Quantitative Finance

Enlightened

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First to answer and accepted with score of 10 or more. This badge can be awarded multiple times.
Awarded 318 times.
Does financial math benefit society?
Awarded Sep 1, 2018 at 16:35
Can you replicate an option on an arbitrary basket of stocks?
Awarded Aug 18, 2018 at 9:40
Why is this stochastic integral a martingale?
Awarded Aug 16, 2018 at 3:25
Mathematical equation relating $\frac{dV}{dS}$ to $\frac{dV}{dK}$
Awarded Jul 25, 2018 at 19:10
delta-hedging is failing
Awarded Jul 24, 2018 at 22:50
How can I learn about the quantitative aspects of market making in illiquid single stock options?
Awarded Jul 4, 2018 at 0:38
Order submission strategies of a rational market maker?
Awarded Jun 20, 2018 at 0:33
How is this probability (45%) of Fed raising rates 3 times in 2017 calculated from Fed Funds market?
Awarded May 25, 2018 at 0:01
How is the formula for the VEV (VaR-equivalent volatility) in the PRIIP document derived?
Awarded May 22, 2018 at 9:14
Why the difference between SPY and ^GSPC?
Awarded May 3, 2018 at 21:10
Convexity Adjustment for Futures
Awarded Apr 16, 2018 at 17:54
Why do some people claim the delta of an ATM call option is 0.5?
Awarded Apr 5, 2018 at 15:28
Fama-Macbeth second step confusion
Awarded Mar 11, 2018 at 17:52
Volatility pumping in practice
Awarded Feb 25, 2018 at 21:40
Understanding how market making helps investors
Awarded Feb 2, 2018 at 21:26
How to encode trading strategies mathematically
Awarded Jan 3, 2018 at 20:34
Why can CDS indices be used as a bond market index?
Awarded Dec 22, 2017 at 12:56
Multilayer Perceptron (Neural Network) for Time Series Prediction
Awarded Nov 20, 2017 at 22:02
How to combine multiple trading algorithms?
Awarded Sep 2, 2017 at 3:36
Discrete returns versus log returns of assets
Awarded Aug 19, 2017 at 19:34
Why does the Markowitz mean-variance model require the assumption of normality?
Awarded Aug 18, 2017 at 18:18
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
Awarded Aug 8, 2017 at 16:03
Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations
Awarded Jul 27, 2017 at 7:41
Why would an exchange choose one matching algorithm over another?
Awarded Jul 16, 2017 at 23:15
Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?
Awarded Jul 13, 2017 at 15:14
Is Yahoo! Finance data good or bad now?
Awarded Jul 12, 2017 at 7:53
Ways of treating time in the BS formula
Awarded Jul 5, 2017 at 20:03
Shape and geometry of the yield curve
Awarded Jun 27, 2017 at 7:47
How much can be said about the Greeks without picking a model?
Awarded Jun 18, 2017 at 23:54
Are public historical time series available for ratings of sovereign debt?
Awarded Jun 7, 2017 at 9:56
How to construct a Risk-Parity portfolio?
Awarded Jun 6, 2017 at 7:57
Why doesn't Black-Scholes assume the absence of statistical arbitrage?
Awarded May 11, 2017 at 6:52
What are reasons not to do factor investing in equity markets?
Awarded May 9, 2017 at 8:30
What is the total correlation between assets in a portfolio?
Awarded Apr 27, 2017 at 6:52
Black-Scholes under stochastic interest rates
Awarded Apr 26, 2017 at 22:25
What is the Sharpe ratio of two uncorrelated strategies, each with Sharpe ratio equal 1?
Awarded Mar 6, 2017 at 6:14
What is the unit of the Distance to Default measure?
Awarded Feb 9, 2017 at 16:27
How to simulate correlated Geometric brownian motion for n assets?
Awarded Feb 1, 2017 at 19:43
Pricing a FixedRateBond in Quantlib: yield vs TermStructure
Awarded Jan 27, 2017 at 5:09
Why using the swap curve as riskfree rate and no longer gov bonds?
Awarded Jan 5, 2017 at 9:20
How do I compare implied and historic volatility?
Awarded Dec 24, 2016 at 15:34
Malliavin Calculus
Awarded Nov 14, 2016 at 21:38
How were these SDE derived?
Awarded Oct 19, 2016 at 12:31
What exactly is meant by "microstructure noise"?
Awarded Aug 28, 2016 at 21:59
Is volatility for the next day forecastable? To any extent?
Awarded Aug 4, 2016 at 14:11
Kelly criterion and Sharpe ratio
Awarded May 29, 2016 at 17:50
What is the "leverage effect" for stocks?
Awarded Apr 27, 2016 at 22:58
Why Ito calculus?
Awarded Mar 24, 2016 at 19:20
Estimation of Geometric Brownian Motion drift
Awarded Feb 28, 2016 at 20:34
Calculating log returns using R
Awarded Jan 30, 2016 at 23:20
What happened to the French franc value in August 1969?
Awarded Jan 26, 2016 at 17:48
How to cluster stocks and construct an affinity matrix?
Awarded Jan 22, 2016 at 14:56
Why was NASDAQ(or other index) not fluctuating in 70s and 80s?
Awarded Jan 21, 2016 at 7:36
Arbitrage opportunity interview question
Awarded Dec 28, 2015 at 22:54
What is Ito's lemma used for in quantitative finance?
Awarded Dec 17, 2015 at 4:41
Dec 16: FED rate hike?
Awarded Dec 15, 2015 at 5:01
Skewness and Kurtosis under aggregation
Awarded Dec 4, 2015 at 16:13
Why does it take so many lines of code to price even the simplest of options with QuantLib
Awarded Oct 28, 2015 at 18:13
Why parameterize the Black Scholes implied volatility surface?
Awarded Oct 22, 2015 at 4:53
Concentration risk in credit portfolio
Awarded Oct 20, 2015 at 4:32
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