User math

15 votes

2 answers

11k views

How to calibrate a volatility surface using SVI

asked Aug 16, 2015 at 9:16

14 votes

2 answers

22k views

GARCH model and prediction

asked Apr 21, 2014 at 8:25

12 votes

1 answer

229 views

portfolio optimization averaging weights, what are benefits?

asked Nov 23, 2015 at 15:24

11 votes

4 answers

4k views

Volatility skew and how to capture it?

asked Oct 17, 2014 at 16:50

10 votes

1 answer

5k views

Greeks of a swaption using Brigo

asked Jul 29, 2015 at 13:30

10 votes

3 answers

730 views

clarification to use collocation methods to get arbitrage free sabr

asked Aug 4, 2016 at 14:54

8 votes

1 answer

2k views

derivation of the hedging error in a black scholes setup

asked Sep 30, 2015 at 11:53

8 votes

1 answer

526 views

SVI negative rates

asked May 23, 2016 at 7:32

8 votes

2 answers

4k views

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

asked Sep 7, 2014 at 17:46

6 votes

2 answers

2k views

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

asked Oct 21, 2015 at 18:02

6 votes

2 answers

781 views

tail dependency for portfolio optimization

asked Sep 22, 2017 at 16:00

5 votes

3 answers

1k views

multiperiod optimization using R

asked Aug 19, 2014 at 18:22

5 votes

2 answers

531 views

quantiative risk measure how they are implemented in R and their use

asked Apr 11, 2014 at 8:36

5 votes

2 answers

2k views

swaption model for forward swap rate

asked Jan 12, 2015 at 19:38

4 votes

1 answer

2k views

derivation of heston pde in gatheral

asked Dec 23, 2014 at 11:46

3 votes

1 answer

1k views

what is the definition of resetting tenor and time to maturity tenor in libor rates

asked Jan 23, 2015 at 13:22

3 votes

0 answers

406 views

how to apply a simple copula model

asked Nov 9, 2014 at 13:53

3 votes

0 answers

75 views

FTAP in the model independent case, paper by Schachermayer

asked Jan 9, 2014 at 14:31

3 votes

2 answers

204 views

Approximation of different volatilities

asked Aug 20, 2014 at 17:28

3 votes

1 answer

234 views

Why is this utility function not picking up its penalty?

asked Jul 10, 2017 at 6:56

3 votes

2 answers

296 views

expected change in value of a derivative in a multicurve framework

asked May 11, 2016 at 14:27

3 votes

1 answer

862 views

Derivation of Magrabe formula

asked Oct 14, 2015 at 9:33

3 votes

1 answer

637 views

Different ways of portfolio optimization

asked Sep 20, 2014 at 13:34

2 votes

2 answers

458 views

How does the market derive market implied rates hike via swaps?

asked Dec 2, 2021 at 21:12

2 votes

1 answer

940 views

reference question about portfolio optimization

asked Jul 22, 2014 at 19:13

1 vote

1 answer

77 views

MPT and the connection to asset prices / initial capital

asked Sep 9, 2014 at 18:20

1 vote

1 answer

4k views

examples of c++ code with application to quant finance [closed]

asked Dec 9, 2014 at 18:41

1 vote

1 answer

703 views

Arrow-Debreu Price in "The Volatility Smile and its implied Tree"

asked Dec 12, 2014 at 7:02

1 vote

3 answers

712 views

Why is the hedging cost using forwards $\frac{F-S}{S}$ and how is this related to Carry?

asked Feb 8, 2020 at 16:57

0 votes

1 answer

3k views

Implied repo rate calculation from Fabozzi

asked Feb 29, 2020 at 20:00

Stack Exchange Network

33 Questions

How to calibrate a volatility surface using SVI

GARCH model and prediction

portfolio optimization averaging weights, what are benefits?

Volatility skew and how to capture it?

Greeks of a swaption using Brigo

clarification to use collocation methods to get arbitrage free sabr

derivation of the hedging error in a black scholes setup

SVI negative rates

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

tail dependency for portfolio optimization

multiperiod optimization using R

quantiative risk measure how they are implemented in R and their use

swaption model for forward swap rate

derivation of heston pde in gatheral

what is the definition of resetting tenor and time to maturity tenor in libor rates

how to apply a simple copula model

FTAP in the model independent case, paper by Schachermayer

Approximation of different volatilities

Why is this utility function not picking up its penalty?

expected change in value of a derivative in a multicurve framework

Derivation of Magrabe formula

Different ways of portfolio optimization

How does the market derive market implied rates hike via swaps?

reference question about portfolio optimization

MPT and the connection to asset prices / initial capital

examples of c++ code with application to quant finance [closed]

Arrow-Debreu Price in "The Volatility Smile and its implied Tree"

Why is the hedging cost using forwards $\frac{F-S}{S}$ and how is this related to Carry?

Implied repo rate calculation from Fabozzi