Quantitative Finance

Teacher

 Teacher
Answer a question with score of 1 or more.
Awarded 3581 times.
QuantLib-Python: Getting a list of all holidays between D1 & D2 with function "holidayList"
Awarded Apr 10 at 0:42
Adjusting for variance bias when using overlapping data
Awarded Apr 9 at 20:10
The bid-ask spread before transactions
Awarded Apr 9 at 8:41
Accrued interest calculation for floaters linked to O/N rates (such as SOFR)
Awarded Apr 8 at 12:05
How to calculate sigma in order to calculate delta?
Awarded Apr 3 at 15:42
Probability Puzzle from a Quant Interview
Awarded Apr 3 at 15:20
Market-Making stocks with random inventory exposure
Awarded Apr 1 at 1:30
Delta Hedging using another correlated asset
Awarded Mar 27 at 22:15
how to do interpolation in the term structure of volatility surface?
Awarded Mar 26 at 11:10
SABR applications once calibrated
Awarded Mar 22 at 7:55
Analyzing portfolio returns using Fama-French Factors
Awarded Mar 20 at 22:50
Up And Out, negative delta close to barrier
Awarded Mar 19 at 11:11
Sharpe ratio 1 and probability to lose money
Awarded Mar 14 at 17:56
non-Markovian/path-dependent optimal log utility and HJB-PDE
Awarded Mar 11 at 18:30
Interpreting tick by tick stock data
Awarded Mar 10 at 10:18
How calculate expectation and variation of stochastic integral Based on Heston model?
Awarded Mar 7 at 8:57
Link between Vega and Gamma
Awarded Mar 3 at 19:47
Forward Rate Volatility Calculation - Caps for Libor Market Model
Awarded Feb 29 at 18:26
How do you interpret the portfolio DV01?
Awarded Feb 28 at 16:48
Can someone please help me answer this question about Black-Scholes model? (risk-neutral & true probability of the call option)
Awarded Feb 28 at 11:00
Is it possible to create an API for trading completely from scratch
Awarded Feb 26 at 21:06
Infer implied volatility skew/smile from implied distribution
Awarded Feb 26 at 19:56
Black-Scholes model portfolio position
Awarded Feb 25 at 20:17
Roll Critique - CAPM and mean variance tautology?
Awarded Feb 22 at 11:56
How do we determine 0M spot rate for 3M libor?
Awarded Feb 20 at 1:52
How to calculate the Funding Benefit of Equity for a profitability or FTP calculator for a credit union
Awarded Feb 20 at 1:52
QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS
Awarded Feb 15 at 15:05
Is there an encyclopedia of peformance/risk measures for backtests of strategies?
Awarded Feb 14 at 8:00
How fast is the forex market regenerated?
Awarded Feb 9 at 22:18
Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Awarded Feb 5 at 17:06
Do linear combinations of two efficient portfolios cover the entire efficient frontier?
Awarded Jan 31 at 12:56
Monte Carlo based mean variance optimization
Awarded Jan 30 at 18:32
Trying to follow course notes deriving Black-scholes PDE, but I can't fill in the gaps
Awarded Jan 28 at 12:51
Breaking down gamma PnL by time
Awarded Jan 27 at 13:37
filtering implied Vol surface for butterfly arbitrage
Awarded Jan 24 at 16:16
Thinking about time value of an option
Awarded Jan 21 at 18:42
How to obtain a complete list of US stock tickers using Alpha Vantage?
Awarded Jan 20 at 21:03
CDS protection/contingent leg pricing, taking expectation of interest and hazard rates
Awarded Jan 18 at 12:37
STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA
Awarded Jan 17 at 10:33
Understanding FFT's complex number result on option pricing
Awarded Jan 16 at 13:40
Does Gatheral formula for local volatility translate to a constraint on implied volatility
Awarded Jan 15 at 16:49
Getting Dow Jones 30 components data
Awarded Jan 11 at 8:08
MBS Market Duration & Convexity
Awarded Jan 11 at 8:08
Colosseum Fight - A probability problem
Awarded Jan 11 at 5:17
Complete market without risk-neutral measure
Awarded Jan 9 at 13:41
Senior Preferred vs Senior Unsecured Bonds
Awarded Jan 3 at 19:22
Present value of an FX Forward contract at each simulation and time point node of a Monte Carlo simulation
Awarded Dec 29, 2023 at 13:52
Closed form / analytical solution for bespoke (but vanilla) Option
Awarded Dec 28, 2023 at 22:25
References for Stochastic Control for finance
Awarded Dec 28, 2023 at 15:52
Manually calculating and backtesting VaR and CVaR from DCC-GARCH R
Awarded Dec 26, 2023 at 13:27
Highest resolution of stock data?
Awarded Dec 25, 2023 at 20:06
QuantLib FittedBondDiscountCurve does not produce expected rates
Awarded Dec 22, 2023 at 22:21
QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification
Awarded Dec 22, 2023 at 12:11
Is node.js being used in systematic trading software?
Awarded Dec 21, 2023 at 15:36
perpetual American-style call option
Awarded Dec 15, 2023 at 19:01
Pricing bonds using comparables
Awarded Dec 14, 2023 at 20:46
Average time it takes to test a strike?
Awarded Dec 12, 2023 at 9:27
Brownian Motion as a Limit of Simpler Models
Awarded Dec 8, 2023 at 14:27
Liquidity Stress Test of Investment fund - Liquidation tracking error
Awarded Dec 6, 2023 at 19:30
IFRS 9 PiT-PD model when the lagged dependency exceeds one year
Awarded Dec 6, 2023 at 11:40
1
2 3 4 5
…
60