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14 votes

2 answers

22k views

GARCH model and prediction

asked Apr 21, 2014 at 8:25

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2 answers

9k views

How to calibrate a volatility surface using SVI

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asked Aug 16, 2015 at 9:16

12 votes

1 answer

212 views

portfolio optimization averaging weights, what are benefits?

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asked Nov 23, 2015 at 15:24

10 votes

3 answers

597 views

clarification to use collocation methods to get arbitrage free sabr

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asked Aug 4, 2016 at 14:54

9 votes

1 answer

4k views

Greeks of a swaption using Brigo

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asked Jul 29, 2015 at 13:30

8 votes

1 answer

1k views

derivation of the hedging error in a black scholes setup

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asked Sep 30, 2015 at 11:53

8 votes

1 answer

477 views

SVI negative rates

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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?

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asked Sep 7, 2014 at 17:46

7 votes

4 answers

3k views

Volatility skew and how to capture it?

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asked Oct 17, 2014 at 16:50

6 votes

2 answers

702 views

tail dependency for portfolio optimization

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asked Sep 22, 2017 at 16:00

5 votes

2 answers

2k views

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

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asked Oct 21, 2015 at 18:02

5 votes

2 answers

1k views

swaption model for forward swap rate

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asked Jan 12, 2015 at 19:38

5 votes

3 answers

1k views

multiperiod optimization using R

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asked Aug 19, 2014 at 18:22

5 votes

2 answers

516 views

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

risk r risk-models value-at-risk

asked Apr 11, 2014 at 8:36

4 votes

1 answer

1k views

derivation of heston pde in gatheral

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asked Dec 23, 2014 at 11:46

3 votes

0 answers

1k views

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

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asked Jan 23, 2015 at 13:22

3 votes

0 answers

388 views

how to apply a simple copula model

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asked Nov 9, 2014 at 13:53

3 votes

0 answers

73 views

FTAP in the model independent case, paper by Schachermayer

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asked Jan 9, 2014 at 14:31

3 votes

2 answers

200 views

Approximation of different volatilities

volatility

asked Aug 20, 2014 at 17:28

3 votes

2 answers

257 views

expected change in value of a derivative in a multicurve framework

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asked May 11, 2016 at 14:27

3 votes

1 answer

509 views

Derivation of Magrabe formula

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asked Oct 14, 2015 at 9:33

3 votes

1 answer

589 views

Different ways of portfolio optimization

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asked Sep 20, 2014 at 13:34

3 votes

1 answer

221 views

Why is this utility function not picking up its penalty?

programming portfolio-optimization asset-allocation utility-theory dynamic

asked Jul 10, 2017 at 6:56

2 votes

2 answers

211 views

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

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asked Dec 2, 2021 at 21:12

2 votes

1 answer

867 views

reference question about portfolio optimization

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asked Jul 22, 2014 at 19:13

1 vote

1 answer

69 views

MPT and the connection to asset prices / initial capital

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asked Sep 9, 2014 at 18:20

1 vote

1 answer

4k views

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

programming

asked Dec 9, 2014 at 18:41

1 vote

1 answer

672 views

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

volatility mathematics

asked Dec 12, 2014 at 7:02

1 vote

3 answers

495 views

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

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asked Feb 8, 2020 at 16:57

0 votes

1 answer

1k views

Implied repo rate calculation from Fabozzi

bond-futures treasuries implied repo-rate

asked Feb 29, 2020 at 20:00

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33 Questions

GARCH model and prediction

How to calibrate a volatility surface using SVI

portfolio optimization averaging weights, what are benefits?

clarification to use collocation methods to get arbitrage free sabr

Greeks of a swaption using Brigo

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?

Volatility skew and how to capture it?

tail dependency for portfolio optimization

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

swaption model for forward swap rate

multiperiod optimization using R

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

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

expected change in value of a derivative in a multicurve framework

Derivation of Magrabe formula

Different ways of portfolio optimization

Why is this utility function not picking up its penalty?

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