Quantitative Finance

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 Famous Question
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Awarded 459 times.
How is the formula for the VEV (VaR-equivalent volatility) in the PRIIP document derived?
Awarded yesterday
Can you calculate modified duration for swaps?
Awarded Sep 24 at 11:27
Why is 'duration' not the same as 'spread duration' for risky bonds
Awarded Sep 21 at 8:19
How to calculate the implied volatility using the binomial options pricing model
Awarded Sep 18 at 0:47
Volatility of a multiple-asset portfolio [closed]
Awarded Aug 22 at 9:19
non-subadditivity of VaR
Awarded Aug 21 at 14:21
What is the difference between "Notional" and "Nominal" values?
Awarded Aug 21 at 7:11
API for after and pre market data
Awarded Aug 2 at 9:08
What is a stationary process?
Awarded Jul 30 at 9:21
Dollar-Neutral Strategy
Awarded Jul 29 at 23:10
What if CAPM cost of equity is negative?
Awarded Jul 29 at 1:49
How to annualize intra-day volatility on minute data?
Awarded Jul 12 at 16:20
Relationship between forward and option prices
Awarded Jul 5 at 9:36
Valuation of repurchase agreement (classic repo)
Awarded Jun 28 at 12:11
Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?
Awarded Jun 28 at 1:05
Skew and shadow delta
Awarded Jun 27 at 8:11
Fama-French Data from daily to monthly returns
Awarded Jun 15 at 17:41
Where to get historical intraday stock data?
Awarded Jun 12 at 5:42
What are some of the best textbooks on Fixed Income securities?
Awarded Jun 9 at 18:46
How to find the formula for the half-life of an AR(1) process (using the Ornstein–Uhlenbeck process)
Awarded May 26 at 17:07
When does delta hedging result in more risk?
Awarded May 22 at 9:51
What are the quantitative finance papers that we should all have in our shelves?
Awarded May 20 at 14:07
What mathematical theory is required for high frequency trading?
Awarded May 17 at 0:14
Interpreting the coefficients of Fama-MacBeth regression
Awarded May 15 at 4:16
Volatility pumping in practice
Awarded May 5 at 7:46
How do Trade-At-Settlement orders work?
Awarded May 3 at 16:36
Rest API to retrieve ISIN
Awarded Apr 19 at 12:30
Early exercise of American options
Awarded Mar 27 at 9:02
What is the importance of alpha, beta, rho in the SABR volatility model?
Awarded Mar 19 at 7:55
How to hedge the fixed leg of a swap contract?
Awarded Mar 13 at 17:21
Long/Short Vega and Option Positions
Awarded Feb 28 at 21:16
Bachelier model VS Black Scholes in call option pricing. Why are they so different?
Awarded Feb 27 at 3:50
How to price an option on a dividend-paying stock using the binomial model?
Awarded Feb 26 at 5:49
How to exploit calendar arbitrage?
Awarded Feb 22 at 14:32
Why linear interpolation not appropriate for volatility surface construction?
Awarded Feb 16 at 19:57
Forward implied volatility
Awarded Feb 13 at 22:04
Calculating the returns of a long/short strategy
Awarded Feb 3 at 21:05
robust open source Kalman filter library in C++
Awarded Feb 3 at 17:18
What is the best alternative of Quantlib library
Awarded Feb 3 at 14:10
How to calibrate a volatility surface using SVI
Awarded Jan 28 at 7:55
How do I get a list of yahoo tickers for NYSE
Awarded Jan 21 at 22:35
Implementing data-structures in a Limit order book
Awarded Jan 8 at 2:18
Explaining the Risk Neutral Measure
Awarded Dec 30, 2022 at 3:10
What is the difference between pull to par and roll down in both mathematics and conceptual?
Awarded Dec 21, 2022 at 12:06
Pricing of a Foreign Exchange Vanilla Option
Awarded Dec 17, 2022 at 6:21
Avellaneda -Stoikov market making model
Awarded Dec 8, 2022 at 1:08
Squared and Absolute Returns
Awarded Nov 15, 2022 at 13:19
Are 3 month t-bill rates in FRED annualized?
Awarded Nov 14, 2022 at 3:27
Yahoo Calendar - What does TAS mean?
Awarded Nov 4, 2022 at 13:16
Ways of treating time in the BS formula
Awarded Nov 4, 2022 at 9:05
Long Gamma vs Vega
Awarded Nov 1, 2022 at 4:48
Calculating portfolio risk
Awarded Oct 18, 2022 at 22:17
interest rate swap: PV01 vs DV01
Awarded Oct 18, 2022 at 20:19
Carr-Madan Formula
Awarded Oct 18, 2022 at 15:35
Rationale of Fama Macbeth procedure
Awarded Oct 5, 2022 at 3:11
What is curvature risk?
Awarded Sep 30, 2022 at 16:35
How do I calculate Sharpe ratio from P&L?
Awarded Sep 20, 2022 at 21:41
Sharpe ratio and leverage
Awarded Sep 15, 2022 at 9:33
Gradient tree boosting -- do input attributes need to be scaled?
Awarded Sep 7, 2022 at 6:58
What exactly is meant by "microstructure noise"?
Awarded Aug 30, 2022 at 23:34
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