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Kiwiakos
  • Member for 9 years, 8 months
  • Last seen more than a week ago
17 votes

Why aren't econometric models used more in Quant Finance?

16 votes
Accepted

Difference between GARCH and Heston Volatility model

12 votes

Present and future role of pricing quants

11 votes
Accepted

James Simons (Renaissance Technologies Corp.) and his model

9 votes
Accepted

Why aren't the Fama-French 3 factors orthogonal to each other?

8 votes

Implied volatility of a complex options position

8 votes
Accepted

How can the market price of a stock be significantly lower than its Bid and Ask?

7 votes
Accepted

SVI negative rates

7 votes

What's the name of this nearly-brownian stochastic process?

7 votes

What is the preferred GARCH method in practice?

7 votes

Does the fact that volatility is not constant imply existence of skew?

7 votes

Ran multivariate linear regression, checked normal probability plot, residuals are not normal. What can I do?

7 votes

Why the expected return rate of a stock has nothing to do with its option price?

7 votes
Accepted

How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?

7 votes
Accepted

Why doesn't Variance-Gamma process flatten volatility skew for short term options?

6 votes

How is PnL calculated

6 votes
Accepted

Interpret simulation results ($P$ and $Q$ measures)

5 votes

What just happened in the market?

5 votes
Accepted

What is the effect of dividend yield being greater than the risk-free rate to American options pricing?

5 votes
Accepted

parameters in Heston model and their impact on volatility smile

5 votes

Best written quantitative finance papers

5 votes

Is a stationary process necessarily mean-reverting?

5 votes

What can I use to measure of diversification?

5 votes
Accepted

Why the diff of signal is called positions and what does it mean in backtesting?

4 votes

Why don't real-world probabilities affect the price of a call in a 1-step binomial model?

4 votes

How to interpret negative log return more than -100%?

4 votes

For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?

4 votes

Stationary distribution for square root process

4 votes

How can an inverted yield curve in a liquid market exist?

4 votes

Local volatility surface corresponding to the implied volatility surface