# Quantitative Finance Stack Exchange Community Digest

## Top new questions this week:

As we can represent the integration of $f(x)$ on $[a,b]$ with the graph below, I was wondering how to represent the following integral with $X(t)$ a Brownian motion, $f(t)$ any function and $t_j = ... stochastic-calculus brownian-motion  asked by TmSmth 7 votes  answered by Magic is in the chain 2 votes ### Numeric example to understand the effect of option gamma Gamma of an option is the second partial derivative of the theoretical value of an option wrt the underlying. It should be the rate of change of Delta wrt to a small change on the underlying. However ... options greeks gamma  asked by luca dibo 5 votes  answered by KeSchn 7 votes ### sign of CVA (Credit Value Adjustment) I recently read chapter 14 of Gregory's The xVA Challenge. He defines CVA as (formula 14.2) $$CVA = -LGD \cdot \sum_{i = 1}^m EE(t_i) \cdot PD(t_{i-1}, t_i),$$ where$LGD$is the Loss Given Default, ... credit-risk cva counterparty-risk  asked by Cettt 3 votes  answered by byouness 0 votes ### Is the vega of a portfolio of a long 0.5 delta and short two 0.25 delta calls positive or negative? More specifically what I am trying to find out is whether the following relationship is always true or not. Same underlying for the calls, assume the most simplistic assumptions (interest rate = ... delta call vega  asked by mebiles 3 votes  answered by Mats Lind 0 votes ### How can the solution to a optimal stopping problem be superharmonic? A general result (Peskir and Shiryaev: Optimal Stopping and Free Boundary Problems, 2006, Thm. 2.4, Page 37) is that the solution to an optimal stopping problem$\sup_\tau EG(X_\tau)$where$X$is ... put stopping-time  asked by findurcards 3 votes ### Overall CAGR calculation I'm one of those data analysts who doesn't have a MBA, so I'm still figuring out the basics of finance as work gets assigned to me. Here's the exact wording I was given: What's the unit cost ... calculation  asked by Flynn Rausch 2 votes  answered by Mehdi Zare -1 votes ### Produce the random variable for an asset from a uniformly distributed random varible I'm working on a quant interview question from the book called Quant Job Interview Questions And Answers (by Mark Joshi and other authors). I cannot understand the following question(not the answer, ... probability distribution numerical-methods  asked by M00000001 2 votes  answered by Oskar 6 votes ## Greatest hits from previous weeks: ### What is a Constant Maturity Swap (CMS) rate? I have been searching in books and on the internet for a basic definition and explanation of CMS rates, but I cannot find anything clear and simple. Can you explain (maybe with an example) what a CMS ... derivatives swaps spread-options cms credit-derivatives  asked by MarinD 3 votes  answered by compilation-error 5 votes ### Difference between OIS Rate and Fed Funds Rate I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral. Is ... interest-rate-swap rates ois  asked by Preetam 11 votes  answered by Dom 10 votes ### What is the Swap Curve? What is the so-called Swap Curve, and how does it relate to the Zero Curve (or spot yield curve)? Does it only refer to a curve of swap rates versus maturities found in the market? Or is it a swap ... yield-curve swaps interest-rate-swap  asked by rex 24 votes  answered by Helin 33 votes ### How fast is QuickFix ? In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ... fix  asked by ali_bahoo 37 votes  answered by murrekatt 27 votes ### How to calculate unsystematic risk? We know that there are 2 types of risk which are systematic and unsystematic risk. Systematic risk can be estimate through the calculation of β in CAPM formula. But how can we estimate the ... risk risk-management risk-models risk-premium  asked by Norlyda 13 votes  answered by Ram Ahluwalia 11 votes ### Calculating Bollinger Band Correctly My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here start, end = ... python moving-average charts  asked by user3314418 8 votes  answered by Sohel Khan 14 votes ### Why are GARCH models used to forecast volatility if residuals are often correlated? The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ... volatility time-series forecasting best-practices  asked by kaybenleroll 22 votes  answered by Richard Herron 15 votes ## Can you answer these questions? ### Call price in case of AOA I have this exercice, and for the last question, i tried to say that with lower bound,$C > S_0 - Ke^{-rT}$which is$-8$something but it doesn't make sense so i don't know what to do. Could we ... option-pricing derivatives risk-neutral-measure  asked by TmSmth 1 vote ### Should the NPV be equal to zero in liquid markets? My question is actually very simple. I would like to motivate it by bringing the following example: suppose we have a (conventional) bond which generates$CF_1;CF_2;...;CF_n\$ cash flow (for ...

yield present-value