Call-prices must be increasing in maturity

black-scholes implied-volatility derivatives arbitrage martingale

modified Jun 8 at 20:51 ir7 3,948

1

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2

answers

72

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Derivation of the Gamma approximation formula from the Delta approximation formula

black-scholes delta gamma

answered 20 hours ago noob2 8,269

-1

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2

answers

90

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One touch UP no touch DOWN, One touch DOWN no touch UP

option-pricing quant-trading-strategies barrier

modified 20 hours ago ir7 3,948

3

votes

1

answer

100

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What causes the gap between ETF prices and intraday NAVs?

etf intraday

modified 2 days ago spark 31

0

votes

1

answer

72

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Interpolation of Zero rate curve

yield-curve forward-rate forward-curve

answered yesterday Attack68♦ 7,554

0

votes

1

answer

89

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Questions regarding a “lite/kindergarten” Barbell investement strategy implementation

options quant-trading-strategies trading

modified yesterday noob2 8,269

1

vote

1

answer

86

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Gaussian copula calibration to option price

option-pricing copula

answered Jun 7 at 14:20 simzoor 313

1

vote

0

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101

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IRS: Diff between “pricing curve” and “discounting curve”

swaps

modified Jun 7 at 2:37 F0l0w 306

2

votes

0

answers

97

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Is $C(K,S_t)$ a (local) martingale if PCS is broken?

implied-volatility stochastic-volatility put-call-duality

modified Jun 6 at 6:46 Frido Rolloos 3,227

0

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1

answer

41

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Show that the following result holds true for the variance of the return of a portfolio of shares

finance portfolio variance covariance proof

answered 2 days ago Pleb 1,636

1

vote

0

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83

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Sell weekly covered calls repeatly

options put

modified Jun 9 at 2:35 VHanded 111

1

vote

1

answer

78

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Optimal portfolio with only n assets (with n less than total assets)

portfolio modern-portfolio-theory

modified 2 days ago Tim Wilding 1,256

0

votes

0

answers

75

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Completing the financial investment disclaimer platitude with statistics terminology

finance statistics

modified Jun 9 at 8:25 Arash Howaida 109

2

votes

1

answer

75

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SOFR Transition

interest-rate-swap sofr

modified yesterday Daneel Olivaw 6,365

2

votes

1

answer

57

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Dependence between Credit Default Risk and Credit Spread Risk

risk risk-management var credit-risk

answered 23 hours ago Mild_Thornberry 775

0

votes

0

answers

69

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Why do I randomly see a significant difference in my RSI and that of Trading View

indicator

asked Jun 7 at 7:35 Ash 101

1

vote

0

answers

67

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OLPS in real conditions

portfolio-management portfolio algorithmic-trading portfolio-selection

modified Jun 6 at 12:33 Pleb 1,636

2

votes

0

answers

62

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Building Yield Curve using different instruments

yield-curve

asked Jun 8 at 12:46 Van Tom 123

0

votes

0

answers

60

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pricing crypto quanto swap and perpetual

futures currency cryptocurrency quanto

asked Jun 6 at 13:15 adam 459

2

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1

answer

44

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Does time remaining matter in NO Touch-ONE Touch probabilities?

options quant-trading-strategies probability

modified 19 hours ago ir7 3,948

2

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0

answers

53

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Why were Laguerre polynomials a good choice of basis functions for American Monte Carlo?

stochastic-calculus monte-carlo finance-mathematics american-options basis

modified yesterday user54908 157

0

votes

0

answers

53

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Consensus expected excess return from Active Portfolio Management

portfolio-management portfolio modern-portfolio-theory active-investing

modified 2 days ago Xiaohuolong 399

0

votes

0

answers

52

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Why do I randomly see a significant difference in my RSI and Trading View’s RSI [closed]

indicator

modified Jun 6 at 23:46 Ash 101

1

vote

0

answers

51

views

Modigliani risk-adjusted performance - marginal contribution

risk-management

modified 2 days ago Factor101 3

1

vote

0

answers

51

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How to extract informative value from correlations of assets? Subadditivity of correlation calculation an issue

quant-trading-strategies correlation statistical-finance pca

asked Jun 5 at 20:17 Kareem Sayed 43

0

votes

0

answers

49

views

Portfolio optimisation

risk-free risk-free-rate

asked Jun 5 at 16:51 Ειρήνη Ιωάννου 1

0

votes

1

answer

45

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Bloomberg API / Excel Add In - Delisted Stocks

equities data bloomberg excel fundamentals

answered yesterday AKdemy 1,663

0

votes

0

answers

45

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What aspects of fundamental, technical, and market factors apply to a cryptocurrency like Bitcoin?

equities investing bitcoin cryptocurrency

asked 2 days ago Cybernetic 141

0

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0

answers

43

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How to match simulated local vol european prices with closed formula

option-pricing monte-carlo local-volatility

asked Jun 5 at 15:57 user56787 1

-1

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0

answers

39

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Derive delta $\frac{\partial V}{\partial S}$ for a European call under the BlackScholes model [closed]

black-scholes

asked yesterday codelearner 91

0

votes

0

answers

39

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Stochastic Variable : Why sample path is the case when the event is given? [closed]

stochastic-processes

asked 2 days ago user13232877 95

0

votes

0

answers

38

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Vega Surface with Local Volatility Model

options monte-carlo local-volatility vega volatility-surface

modified 2 days ago Nico Blanco 21

1

vote

0

answers

35

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Could you suggest a way to estimate an individual's risk-aversion

economics

asked 2 days ago xyzt 311

0

votes

0

answers

34

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Hedging time-bucketed IR Delta (under restrictions) [closed]

interest-rates hedging

modified yesterday KevinT 483

0

votes

0

answers

32

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Construct portfolio with assets having expected negative returns

portfolio capm markowitz

asked Jun 8 at 11:57 randomwalker 29

0

votes

0

answers

32

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Bloomberg Get ETF Constituents

programming portfolio bloomberg

asked yesterday Jake Freeman 158

0

votes

0

answers

29

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How to use CAPM model to calculate expected value of portfolio?

risk probability capm normal-distribution

modified yesterday Lucian 101

1

vote

0

answers

29

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How to use Girsanov theorem for complicated RN derivatives?

risk-neutral-measure girsanov homework numeraire

modified 10 hours ago ir7 3,948

0

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0

answers

27

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Expected return and risk profile from a given scenario

programming data risk-models expected-return

asked Jun 9 at 9:43 Quyen 101

0

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0

answers

26

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Calculating the implied discount rate in an risk-adjusted NPV formula

valuation discounting

asked Jun 9 at 9:03 Matthias 211

-2

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0

answers

25

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Generate the correlated 2-dimensional Brownian motion

black-scholes brownian-motion multivariate

asked yesterday Stochastichelp 69

0

votes

0

answers

24

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Pair trading find the correlated pair for a large number of stocks

correlation-matrix

asked 2 days ago Guifan Li 33

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