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Quantitative Finance

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Awarded 3801 times.
Trading pair of cointegrated stocks using options
Awarded 2 days ago
TARF - cumulative profit and knocking out
Awarded Sep 13 at 9:25
Forex data API endpoint that provide last closed candle's HLOC
Awarded Sep 12 at 12:26
Assumptions of the CAPM
Awarded Sep 9 at 12:42
Basel FRTB Vega Sensitivity for Market Risk Capital Standardised Approach
Awarded Sep 8 at 21:41
Help with reading currency pairs
Awarded Sep 7 at 16:17
Calculating greeks by finite difference in MC simulation
Awarded Sep 7 at 15:37
How to estimate the change in risk free yields curve based on equity returns?
Awarded Sep 7 at 10:05
Difference in value - American call and a European call - stock pays a dividend
Awarded Sep 4 at 12:38
Pricing Options on Bloomberg
Awarded Aug 28 at 10:45
In rateslib curve construction, how to control the jump size in step daily forward (log_linear), when i have 2 nodes on 1 instrument?
Awarded Aug 27 at 1:12
How to count number of sets in a sigma-algebra?
Awarded Aug 26 at 3:16
How to test an orderbook using real data
Awarded Aug 21 at 9:32
Use of Non-Risk-Neutral Measure for Pricing Derivatives
Awarded Aug 20 at 14:01
Should the price of a vanilla option be the Weighted average probabilistic payoff?
Awarded Aug 17 at 18:37
How to properly calcualte Realized Variance for WTI?
Awarded Aug 15 at 17:01
In practice, how many days are used to estimate the covariance matrix of factor returns?
Awarded Aug 12 at 19:20
Coupon schedule issue with initial coupon date
Awarded Aug 9 at 14:25
Incremental Variance Estimations on SPX
Awarded Aug 8 at 15:27
Black-Scholes formula for currency exchange rates
Awarded Aug 8 at 9:02
BSM replication with expiry delta
Awarded Aug 7 at 14:33
Is Juneteenth causing a runtime error when bootstrapping curve off of futures?
Awarded Jul 31 at 19:12
Partial scaling out - how does it work with margin
Awarded Jul 29 at 3:41
Train-test split configuration on timeseries data for machine learning optimization
Awarded Jul 28 at 13:31
Efficiently Tracking Order Queue Position In a Limit Order Book Implementation
Awarded Jul 25 at 22:16
Continuation of GARCH(1,1) without data
Awarded Jul 24 at 20:16
American option PDE [closed]
Awarded Jul 13 at 13:45
Short bond convexity
Awarded Jul 10 at 13:32
Upper Bound on European/American Call Option (Hull)
Awarded Jul 7 at 12:37
two guys flip fair coins until they obtain their first heads. it takes strictly fewer flips for one to get his first heads than the other
Awarded Jul 3 at 7:06
How do I predict future earnings dates if I have a database of all prior earnings dates?
Awarded Jul 2 at 20:05
What are the various methods that can be used to acheive a leveraged position of an underlying security? [closed]
Awarded Jun 30 at 4:16
Complicated barrier options
Awarded Jun 26 at 17:20
where can i get all the depth levels of orderbook data for BTC?
Awarded Jun 25 at 6:41
LOBSTER Execution Price
Awarded Jun 20 at 20:10
Setup for proving equation 3.4 from Grinold
Awarded Jun 19 at 20:27
Proof of weights maximizing sharpe of a portfolio
Awarded Jun 19 at 19:28
Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?
Awarded Jun 18 at 12:16
Periodic investments with compound interest: where's the mistake?
Awarded Jun 18 at 8:37
Carry Roll Calculation for Interest Rate Swaps in Nordea Note
Awarded Jun 17 at 15:49
Calculating swap rolldown using the RatesLib Python Library
Awarded Jun 17 at 12:17
Unable to correctly implement the pricing of an American call with multiple discrete dividends using the Clenshaw-Curtis quadrature
Awarded Jun 16 at 14:32
Cross sectional momentum vs time series momentum
Awarded Jun 14 at 1:41
Jamshidian's formulation of Black Derman Toy
Awarded Jun 13 at 2:40
How to calculate zero rate for deposits in an interest rate curve in PiecewiseLinearZero method
Awarded Jun 11 at 12:16
Option: link between Vega and Gamma
Awarded Jun 4 at 12:42
Preferred Option pricing model [closed]
Awarded Jun 3 at 11:05
Skewness Equivalent to Additivity of Variance
Awarded Jun 1 at 21:42
P&L when hedging with realized volatility
Awarded May 30 at 12:05
How do banks hedge their FX TARF trades?
Awarded May 27 at 23:34
Up and Down Multiplicative Factors of the Binomial Option Pricing Model
Awarded May 26 at 10:43
time value of option proportional to sqrt(time)
Awarded May 23 at 23:40
Stochastic representation of a zero-coupon bond
Awarded May 21 at 10:27
How the variance process in discretised form influence the asset price in the Heston model
Awarded May 19 at 14:12
Intuition behind short 1/2 stock in option value - Paul Wilmott Quant Finance Chapter 3.3
Awarded May 19 at 12:56
How to price a buffet or, how to price a subscription? [closed]
Awarded May 17 at 2:10
numéraires change
Awarded May 16 at 21:07
What is the proper way to derive risk definitions from utility functions?
Awarded May 13 at 22:26
Interest Rate forward calculation [closed]
Awarded May 9 at 21:27
Sample selection for a credit scoring model
Awarded May 6 at 12:18
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