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31 Questions

GARCH model and prediction

portfolio optimization averaging weights, what are benefits?

How to calibrate a volatility surface using SVI

clarification to use collocation methods to get arbitrage free sabr

Greeks of a swaption using Brigo

SVI negative rates

derivation of the hedging error in a black scholes setup

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

multiperiod optimization using R

swaption model for forward swap rate

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

derivation of heston pde in gatheral

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

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

Different ways of portfolio optimization

how to apply a simple copula model

Approximation of different volatilities

FTAP in the model independent case, paper by Schachermayer

reference question about portfolio optimization

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

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

MPT and the connection to asset prices / initial capital

Implied repo rate calculation from Fabozzi

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

taylor expansion of PnL