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Quantitative Finance

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Answer more than 30 days after a question was asked as first answer scoring 2 or more. This badge can be awarded multiple times.
Awarded 1040 times.
cva for a collateralised swap
Awarded Mar 8, 2022 at 1:35
How to prove that markets are incomplete under the Stochastic Volatility model?
Awarded Mar 7, 2022 at 23:18
R squared statistic in predictions of returns
Awarded Mar 1, 2022 at 18:11
Matlab Portfolio Optimization with bid ask spread
Awarded Feb 24, 2022 at 0:57
Black Scholes to Heat Equation - Substitution
Awarded Feb 12, 2022 at 22:12
Mean-EVaR efficient frontier
Awarded Feb 12, 2022 at 19:11
Why is Weighted Least Squares necessary in fundamental factor model?
Awarded Feb 1, 2022 at 20:55
Difference between real and expected average transaction price of an order?
Awarded Jan 27, 2022 at 10:48
Why does the coupon effect mean that higher yields do not necessarily mean that a bond is more attractive?
Awarded Jan 15, 2022 at 21:37
Quantlib ZeroCurve interpolation
Awarded Jan 12, 2022 at 15:07
Fx Currency Pairs Roll over dates
Awarded Jan 3, 2022 at 15:21
Theoretical and practical drawbacks of using Deep Learning for calibration and pricing
Awarded Dec 17, 2021 at 23:25
How to use statsmodels' Granger causality test to measure the lag between two time series?
Awarded Dec 17, 2021 at 22:50
Law of an integrated CIR Process as sum of Independent Random Variables
Awarded Dec 16, 2021 at 23:33
Calculating dealer gamma imbalance/exposure for an options strip
Awarded Dec 10, 2021 at 22:42
Net volume reference for uptick and downtick
Awarded Dec 6, 2021 at 17:16
Intraday Factor Analysis, measuring intraday alpha, etc
Awarded Nov 30, 2021 at 6:36
Option based approach to real capital structures
Awarded Nov 28, 2021 at 8:57
STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing
Awarded Nov 24, 2021 at 20:55
How can I get NAICS (or SICS) data for the 6000+ stocks on the NYSE?
Awarded Nov 9, 2021 at 23:34
Long-Term Energy Price Modelling: Log Returns, Distributions, Time-Weighting
Awarded Nov 9, 2021 at 8:56
Black-Litterman Weights Don't Change for Assets Without Views
Awarded Nov 1, 2021 at 15:16
Testing the validity of a factor model for stock returns
Awarded Oct 31, 2021 at 7:41
How USD indexed bonds work and what is their relation to USD futures?
Awarded Oct 26, 2021 at 13:26
How do I calculate the probability of a short option position expiring worthless?
Awarded Oct 22, 2021 at 18:17
Quantatively identifying stocks to short when overall market starts to roll-over
Awarded Oct 20, 2021 at 18:56
Error when trying to estimate a Markov-switching Var model in R
Awarded Oct 20, 2021 at 2:33
Fama-Macbeth practitioner's step by step guide?
Awarded Oct 14, 2021 at 19:20
Local Volatility Monte Carlo option price - different starting index level
Awarded Oct 14, 2021 at 13:13
Specify fixing days for floating leg in Interest Rate Swap valuation using QuantLib Python
Awarded Oct 14, 2021 at 2:57
What was the probability distribution used for Mortgage Backed Securities (MBSs) during the subprime crisis?
Awarded Oct 12, 2021 at 16:48
question on QuantLib schedule to get bond coupon payment dates - python
Awarded Oct 11, 2021 at 15:34
Change of numéraire for two risky assets without bank account (Margrabe’s formula?)
Awarded Oct 11, 2021 at 11:32
What is the market share of MSCI Barra Equity Model?
Awarded Oct 6, 2021 at 16:36
Maximum Sharpe ratio and mean-variance optimization
Awarded Oct 5, 2021 at 17:23
How to conduct an event study for multiple companies with different event dates?
Awarded Sep 26, 2021 at 19:50
QuantLib Inaccurate - American Put Option with Discrete Dividends
Awarded Sep 20, 2021 at 6:02
Bond Future and Bond Yield relation
Awarded Sep 17, 2021 at 15:45
Portfolio Optimization constrained to maximum N% of short selling portfolio weights
Awarded Sep 13, 2021 at 15:25
Optimise the Sharpe ratio of a portfolio of uncorrelated assets
Awarded Sep 13, 2021 at 10:51
Data sources on derivative book composition for large investment banks
Awarded Sep 11, 2021 at 12:52
Errata for Mark Joshi's Concepts and practice of mathematical finance
Awarded Jul 30, 2021 at 18:27
Why are negative option prices possible for callable US treasury bonds?
Awarded Jul 29, 2021 at 17:16
"Spot rate is not observable" meaning
Awarded Jul 28, 2021 at 11:10
Approximate Asian option price under Heston Model
Awarded Jul 28, 2021 at 0:52
What is Dual Delta?
Awarded Jul 24, 2021 at 23:03
forward- and backward adjusting stockprices
Awarded Jul 12, 2021 at 7:17
Confidence Intervals for ARMA+GARCH forecasts
Awarded Jul 6, 2021 at 18:34
FX Option Price Quotation
Awarded Jul 5, 2021 at 16:40
Can the carry of bond future be approximated by conventional yield and implied repo?
Awarded Jul 2, 2021 at 0:11
Difference in weekly and monthly data
Awarded Jun 25, 2021 at 21:21
Many quants optimize sharpe ratios, sortino ratios, or anything of the form A/B. What about maximizing something of the form (AB)/(CD)?
Awarded Jun 18, 2021 at 14:07
Arbitrage in a Single Index Model
Awarded Jun 15, 2021 at 7:40
Calibration of Theta, A(t) and B(t) of Hull White 1Factor model
Awarded Jun 12, 2021 at 11:30
Volatility adjustment for SOFR/OIS caplet referencing LIBOR vol
Awarded Jun 5, 2021 at 20:36
Black-Scholes equation Variational / Weak form
Awarded Jun 3, 2021 at 22:17
Fama-French three-factor model vs four-factor (Carhart) and five-factor model
Awarded Jun 2, 2021 at 11:42
Valuing TRYUSD currency swap on Bloomberg
Awarded May 31, 2021 at 6:47
How to price a call option with long maturity (5 to 10 years)
Awarded May 30, 2021 at 18:31
Annualised returns and volatility for 3 month data
Awarded May 29, 2021 at 0:47
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