Community Digest

Top new questions this week:

What are the most crucial research areas currently in quantitative finance/interesting subfields?

What are some of the things that are currently being researched, or what are the big unanswered questions of quantitative finance that researchers are trying to solve? What are some interesting and ...

asked by user505999 13 votes
answered by Magic is in the chain 8 votes

Option Price vs. Implied Volatility

I was doing an exercise on investigating the relationship between European Call option price and its volatility. I was asked to compute $\frac{\partial^2C}{\partial \sigma^2}$ and find out the domain ...

option-pricing volatility implied-volatility  
asked by Van Tom 6 votes
answered by Jan Stuller 10 votes

Difference between OIS Rate and Risk-Free Rate

What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...

interest-rate-swap libor ois sofr  
asked by Nhat 4 votes
answered by Attack68 5 votes

Transition to SOFR Swaps and single curve pricing

As in the US there is a push to replace IBOR based swaps with SOFR rate does that mean that SOFR swap pricing will return to using a single curve framework as LIBOR swaps did pre the financial crisis?

interest-rates interest-rate-swap sofr  
asked by Skrrrrrtttt 4 votes

Deriving the solution for European call option in the Heston Model

I'm deriving the solution for European call option in the Heston Model. I follow the original paper by Heston and Fabrice Douglas Rouah's derivations in his book The Heston Model and Its Extensions in ...

options option-pricing derivatives heston  
asked by Modvinden 3 votes
answered by Kevin 4 votes

Does the Shannon entropy of stock returns change over time?

Shannon entropy, $H(X) = -\sum_{i=1}^n p(x) \ln p(x)$ is a probabilistic measure of randomness or disorder within a random variable's probability distribution or histogram. If we take rolling window ...

time-series returns probability rolling entropic-value-at-risk  
asked by develarist 3 votes

Building a percent of floating rate IRS in QuantLib

Just starting to learn Quantlib for Python. I am trying to figure out how you create an interest rate swap where the floating leg is a percent of the floating index. For example, the floating leg ...

asked by jDraper 2 votes
answered by Dimitri Vulis 2 votes

Greatest hits from previous weeks:

Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?

Renaissance Technologies Medallion fund is one of the most successful hedge funds - ever! Yet it is very secretive. Do you have information on the strategy used that is not yet mentioned in the ...

strategy quant-funds  
asked by vonjd 25 votes
answered by SRKX 18 votes

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...

programming database  
asked by Peter Peter 41 votes
answered by mollmerx 19 votes

What does the prefix PX stand for on a Bloomberg Terminal?

Regarding PX_LAST, PX_VOLUME etc... What does the "PX" prefix stand for?

bloomberg terminology  
asked by user2397817 6 votes
answered by assylias 14 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 25 votes
answered by Helin 35 votes

Digital Signal Processing in Trading

There is a concept of trading or observing the market with signal processing originally created by John Ehler. He wrote three books about it. Cybernetic Analysis for Stocks and Futures Rocket Science ...

trading digital-signal-processing  
asked by ali_bahoo 32 votes
answered by Jonathan Shore 28 votes

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...

market-data historical-data  
asked by user190080 44 votes
answered by Paul 33 votes

How does the "risk-neutral pricing framework" work?

I've struggled for a long time to understand this - What is this? And how does it affect you? Yes I mean risk neutral pricing - Wilmott Forums was not clear about that.

risk risk-management  
asked by Jack Kada 45 votes
answered by vonjd 34 votes

Can you answer these questions?

Swap curve is unsmooth at front end with naive interpolation

I am looking at swap curve building at front end and find it difficult to get a smooth forward curve with a fast generic algorithm. For example, EUR 6m curve has 6m deposit, and then a series of FRAs (...

fixed-income finance swaps interest-rate-swap interest  
asked by vicpmath 1 vote

Explicit expression for option prices in SABR?

I am trying to get a grip of the current state of research regarding option pricing in the SABR model. Am I correct in that, so far, there is no known general formula for the option price in the SABR ...

option-pricing stochastic-calculus calibration heston sabr  
asked by Jesper Tidblom 2 votes

Poisson modelling of non-life insurance claims with reporting delay

I am considering a portfolio of car insurance policies. In order to capture the individual history (driving skills, age, etc.) of policyholders, it is assumed that the claim numbers $N(t)$ are modeled ...

poisson actuarial-science  
asked by Jonathan Kiersch 2 votes
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