User zer0hedge

9 votes

What are the significant implications of the long-run average variance rate and why Engle won the Nobel Prize for ARCH model development?

answered Jun 20, 2017 at 18:21

8 votes

Accepted

"a straddle will be equal to two calls delta neutral or two puts delta neutral"?

answered Mar 16, 2017 at 18:38

7 votes

Why are options called what they are called?

answered Apr 3, 2017 at 10:41

7 votes

What are the benefits of publishing papers in mathematical finance/trading?

answered Dec 27, 2018 at 8:42

6 votes

Accepted

Question on an example from "Dynamic Hedging" by Nassim Taleb

answered Mar 5, 2017 at 8:21

5 votes

Soft American Options

answered Mar 21, 2017 at 8:45

4 votes

Normalise daily trading volume/value

answered Apr 14, 2017 at 12:08

4 votes

Is there any useful links for option pricing (american + asian + european) using R

answered Apr 30, 2017 at 7:38

4 votes

Technical Analysis in HFT

answered Jan 4, 2019 at 19:02

3 votes

Sending market order via FIX using R

answered Dec 31, 2019 at 7:39

3 votes

Poker and Options Trading

answered Jun 8, 2017 at 19:01

3 votes

Accepted

How frequently do market makers cancel orders?

answered Jun 29, 2018 at 6:56

3 votes

What are some classical papers to read for a mathematician looking to get into quant finance?

answered May 15, 2017 at 6:58

2 votes

Why is the fair strike of a variance swap called implied volatility?

answered Apr 7, 2017 at 7:15

2 votes

Derivation of BS PDE problem using Delta hedging

answered May 4, 2017 at 13:48

2 votes

Do all assets satisfy the "black scholes type PDE", or just the stocks?

answered Mar 6, 2017 at 6:07

2 votes

What's Risk-Neutral in an Interest Rate Model?

answered Feb 22, 2017 at 12:16

2 votes

Accepted

How much of the insider's private information is incorporated into prices in Kyle's single auction equilibrium model?

answered Mar 25, 2018 at 15:31

2 votes

Papers and books related to "Forex" market microstructure

answered Jun 29, 2018 at 6:42

1 vote

Literature on FX market-maker hedging strategies

answered Jun 29, 2018 at 7:42

1 vote

Value of cash flow for a future in Shreve's book

answered Mar 5, 2017 at 7:48

1 vote

Feature Selection Effect on Deep Multi-Layer-Perceptron for Financial Applications

answered Jan 22, 2015 at 13:16

1 vote

Black-Scholes model and arbitrage free price

answered Mar 19, 2017 at 11:24

1 vote

Why aren't option pricing models more frequently used to value risky cash flows?

answered Jun 5, 2017 at 12:32

0 votes

Accepted

Proof of optimal exercise time theorem for American derivative security in N-period binomial asset-pricing model

answered May 22, 2017 at 18:44

0 votes

When a hedging portfolio $X$ is used to price an asset $V $ expiring at time $T$, is it required that $X(t) = V(t) $ for all $t\in [0, T]$?

answered Apr 3, 2017 at 17:49

0 votes

Variance swap : ok for variance, but where's the square expectation?

answered Apr 6, 2017 at 19:15

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27 Answers

What are the significant implications of the long-run average variance rate and why Engle won the Nobel Prize for ARCH model development?

"a straddle will be equal to two calls delta neutral or two puts delta neutral"?

Why are options called what they are called?

What are the benefits of publishing papers in mathematical finance/trading?

Question on an example from "Dynamic Hedging" by Nassim Taleb

Soft American Options

Normalise daily trading volume/value

Is there any useful links for option pricing (american + asian + european) using R

Technical Analysis in HFT

Sending market order via FIX using R

Poker and Options Trading

How frequently do market makers cancel orders?

What are some classical papers to read for a mathematician looking to get into quant finance?

Why is the fair strike of a variance swap called implied volatility?

Derivation of BS PDE problem using Delta hedging

Do all assets satisfy the "black scholes type PDE", or just the stocks?

What's Risk-Neutral in an Interest Rate Model?

How much of the insider's private information is incorporated into prices in Kyle's single auction equilibrium model?

Papers and books related to "Forex" market microstructure

Literature on FX market-maker hedging strategies

Value of cash flow for a future in Shreve's book

Feature Selection Effect on Deep Multi-Layer-Perceptron for Financial Applications

Black-Scholes model and arbitrage free price

Why aren't option pricing models more frequently used to value risky cash flows?

Proof of optimal exercise time theorem for American derivative security in N-period binomial asset-pricing model

When a hedging portfolio $X$ is used to price an asset $V $ expiring at time $T$, is it required that $X(t) = V(t) $ for all $t\in [0, T]$?

Variance swap : ok for variance, but where's the square expectation?