Quantitative Finance

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Answer a question more than 60 days later with score of 5 or more. This badge can be awarded multiple times.
Awarded 529 times.
Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator
Awarded Nov 21 at 21:37
Why Drifts are not in the Black Scholes Formula
Awarded Nov 10 at 11:11
formula for physical DV01 of interest rate swap
Awarded Aug 13 at 21:33
What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Awarded Aug 11 at 1:50
How to construct a Risk-Parity portfolio?
Awarded Jul 26 at 20:16
Interpreting Fama-French factors for the German stock market
Awarded Jul 26 at 8:05
What is an efficient data structure to model order book?
Awarded Jul 24 at 19:18
How to price very short dated options?
Awarded Jul 16 at 17:25
Why SVI does not fit well short-maturity options?
Awarded Jul 5 at 22:05
Gamma PnL Formula and Break-Even volatility
Awarded Jun 28 at 0:02
What is the purpose of short rate models?
Awarded Jun 17 at 20:47
Value of a European Call option with Infinite maturity
Awarded May 30 at 13:12
VIX options historical data
Awarded May 16 at 23:22
Discrete returns versus log returns of assets
Awarded May 12 at 5:10
What are popular metrics for Option Skew?
Awarded May 4 at 21:50
Fastest way to calculate YTM from bond price
Awarded Apr 30 at 20:17
BUS/252 accrual - why 252?
Awarded Apr 21 at 11:01
Who has introduced the term 'vega' and why?
Awarded Apr 21 at 8:10
Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?
Awarded Apr 12 at 3:18
Pricing a fixed rate bond in Quantlib Python
Awarded Apr 3 at 13:27
Black Scholes Constant Implied Volatility
Awarded Mar 31 at 8:10
What are some useful approximations to the Black-Scholes formula?
Awarded Mar 22 at 12:26
Why is the VIX futures market usually in a state of contango?
Awarded Mar 22 at 9:01
SDF as an affine transformation of the tangency portfolio
Awarded Mar 10 at 14:10
What is the name (Greek) for sensitivity of an option's Theta to the Time to maturity?
Awarded Mar 7 at 9:41
What is an efficient data structure to model order book?
Awarded Feb 1 at 0:45
Why does the volatility smile flatten as maturities increase?
Awarded Jan 21 at 18:42
Integral of Brownian motion w.r.t. time
Awarded Jan 19 at 0:50
Geometric Brownian Motion - Price Probabilities
Awarded Jan 16 at 19:18
Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Awarded Jan 3 at 15:11
An example of Feynman-Kac
Awarded Jan 2 at 16:02
What is C++ used for when writing code at High Frequency Trading firms?
Awarded Jan 2 at 14:06
What is the importance of alpha, beta, rho in the SABR volatility model?
Awarded Dec 30, 2022 at 11:43
Video lectures and presentations on quantitative finance
Awarded Dec 22, 2022 at 1:41
Video lectures and presentations on quantitative finance
Awarded Dec 22, 2022 at 1:41
Sample uniqueness and sample weight in AFML book
Awarded Dec 20, 2022 at 22:11
FX Option pricing on Forward vs. Spot
Awarded Dec 16, 2022 at 18:01
(post deleted or otherwise unavailable)
Awarded Dec 16, 2022 at 4:07
Is F# used in trading systems?
Awarded Dec 14, 2022 at 18:17
Known mispricing opportunities only available for small traders
Awarded Nov 27, 2022 at 17:31
R ARMA-GARCH rugarch package doesn't always converge
Awarded Oct 18, 2022 at 23:11
Identify Iceberg Orders
Awarded Sep 22, 2022 at 11:27
Trading C++ Libraries
Awarded Sep 21, 2022 at 14:27
Backtesting using microstructure (orderbook) data
Awarded Aug 24, 2022 at 16:05
Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Awarded Aug 19, 2022 at 13:37
Alternative to tradertest.org for mental math practice
Awarded Aug 2, 2022 at 14:01
Optimality of Kelly criterion in non-normal environment
Awarded Jul 21, 2022 at 12:17
Where can I get historical data for crypto currencies with one minute interval?
Awarded Jul 17, 2022 at 12:03
Mathematical proof of $g = \mu - \frac{\sigma^2}{2}$ relationship between CAGR and average returns
Awarded Jul 7, 2022 at 15:18
How do bond pricing formulae differ between the US, UK and the Euro zone?
Awarded Jun 30, 2022 at 13:41
How to calculate US treasury total return from yield?
Awarded Jun 8, 2022 at 20:50
Does your Parkinson volatility ratio work as Taleb explained?
Awarded Jun 8, 2022 at 9:20
Bachelier model call option pricing formula
Awarded Jun 6, 2022 at 8:57
Is there a good closed-form approximation for Black-Scholes implied volatility?
Awarded Jun 5, 2022 at 14:51
Is there any thing out there as a substitute for KDB?
Awarded Apr 15, 2022 at 21:55
Cap/Floor ATM Rate
Awarded Apr 12, 2022 at 19:41
What's the difference between PV01 and DV01 of a bond?
Awarded Apr 5, 2022 at 21:34
What does the prefix PX stand for on a Bloomberg Terminal?
Awarded Mar 25, 2022 at 16:34
How to model asset prices for a very short time period
Awarded Mar 23, 2022 at 20:51
How to gamma hedge and vega hedge an autocallable product?
Awarded Feb 8, 2022 at 5:51
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