# All Questions

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### The most general conditions under which Ito lemma holds

Prompted by a question that came up in the comments here, namely why we can apply the Ito lemma to a function of the form $f(x)=(x-K)^{+}$, I would be interested in knowing what are the least ...
1answer
167 views

3answers
5k views

### Is there a popular curve fitting formula of options skew vs strike price or vs Delta?

I was trying to build a options trading/optimization system. But it often gets more inaccurate as it scans through the far from ATM options because, you know, options skews. That is because I did ...
2answers
5k views

### Modelling with negative interest rates

For a project, I am interested to model the impact of recently negative interest bonds on the portfolio. The literature on modelling negative interest rates is limited, and the only theory I could ...
1answer
10k views

### Time Series Regression with Overlapping Data

I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
6answers
15k views

### Historical Level 2 Data (Market Depth)

I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data. As of right now the best source of historical I have found is automated ...
2answers
19k views

### GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...

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