# Questions tagged [derivatives]

A financial contract whose payoff is linked to the evolution of an underlying security.

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### How do market makers chose the size that they quote?

A typical quote in the derivatives market may be 2.00 bid at 2.50 ask with a size of say 100x100. How do practitioners go about choosing the size of the market (how many contracts) to quote? It seems ...
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### Derivatives - how to build the term structure of the cost of carry

1) By using the settlement prices, build the term structure of the cost of carry for the contract. Use the first two contracts to extract the implicit index that you will be using for all the ...
51 views

### partial derivatives of multivariable function

Looking to verify whether the following formulation is correct. Suppose we have the following function, relationships: $$y=f(x)$$ $$x=g(a,b)$$ $$y=f[g(a,b)]$$ Is the below correct (including ...
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### i have an option derivative question

please show that the call and the put share the same vega, i.e., please prove the following equality. do we derive the call and put equations ?
45 views

### Algorithmic trading strategies for financial derivatives

are there any strategies or considerations specifically designed for the algorithmic trading of financial derivatives, or textbooks that focus on this topic rather than underlying equities and ...
21 views

### Quantlib gives error message when Valution date is backdate

Valuation Date As Backdate(12 November 2019) On calcuating Vanilla Swap, Quantlib gives error message as below ...
48 views

### Call price in case of AOA

I have this exercice, and for the last question, i tried to say that with lower bound, $C > S_0 - Ke^{-rT}$ which is $-8$ something but it doesn't make sense so i don't know what to do. Could we ...
156 views

### Is EONIA swap rate really credit risk free?

I have a question linked to the EURIBOR – EONIA spread (or OIS LIBOR spread). I understand that the EURIBOR - EONIA spread is a credit risk indicator of the interbank market. There is something I ...
131 views

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### How to determine expected returns of an options portfolio?

Lets say I have a delta neutral portfolio, iron condors on spy for example. I'm short a call credit spread and a put credit credit spread of equal widths. I would like to determine the expected ...
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### Can someone explain to me the intuition behind the discount factor for this simple payoff? [closed]

Let's say you enter into a contract today in which in time t, you receive the difference between the underlying stock price and 100. Denote the stock price as S. Why is today's value of such a ...
84 views

### Pricing with local volatility for derivatives beside options

Say I have calibrated an local volatility mode to market data on a forward on stock X. Say I want to price a derivative Y that is NOT a call/put option. What is the (or one of many) general strategy ...
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### Where can I find the formulas to compute the Greeks for European Call and Put Options Assuming no annual dividend yield?

Every formula I come across involves a $q$ (the annual dividend yield). Where Can I find the formulas to compute the greeks assuming no dividends?