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2 votes
1 answer
29 views

How do you handle non integer time intervals in Quantlib for options pricing (ie intraday pricing)

0 votes
0 answers
41 views

Quantlib issue with BlackVarianceSurface diffusing with the wrong vol when there are either holes or arbitrages in early maturities

0 votes
1 answer
161 views

Looking for non-GAUSS Code for Thiery Roncalli's book on Risk Parity and Budgeting

2 votes
1 answer
369 views

Problem with pricing a call option using the Monte Carlo Vasicek model

2 votes
1 answer
104 views

What program to use for reverse MIDAS?

1 vote
0 answers
24 views

Measuring latency with tcpdump and storing output

0 votes
1 answer
37 views

Is there any way to get cashflow amount including cashflow date in QuantLib?

0 votes
1 answer
242 views

crypto HFT architecture

3 votes
1 answer
353 views

GARCH(1,1)-M MLE optimization with fmincon in R

3 votes
1 answer
11k views

Historical volatility on bloomberg API

0 votes
0 answers
27 views

Pricing Forward Rate Agreement in QuantLib

0 votes
1 answer
55 views

how to add redemptions to amortizing floating bond in dates that are not coupon dates

3 votes
1 answer
290 views

PortfolioAnalytics and regime switching issue

4 votes
1 answer
542 views

Complexity of using balanced-tree to model order book

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