Quantitative Finance

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Awarded 3650 times.
How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?
Awarded 14 hours ago
Why do the Greeks not converge to the strike as the volatility tends to zero? [closed]
Awarded yesterday
Floor vs Receiver Swaption with Equal Strike
Awarded 2 days ago
Risk-neutral option pricing under distribution assumption
Awarded Nov 28 at 16:48
QuantLib: How to price or construct a zero coupon swap using Quantlib
Awarded Nov 28 at 16:08
Is sorting stocks into portfolio mandatory in Fama-French model?
Awarded Nov 24 at 18:32
How can I price this option? [closed]
Awarded Nov 22 at 16:27
Determining bet sizes given odds
Awarded Nov 22 at 9:48
How to calculate VaR given mean and sd?
Awarded Nov 22 at 7:37
Replication of the payoff of a chooser option
Awarded Nov 18 at 18:11
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 18 at 15:42
Multi level micro price
Awarded Nov 16 at 7:51
Improve Trade Execution For Mid-Frequency Futures Systems
Awarded Nov 15 at 10:41
RangeAccrualFloaterCoupon not visible Quantlib Swig
Awarded Nov 13 at 14:50
Pairs trading stocks without shorting
Awarded Nov 11 at 12:52
Incomplete market
Awarded Nov 3 at 12:42
Derivative pricing under $\mathbb{P}$
Awarded Nov 1 at 21:36
Extending/Subclassing QuantLib Classes in Python?
Awarded Nov 1 at 15:33
CML equation - from where does the square come from?
Awarded Nov 1 at 15:08
American option pricing formulation
Awarded Oct 31 at 21:57
Conditional expectation of increments of stochastic process [closed]
Awarded Oct 31 at 21:33
Zero Coupon Bonds for Structured Products
Awarded Oct 28 at 13:41
$\mathbb{Q}$ measure and $\mathbb{P}$ measure, trading strategy
Awarded Oct 26 at 12:46
How to price, hedge ESG-dependent products?
Awarded Oct 25 at 16:42
Value at Risk for Portfolio of Futures
Awarded Oct 25 at 8:26
Interpretation of optimal weights in portfolio for risk-adjusted return maximization
Awarded Oct 24 at 13:55
PCA for portfolio optimization (Markowitz)
Awarded Oct 23 at 7:36
Assessing the value of risk reversal and the fly
Awarded Oct 20 at 18:57
Checking short term supply and demand in the stock market
Awarded Oct 20 at 7:42
Theta using black scholes when time to maturity approaches 0
Awarded Oct 20 at 6:46
What is the official name for this indicator?
Awarded Oct 19 at 11:55
Half-life of short rate
Awarded Oct 18 at 12:15
How to calculate profit loss curve of a put option [closed]
Awarded Oct 17 at 8:02
Price formula for a claim with payoff $\bf{1}_{W_T \geq K}$
Awarded Oct 17 at 7:01
Explanation of Risk Proxies in FX
Awarded Oct 13 at 2:57
Effect on Forward Swap Rate from a parallel shift in forward curve
Awarded Oct 12 at 20:09
How to find the expression for the SDF and solve this exercise?
Awarded Oct 12 at 12:26
How to Bloomberg compute the implied Yield ? What is FX swap basis spread?
Awarded Oct 12 at 9:17
Characteristic Function for Wishart Heston Model
Awarded Oct 11 at 16:50
Beta adjusting change in market value
Awarded Oct 11 at 11:42
Bounds for Par vs Zero DV01
Awarded Oct 10 at 17:27
Computing treasury note/bond prices from yield
Awarded Oct 9 at 7:27
In the context of derivatives pricing, what are Pillars and Marking?
Awarded Oct 9 at 5:21
Calculating DV01 for Treasury Futures with CTD switch risk
Awarded Oct 2 at 18:16
EM currency bond pricing and swaps
Awarded Sep 30 at 23:36
Probability Puzzle from a Quant Interview
Awarded Sep 28 at 6:57
Confusion about payoff for an option [closed]
Awarded Sep 26 at 15:25
Calibration of Local or Stochastic Volatility Models to Prices vs Implied Volatilities
Awarded Sep 20 at 10:26
Solving Equation for estimation risk averse parameter
Awarded Sep 19 at 18:07
Difference between statistical properties of log returns and simple returns
Awarded Sep 15 at 8:16
Hedge up-knock-in forward option
Awarded Sep 9 at 17:49
In a CRR model, find the Initial investment of the hedging strategy
Awarded Sep 9 at 14:15
Backtesting using microstructure (orderbook) data
Awarded Sep 4 at 13:52
How is Open Interest calculated?
Awarded Aug 25 at 16:32
Bisection method for implied volatility not working for European Put Options
Awarded Aug 25 at 15:50
Zero Curve Interpolation Does Not recover Node point input rates
Awarded Aug 25 at 10:18
Separating Forex Instruments
Awarded Aug 20 at 17:35
How to calculate the variance of this coin flip?
Awarded Aug 18 at 0:33
How to obtain one-step ahead forecast in Python based on GARCH?
Awarded Aug 15 at 14:26
Why must the forward price be equal to the expected value for an underlying security [closed]
Awarded Aug 13 at 15:08
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