User Kiwiakos

17 votes

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

answered May 11, 2016 at 6:34

16 votes

Accepted

Difference between GARCH and Heston Volatility model

answered Mar 14, 2015 at 1:53

12 votes

Present and future role of pricing quants

answered Dec 5, 2015 at 10:09

11 votes

Accepted

James Simons (Renaissance Technologies Corp.) and his model

answered Sep 9, 2016 at 7:56

9 votes

Accepted

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

answered Jan 5, 2016 at 20:05

8 votes

Implied volatility of a complex options position

answered Jan 15, 2016 at 21:39

8 votes

Accepted

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

answered Sep 26, 2016 at 19:12

7 votes

Accepted

SVI negative rates

answered May 25, 2016 at 8:54

7 votes

What is the preferred GARCH method in practice?

answered Nov 13, 2015 at 19:26

7 votes

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

answered Jan 5, 2015 at 0:18

7 votes

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

answered Jan 25, 2016 at 12:49

7 votes

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

answered Nov 9, 2015 at 17:00

7 votes

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

answered Apr 29, 2015 at 6:55

7 votes

Accepted

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

answered Jul 21, 2014 at 14:59

7 votes

Accepted

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

answered Aug 3, 2014 at 8:54

6 votes

How is PnL calculated

answered Jul 21, 2014 at 14:45

6 votes

Accepted

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

answered May 24, 2016 at 6:29

5 votes

What just happened in the market?

answered Sep 21, 2016 at 6:17

5 votes

Accepted

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

answered Jan 26, 2016 at 7:32

5 votes

Accepted

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

answered Aug 4, 2014 at 10:21

5 votes

Best written quantitative finance papers

answered Mar 31, 2015 at 0:14

5 votes

Accepted

parameters in Heston model and their impact on volatility smile

answered May 9, 2015 at 18:00

5 votes

Is a stationary process necessarily mean-reverting?

answered Apr 15, 2015 at 15:40

5 votes

What can I use to measure of diversification?

answered Nov 11, 2015 at 21:15

4 votes

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

answered Dec 31, 2015 at 10:30

4 votes

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

answered May 15, 2015 at 12:10

4 votes

Stationary distribution for square root process

answered May 13, 2015 at 16:34

4 votes

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

answered Jan 16, 2016 at 11:57

4 votes

Local volatility surface corresponding to the implied volatility surface

answered Mar 14, 2015 at 1:59

4 votes

In portfolio theory, has volatility a logical place as an asset class?

answered Dec 27, 2016 at 16:04

Stack Exchange Network

113 Answers

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

Difference between GARCH and Heston Volatility model

Present and future role of pricing quants

James Simons (Renaissance Technologies Corp.) and his model

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

Implied volatility of a complex options position

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

SVI negative rates

What is the preferred GARCH method in practice?

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

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

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

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

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

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

How is PnL calculated

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

What just happened in the market?

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

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

Best written quantitative finance papers

parameters in Heston model and their impact on volatility smile

Is a stationary process necessarily mean-reverting?

What can I use to measure of diversification?

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

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

Stationary distribution for square root process

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

Local volatility surface corresponding to the implied volatility surface

In portfolio theory, has volatility a logical place as an asset class?