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zer0hedge
  • Member for 9 years, 1 month
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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?

8 votes
Accepted

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

7 votes

Why are options called what they are called?

7 votes

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

6 votes
Accepted

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

5 votes

Soft American Options

4 votes

Normalise daily trading volume/value

4 votes

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

4 votes

Technical Analysis in HFT

3 votes

Sending market order via FIX using R

3 votes

Poker and Options Trading

3 votes
Accepted

How frequently do market makers cancel orders?

3 votes

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

2 votes

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

2 votes

Derivation of BS PDE problem using Delta hedging

2 votes

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

2 votes

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

2 votes
Accepted

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

2 votes

Papers and books related to "Forex" market microstructure

1 vote

Literature on FX market-maker hedging strategies

1 vote

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

1 vote

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

1 vote

Black-Scholes model and arbitrage free price

1 vote

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

0 votes
Accepted

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

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 $t\in [0, T]$?

0 votes

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