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1

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157

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Expected value and Variance of a stopped random process

modified yesterday Kermittfrog 3,959

4

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152

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modified Sep 18 at 22:48 Martin 233

2

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1

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93

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Should I include zeros in downside beta calculation?

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modified yesterday Brian B 14.1k

0

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1

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84

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Why stock prices changes don't follow Pareto Distribution?

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modified 2 hours ago user0123456789 143

1

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1

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101

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answered yesterday lehalle 9,410

0

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1

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82

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Is it fair in an introductory stochastic calculus/derivatives pricing class to ask for the price when absence of arbitrage is violated? [closed]

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modified 2 days ago BCLC 811

0

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1

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82

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How does FED quantify inflation expectation?

inflation macro-economics fed

modified 2 days ago user42108 1,733

1

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1

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73

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How do I estimate the factor sensitivity in a Vasicek Single Factor Model?

risk risk-management credit-risk quants vasicek

modified Sep 19 at 19:38 Pleb 2,291

1

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1

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70

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Why Local Volatility model underestimate price of double no touch options

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modified Sep 18 at 10:22 will 2,245

0

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1

answer

68

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Currency hedging 3 month sterling libor futures

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answered Sep 20 at 13:03 user42108 1,733

0

votes

1

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64

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Why additivity assumption holds in CAPM and factor models? (Screenshot of a textbook included)

portfolio-management portfolio-optimization portfolio modern-portfolio-theory capm

modified Sep 20 at 9:54 Yoda And Friends 191

0

votes

1

answer

49

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FX option quotation in interbank market

options fx interbank-rates

answered 16 hours ago river_rat 635

-1

votes

0

answers

103

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Why do option prices depend on volatility? [closed]

option-pricing volatility black-scholes hedging call

modified Sep 18 at 19:30 user59155 17

0

votes

1

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58

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Control Variates - Option pricing

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answered 2 days ago Yoda And Friends 191

1

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1

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34

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Mean-Variance Portfolio Axis Description

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answered Sep 17 at 20:08 noob2 8,798

0

votes

1

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70

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answered Sep 18 at 10:33 babelproofreader 2,009

0

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1

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87

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Kelly Criterion at the individual trade level or the broader trade rule?

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modified Sep 17 at 21:11 Ian Cero 3

0

votes

0

answers

77

views

What is the probability of touching point A first?

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modified 2 days ago noob2 8,798

0

votes

1

answer

53

views

Proof that mean-variance opportunity set is closed

mean-variance

answered Sep 18 at 13:25 Roman27 106

0

votes

0

answers

66

views

Price process with square root of BM

volatility stochastic-processes brownian-motion wienerprocess

asked Sep 20 at 0:15 statwoman 113

2

votes

1

answer

48

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Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap

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answered Sep 19 at 13:01 gussilago 131

1

vote

0

answers

59

views

Risk-managing vanilla books (sell-side)

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asked Sep 17 at 13:11 fwd_T 490

0

votes

0

answers

54

views

Does zero cost arbitrage imply the existence of negative cost arbitrage?

no-arbitrage-theory

asked Sep 19 at 5:48 wasabiwaffles 1

0

votes

1

answer

53

views

Annualization of discrete returns

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answered Sep 20 at 15:31 Nipper 309

2

votes

0

answers

52

views

Name for option valued by a time difference

derivatives

asked Sep 19 at 20:04 Volume Man 21

0

votes

0

answers

49

views

Is there an analogous strikeFromDelta implementation for 1st gen barrier options?

options derivatives delta exotics

modified yesterday TCopple 113

0

votes

0

answers

48

views

Can I combine the exotics for a payout?

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asked 2 days ago immediate_blood 1

-1

votes

1

answer

33

views

Python - Problem of random numbers in MC simulation

option-pricing monte-carlo brownian-motion

answered 6 hours ago Yoda And Friends 191

0

votes

0

answers

41

views

What is higher order moment of firms?

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modified 12 hours ago Nguyen Lis 1

0

votes

0

answers

39

views

Mark-to-market a forward-starting IRS in Quantlib

programming quantlib pricing interest-rate-swap forward-start

asked yesterday gussilago 131

0

votes

0

answers

39

views

Option pricing when stock price follows binomial tree

option-pricing calibration binomial-tree parameter-estimation

asked Sep 19 at 15:21 statwoman 113

0

votes

0

answers

39

views

Under HJM model where the forward rates are deterministic, how do you show that forward measures = risk neutral measure? $\mathbb{Q}^{T}=\mathbb{Q}$

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asked Sep 19 at 11:39 Stochastichelp 73

0

votes

0

answers

37

views

Does the interval of a portfolio's returns affect Sharpe and Sortino? If so, what's the gold-standard interval?

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asked Sep 17 at 21:36 Alex Vale 1

1

vote

1

answer

37

views

How to price a set of cashflows from which the buyer can choose one?

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answered Sep 17 at 12:59 Roman27 106

0

votes

0

answers

37

views

Optimx not recognizing "Nelder-Mead" method of optimization

programming portfolio-optimization

modified Sep 17 at 17:38 Jcarl 1

0

votes

0

answers

35

views

Help with unexpected inflation beta?

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asked Sep 20 at 1:21 Yuk Nil 1

0

votes

0

answers

34

views

Infill lower frequency data: Brownian Bridge

volatility stochastic-processes brownian-motion correlation risk-models

asked 22 hours ago AK88 1,638

0

votes

0

answers

34

views

University Project Ideas [closed]

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asked Sep 18 at 20:16 buzzpod 1

0

votes

1

answer

25

views

Continuous futures data roll adjustment

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answered Sep 17 at 9:20 ThatDataGuy 483

0

votes

0

answers

32

views

Local Evaluation Date in QuantLib

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asked yesterday AGPeddle 1

0

votes

0

answers

31

views

Which distribution has higher VaR?

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asked Sep 18 at 15:56 Alejandro Andrade 366

0

votes

0

answers

30

views

Generate R data-frame with close prices in wide format instead of log-returns using Tidyquant (R-Project)

programming portfolio-optimization

asked yesterday user0123456789 143

0

votes

0

answers

27

views

Unitise an options portfolio

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asked Sep 17 at 11:32 IMCO 1

2

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0

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26

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CMS cap has more vega exposure than CMS floor for same strike

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asked Sep 18 at 0:34 Carmen 21

0

votes

0

answers

23

views

Coefficient of SMB is statistical insignificant

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asked Sep 19 at 19:08 Anna 1

0

votes

0

answers

21

views

Calibrate Local Volatility model to price quanto options

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asked Sep 18 at 21:08 John 627

0

votes

0

answers

21

views

When developing an algo code with Interactive Brokers: which instruments to take during the weekend for testing orders and live data?

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modified Sep 19 at 4:28 user312087 1

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