User Will Gu

8 votes

Is CAPM a cross sectional or time series model?

answered May 21, 2018 at 19:21

5 votes

How to use factor models for prediction?

answered Dec 7, 2016 at 1:10

3 votes

Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

answered Nov 11, 2015 at 1:49

3 votes

Mean and standard deviation of price series with Kalman

answered Apr 27, 2017 at 15:06

2 votes

I need liquidity metrics of a portfolio (2-5 bonds) that takes into consideration difference in size of bonds and maturity profile

answered Apr 19, 2018 at 7:28

2 votes

Yield To Maturity calculations for risk-free vs risky bonds

answered Apr 19, 2018 at 18:39

2 votes

How to estimate Black Scholes parameters using Maximum Likelihood estimate method

answered May 18, 2018 at 19:36

2 votes

Accepted

Simulating a stock price with Monte Carlo - Why my solution isn't equivalent to the author's

answered Dec 7, 2016 at 1:37

2 votes

Accepted

Yield curve PCA vs real life frequency

answered Dec 5, 2016 at 18:55

2 votes

Algorithmic Execution Literature/References

answered Dec 15, 2016 at 7:28

1 vote

Time Step Size for Heston Model for Different Option Maturity

answered Dec 5, 2016 at 19:06

1 vote

Is there an efficient method or technique to find an arbitrage between two FX dealers?

answered Dec 5, 2016 at 19:21

1 vote

Accepted

Calculating 3 month libor from 1 year libor?

answered Dec 20, 2016 at 8:35

1 vote

Question on implied vol (surface) and strikes

answered Dec 22, 2016 at 19:38

1 vote

Accepted

What is currently predictable in the stock and bond markets and what is not

answered Dec 22, 2016 at 22:27

1 vote

How exactly do I calculate and interpret factors in Fama-French model?

answered Dec 12, 2016 at 19:09

1 vote

ARIMA model coefficients from discontinuous data series

answered Oct 2, 2016 at 20:47

1 vote

Delta re-hedging with options

answered Dec 5, 2016 at 18:48

1 vote

Accepted

What is the relationship of Value-at-Risk of a random variable $X$ and a constant $D$ $VaR_{\alpha}(min(X,D))$and $VaR_{\alpha}(X)$?

answered May 19, 2018 at 14:03

1 vote

Interpertation of delta hedge error in Black Scholes

answered Apr 19, 2018 at 7:52

1 vote

Which Algorithmic trading library would you recommend for trading Bitcoin?

answered Dec 4, 2017 at 23:41

1 vote

Duration and DV01 vs coupon rate

answered Feb 21, 2017 at 16:01

1 vote

Bond recovery rate with coupon

answered Apr 1, 2018 at 5:05

1 vote

Negative high frequency intraday volatility - Zhou estimator

answered Feb 13, 2020 at 14:05

0 votes

The ambiguity of the term "duration"

answered Dec 4, 2017 at 23:56

0 votes

Intuitively speaking, why do at the money options have no volga/convexity?

answered Jan 7, 2016 at 15:05

0 votes

American call and put prices, increasing in maturity

answered Jan 15, 2016 at 15:28

0 votes

Volatility Surface for Inverse FX pair / Indirect Quote

answered Dec 27, 2016 at 4:34

0 votes

6 month curve from 3 month forward rate agreements

answered Dec 20, 2016 at 19:21

0 votes

Heston model with Jumps

answered Dec 16, 2016 at 6:22

Stack Exchange Network

31 Answers

Is CAPM a cross sectional or time series model?

How to use factor models for prediction?

Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

Mean and standard deviation of price series with Kalman

I need liquidity metrics of a portfolio (2-5 bonds) that takes into consideration difference in size of bonds and maturity profile

Yield To Maturity calculations for risk-free vs risky bonds

How to estimate Black Scholes parameters using Maximum Likelihood estimate method

Simulating a stock price with Monte Carlo - Why my solution isn't equivalent to the author's

Yield curve PCA vs real life frequency

Algorithmic Execution Literature/References

Time Step Size for Heston Model for Different Option Maturity

Is there an efficient method or technique to find an arbitrage between two FX dealers?

Calculating 3 month libor from 1 year libor?

Question on implied vol (surface) and strikes

What is currently predictable in the stock and bond markets and what is not

How exactly do I calculate and interpret factors in Fama-French model?

ARIMA model coefficients from discontinuous data series

Delta re-hedging with options

What is the relationship of Value-at-Risk of a random variable $X$ and a constant $D$ $VaR_{\alpha}(min(X,D))$and $VaR_{\alpha}(X)$?

Interpertation of delta hedge error in Black Scholes

Which Algorithmic trading library would you recommend for trading Bitcoin?

Duration and DV01 vs coupon rate

Bond recovery rate with coupon

Negative high frequency intraday volatility - Zhou estimator

The ambiguity of the term "duration"

Intuitively speaking, why do at the money options have no volga/convexity?

American call and put prices, increasing in maturity

Volatility Surface for Inverse FX pair / Indirect Quote

6 month curve from 3 month forward rate agreements

Heston model with Jumps