# All Questions

12,628 questions
17 views

### high quality daily data [duplicate]

I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices. Currently I am ...
14 views

48 views

### Pension funds co-investing with private equity?

Not a quant question, but not suited for Money stack exchange... I've heard rumblings of a trend of pension funds co-investing with private equity and was curious as to the reasoning of that strategy ...
61 views

### Valuation of Callable Bonds

Is there any way to price American Callable Bonds (those which can be called on any date before expiration) other than basic CRR interest rate trees, since they won't be accurate enough to give ...
74 views

### Convexity in interest rate curve bootstrapping

Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
23 views

### In a multi-curve context which numéraire is used to change to the payment probability of a forward asset X paid at time T?

Should it be the coupon associated to the funding curve of the asset? Thanks.
21 views

### Crank–Nicolson for Discrete Type Barrier: Backward propagation

The boundary conditions for Discrete Type Barrier (e.g. Up-and-Out) are: - Dirichelet boundary condition (set to 0 when spot is bigger than Barrier) on Barrier event dates - Otherwise (the other sides ...
46 views

### Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
35 views

### Gatheral's SVI implementation in Java/Scala

I am trying to fit equity option implied vols using SVI model in Java, and I am using apache math commons library. Some of the option expiries fit very well, but others are completely off, and I am ...
514 views

### List of interesting Quantitative Finance podcasts

Which podcasts are interesting to listen too for quants? If you recommend one, why?
32 views

### Risk-factors and autocorrelation

I wonder in how far risk-factors and autocorrelation are related. Detected autocorrelation in stock returns is often discarded as not being profitable and thus not impacted market efficiency. ...
37 views

### Does adverse-selection have a time-frame associated with it?

When my limit order gets filled, the price almost always moves against me due to adverse-selection. However, given 'enough' time the price may yet move back in my favour. Has there been any study ...