Quantitative Finance

Benefactor

 Benefactor
First bounty you manually award on your own question.
Awarded 134 times.
Avellaneda High-frequency trading in a limit order book
Awarded Feb 22 at 6:20
Is stochastic control with the HJB equation used in market making/algo trading at institutions?
Awarded Dec 30, 2023 at 10:15
At what threshold on delta percentage should I hedge my option portfolio?
Awarded Sep 23, 2023 at 12:02
Vanna Volga Price of an Up and In Put
Awarded Sep 14, 2023 at 5:19
Why can I use equilibrium asset pricing models to predict future returns?
Awarded Apr 24, 2023 at 6:57
Questions on options cost of carry, and relationship to futures cost of carry
Awarded Apr 19, 2023 at 19:25
Estimating the knockout probability of a discretely observed autocall note
Awarded Apr 2, 2023 at 17:07
Gamma for a basket option in Python - Finite Differences vs. AAD Autograd library using Heaviside Approximation
Awarded Mar 30, 2023 at 19:08
Understanding volatility of volatility in realized roughness
Awarded Mar 10, 2023 at 1:18
Existence of an upper bound for risk-factor betas/coefficients
Awarded Dec 23, 2022 at 9:51
The Holy Grail of Volatility Modelling: The SPX & VIX - Why?
Awarded Oct 25, 2022 at 20:40
Variance of the log returns in jump diffusion with time-varying jump sizes
Awarded Oct 5, 2022 at 17:58
Extreme cases of Retained-Earnings to Total-Assets Ratio
Awarded Jul 31, 2022 at 6:08
Cointegration between crypto markets
Awarded Jul 13, 2022 at 7:26
Square root specification of parameters in factor models
Awarded Jul 4, 2022 at 23:32
Significant digits in numerical derivative pricing
Awarded Jun 27, 2022 at 3:21
Expectation of the negative exponential utility function for a Grossman and Miller model
Awarded Jan 13, 2022 at 18:47
Deriving the CAPM from the CML
Awarded Jan 10, 2022 at 21:55
What's the best way to determine if trade was buyer (seller) initiated, having access to bid/ask/last quotes?
Awarded Nov 3, 2021 at 0:46
python library for backtesting buying and selling multiple cryptos
Awarded Sep 17, 2021 at 2:25
LIBOR replacement in client products and prospective pricing
Awarded Sep 10, 2021 at 11:05
Convexity Adjustment of Daily Compounded Swap under Hull-White Model
Awarded Sep 4, 2021 at 0:48
Multi-Period Contribution
Awarded Jun 30, 2021 at 16:47
Bermudan Swaptions - Payer vs. Receiver (LGM)
Awarded May 12, 2021 at 6:17
Global stock market valuations
Awarded Mar 19, 2021 at 18:41
Calculation of market price for option at underlying strike price at some point in future
Awarded Feb 26, 2021 at 4:50
'Optional Early Termination' clause
Awarded Jan 25, 2021 at 14:56
Use of PIT vs TTC PD in a Merton one-factor model
Awarded Oct 20, 2020 at 13:11
Post Trade Analysis for Option MMs
Awarded Oct 16, 2020 at 17:18
NPV of Future Investment: Two Approaches?
Awarded Oct 15, 2020 at 9:31
How to perform Monte Carlo simulations to price a Forward contract under the Schwartz mean reverting model?
Awarded Sep 27, 2020 at 16:40
Hedge fund memos
Awarded Sep 10, 2020 at 17:56
Detect pattern from OHLC data in Python
Awarded Jul 11, 2020 at 15:12
Asset pricing textbooks
Awarded Jul 1, 2020 at 7:15
Numeraire correlated to the traded asset
Awarded Jun 13, 2020 at 17:07
Asset Pricing and inferences - Intercept and relationship to returns
Awarded Jun 8, 2020 at 4:03
Balance Sheet and income statement inconsistency across tickers
Awarded May 20, 2020 at 6:28
Callable Total Return Swap pricing
Awarded May 14, 2020 at 7:50
How to price, hedge ESG-dependent products?
Awarded Apr 29, 2020 at 13:48
CVAR alternatives for optimization
Awarded Apr 8, 2020 at 8:35
Replicating a put option when short selling the underlying is not allowed
Awarded Apr 4, 2020 at 20:00
Why are some currency pairs more volatile than others?
Awarded Feb 2, 2020 at 22:45
Extrapolation between today and the spot date curve building
Awarded Jan 15, 2020 at 10:00
target market correlation for long / short equity portfolio
Awarded Jan 13, 2020 at 13:15
How to calculate standard deviation of continuously compounded four-year stock returns?
Awarded Oct 22, 2019 at 13:55
Valuing structured loans in QuantLib
Awarded Sep 24, 2019 at 0:15
How to quantify the Variance Risk Premium (VRP) with probability density functions?
Awarded Aug 3, 2019 at 12:10
Rolling seasonal and seasonal reversal patterns factor investing
Awarded Aug 2, 2019 at 11:55
Calculating PD of commercial bank loan
Awarded Jun 1, 2019 at 1:05
PCA: How to select a smaller set of the original features that best represent first PC with minimal contribution to the other PCs
Awarded May 25, 2019 at 16:05
Finding optimal trading of option on a foward
Awarded May 21, 2019 at 3:50
Forward Start Spread Options
Awarded May 16, 2019 at 13:20
Why z-spread differs from CDS spread in 1 period example
Awarded Nov 6, 2018 at 19:30
Should there be a relation between stocks when used as input data for integrating Technical Analysis with Machine Learning?
Awarded Nov 2, 2018 at 19:40
continuously compound forward rate formula
Awarded Oct 16, 2018 at 15:20
Why my implementation of CRR model does not converge?
Awarded Oct 15, 2018 at 23:45
Verifying that the extreme value copula is indeed a copula
Awarded Oct 1, 2018 at 22:20
From Butterfly Price to Probability of $S_T$ Falling within a Range
Awarded Aug 30, 2018 at 3:40
Determine the right order size with market making strategy
Awarded Aug 14, 2018 at 13:10
Calculating the efficient frontier from expected returns and SD
Awarded Aug 14, 2018 at 0:40
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