# All Questions

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### What is the proportion of aggressive orders vs passive orders executed by different types of traders?

It's clear that each aggressive order (or market order or limit crossing BBO) is matched against the same volume of resting limit order(s). I'm interested in statistics per different types of ...
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### Why use sovereign default risk to determine equity risk premiums?

Damodaran's paper "Equity Risk Premiums..." (2016) discusses the standard of using various measures of sovereign default risk (e.g. Moody's ratings, bond default spreads, CDS spreads) to estimate ...
367 views

### Cleaning correlation matrix, Bun Bouchaud Potters (2016) method

Stock returns correlation matrices are notoriously hard to estimate, especially when the number of assets $N$ is large with respect to the size of the readily available historical returns $T$. Many ...
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### Modeling regulations of middlemen

I am searching for some paper that models the regulations of market makers in stock or OTC markets. Is there anybody who have seen some marekt microstructure paper for modeling regulations and what ...
49 views

### Libor Market Model with SABR Calibration

What is the industry practice in calibrating SABR Libor Market Model? Do you first calibrate the SABR model using market data and then implement the libor market model with the calibrated parameters? ...
71 views

### Why are negative option prices possible for callable US treasury bonds?

I am not familiar enough with the theories of option pricing to understand how negative option prices are possible. I found two research papers indicating that negative option prices are indeed ...
50 views

### Realized Volatility of Volatility versus VVIX Index

Hello people of the internet I am doing a little experiment where I want to examine how well the VIX predicts the realized volatility, and how well the VVIX (Volatility of VIX Index) predicts the ...
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### stochastic programming book recommendations

Hi: Can anyone recommend an introductory book on stochastic programming ? There are obviously so many books on Amazon but I can't tell easily which ones could be useful. It would be good if it had ...
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### Hedging XVA sensitivities and funding risk

FVA is a hot topic today and I've been thinking on how its managed inside a treasury department. Although the pricing/calculation is well covered in academic material and there is some sort of ...
184 views

### Which finance models have enjoyed particular success in recent years?

I am looking for a list of recent developments of models in mathematical finance. By recent, I mean this last decade. Which models have been developed and introduced during this period, being met ...
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### Are radial basis functions popular in least squares monte carlo option pricing?

In a Longstaff-Schwarz setting option on several underlyings can be priced using least squares monte carlo. Using suitable set of basis functions, continuation values can be approximated using ...