Quantitative Finance
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Dom
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46 Answers

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25 votes

Difference between OIS Rate and Fed Funds Rate

23 votes

Value of Call Option as Volatility goes to Infinity

12 votes

How to interpret the 'price' of a CDS?

10 votes
Accepted

Interest rate implied probability of default

9 votes

What is the purpose of short rate models?

9 votes

How do I use machine learning to build a credit scoring model?

7 votes
Accepted

How does longer time to maturity affect standard European call and put option values?

5 votes

Formula to price a CDS Index Option?

5 votes

Why can future forward interest rates be assumed to be lognormally distributed in the standard market model?

5 votes

Why is the duration of a bond important?

4 votes
Accepted

IR Swaps - Curve sensitivity at maturity node

4 votes

Is 3-month LIBOR quoted in annual terms?

4 votes
Accepted

Is there a mathematical relationship between the spread on a collection of individual assets and the spread of a portfolio?

3 votes

Calculating discountmargin using flat yield

3 votes

Which risk free rate is assumed by market when pricing american options?

3 votes

What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?

3 votes

How to price a bond without paper during interview?

3 votes
Accepted

Meaning/importance of "yields" (bonds)

3 votes
Accepted

how to calculate implied volatility

3 votes
Accepted

Market Value of a CDS

3 votes

Calculating the Discount Margin for a FRN

2 votes

Derivative of Time Value of Money by time

2 votes
Accepted

Duration of portfolio equals to zero

2 votes

How to convert a Zero curve to a Discount Curve

2 votes

OIS rate to build Term structure

2 votes
Accepted

Asian option and option pricing

2 votes

rate of convergence for Monte Carlo

2 votes
Accepted

How to derive the relationship between log yield and log price?

2 votes
Accepted

Why is the Black 76 model not considered an interest rate model?

2 votes

Are government bond yields usually expressed as yield to maturity (YTM) or annual yield?

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