Quantitative Finance

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Answer a question with score of 1 or more.
Awarded 3521 times.
Why do the Greeks not converge to the strike as the volatility tends to zero?
Awarded 12 hours ago
How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?
Awarded 2 days ago
Determining bet sizes given odds
Awarded Nov 25 at 11:37
Conceptual problem with risk neutrality-What is a 'risk-neutral world', exactly?
Awarded Nov 24 at 15:52
Should I use common equity or total equity for book value? (when replicating Lewellen's 2015 paper on a cross section of expected stock returns)
Awarded Nov 17 at 22:57
How to price a phoenix and snowball type autocallable options?
Awarded Nov 16 at 13:26
Python regenerating ARMA params using statsmodels
Awarded Nov 13 at 11:49
What is the correct / expected behavior for a market order sent to an empty book?
Awarded Nov 5 at 17:25
Valuing an electricity swap
Awarded Nov 1 at 16:33
Derivative pricing under $\mathbb{P}$
Awarded Nov 1 at 12:51
Library of basic indicators
Awarded Oct 31 at 3:11
How to trade forward volatility?
Awarded Oct 26 at 12:46
How to price, hedge ESG-dependent products?
Awarded Oct 25 at 16:42
Should you compute the greeks on realized or implied volatility?
Awarded Oct 24 at 11:36
Why do I need fancy methods to calculate half-life of mean reversion?
Awarded Oct 22 at 15:15
What is the official name for this indicator?
Awarded Oct 18 at 18:46
Method for using Historical Simulation method on an Instrument priced using Monte Carlo
Awarded Oct 18 at 1:41
Consistent offset/lag in time-series prediction using Neural Network (all code provided)
Awarded Oct 17 at 6:08
How do I show that there is no tangency portfolio?
Awarded Oct 16 at 20:26
How do I show that there is no tangency portfolio?
Awarded Oct 16 at 19:47
Оptimal strategy when throwing dice
Awarded Oct 16 at 10:36
Why do we use a simple average for pricing options in MonteCarlo?
Awarded Oct 15 at 13:40
How do asset prices behave in a single-period and multi-period model?
Awarded Oct 14 at 14:20
How to Bloomberg compute the implied Yield ? What is FX swap basis spread?
Awarded Oct 11 at 15:42
Characteristic Function for Wishart Heston Model
Awarded Oct 9 at 21:04
Computing treasury note/bond prices from yield
Awarded Oct 7 at 3:35
How does the recent increase in shorting of US Treasury futures explain the spike in yield for US Treasury?
Awarded Oct 5 at 18:15
annualized vs annual returns
Awarded Oct 3 at 14:37
Probability Puzzle from a Quant Interview
Awarded Sep 29 at 19:33
Probability Puzzle from a Quant Interview
Awarded Sep 28 at 8:51
Probability Puzzle from a Quant Interview
Awarded Sep 28 at 0:28
Probability Puzzle from a Quant Interview
Awarded Sep 27 at 21:42
Probability Puzzle from a Quant Interview
Awarded Sep 27 at 11:56
Can Heston volatility model be used to calculate VaR or CVaR?
Awarded Sep 23 at 14:08
Method for using Historical Simulation method on an Instrument priced using Monte Carlo
Awarded Sep 23 at 12:33
Tricky question about returns
Awarded Sep 20 at 17:05
What does it mean with regards to market conditions that the historical volatility is twice the implied volatility
Awarded Sep 20 at 6:45
(post deleted or otherwise unavailable)
Awarded Sep 14 at 14:50
Question regarding the accuracy of CME FedWatch Tool
Awarded Sep 13 at 22:04
How to price an exchange option using B&S framework?
Awarded Sep 11 at 9:10
Why are long 2 year Treasury futures (ZT) trading at negative carry?
Awarded Sep 6 at 11:45
How is an equity TRS reflected on a balance sheet?
Awarded Sep 4 at 21:12
Why are long 2 year Treasury futures (ZT) trading at negative carry?
Awarded Sep 4 at 17:06
Linear programming and factor models vs M-V optimization?
Awarded Sep 1 at 19:20
Target variables in high frequency trading
Awarded Sep 1 at 14:57
DI futures contract value on bloomberg
Awarded Aug 29 at 18:57
Day-Count-Conventions T-bills, T-notes and T-bonds
Awarded Aug 24 at 15:46
a good book on option pricing from theoretical and practical aspect
Awarded Aug 22 at 18:04
Is market data api subject to regulatory controls?
Awarded Aug 17 at 23:58
Kelly Criterion — maximize expected value and minimize the variance in card game with $x$ red and $y$ black cards
Awarded Aug 17 at 10:51
Bond RV YTM vs maturity or YTM vs duration
Awarded Aug 12 at 11:04
Option Greeks' Formulas for Black & Scholes vs Black 76
Awarded Aug 8 at 7:20
Volatility Forecasting
Awarded Aug 2 at 10:57
FRTB model eligibility of risk factors
Awarded Aug 1 at 12:07
Critical values of trace statistic of Johansen cointegration test for arbitrary number of I(1) variables
Awarded Jul 30 at 19:56
Construction of Itos integral
Awarded Jul 29 at 12:27
(post deleted or otherwise unavailable)
Awarded Jul 28 at 16:37
Trying to understand the notion of required return
Awarded Jul 27 at 13:05
Using CME SOFR Futures in practice
Awarded Jul 26 at 21:43
Funded equity collars and margin loans
Awarded Jul 23 at 20:22
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