User alexprice

5 votes

Why is it useless to model stochastic volatility when pricing Vanilla style derivatives?

answered Jan 4, 2019 at 14:49

5 votes

Accepted

how to I get the statistical significance of a backtested result

answered Jan 3, 2020 at 18:36

4 votes

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Is there any way to check my delta hedging is implemented correctly?

answered Jun 6, 2020 at 15:59

4 votes

How to do simultaneous dual curve bootstrapping?

answered Jun 6, 2020 at 21:07

4 votes

Accepted

How to calibrate models with unbounded parameter space

answered Jul 16, 2020 at 12:30

3 votes

Why are my Neural Network predictions “correct”, but offset from true value? Not using any past lagged values

answered Jun 30, 2020 at 16:01

3 votes

What is the point of volatility curve fitting?

answered Jul 1, 2020 at 14:22

3 votes

Find a formula for the price of a derivative paying $\max(S_T(S_T-K),0)$

answered Jul 6, 2020 at 17:39

3 votes

Black Scholes in Practice: Delta Hedging

answered Dec 26, 2016 at 23:27

3 votes

Accepted

Proof that adding some quantity of stocks in a portfolio of option does not change the portfolio Gamma

answered Dec 27, 2019 at 12:42

3 votes

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Risk Neutral Pricing and the Drift

answered Dec 31, 2019 at 12:09

2 votes

Accepted

LIBOR Curve bootstrapping and compounding

answered Dec 31, 2019 at 18:05

2 votes

Factor selection for predicting fund returns

answered Jun 6, 2020 at 16:07

2 votes

Why Drifts are not in the Black Scholes Formula

answered Jan 3, 2019 at 15:29

2 votes

Accepted

Please explain Heston Model parameters meaning

answered May 1, 2019 at 19:39

2 votes

Accepted

Why are the risk neutral probabilities constant in the Cox Rubinstein model when delta needs to be changed at each time step

answered May 17, 2020 at 20:03

2 votes

Should I sell my stock and buy future instead if the future price is smaller than the current stock price?

answered Jul 7, 2020 at 15:21

1 vote

Accepted

What date to pick for regression on global stocks

answered Jul 16, 2020 at 12:08

1 vote

In your experience, when trying to predict something that occurs, do you model with a fixed time period?

answered Jul 7, 2020 at 9:07

1 vote

Autocall Calibration

answered Apr 4, 2020 at 13:15

1 vote

What is the difference between parametric and non-parametric models?

answered Jun 10, 2020 at 20:19

1 vote

return volatility calculation with respect to different time period

answered Jan 1, 2020 at 12:21

1 vote

Why can derivatives be viewed as a portfolio of the underlying and the riskless asset?

answered Jan 2, 2019 at 9:39

1 vote

pair trading - rolling adf test

answered Jan 3, 2019 at 10:04

1 vote

Lower MSE results in less profit when using Machine Learning

answered May 1, 2019 at 19:23

0 votes

Accepted

How to obtain one-step ahead forecast in Python based on GARCH?

answered Jun 11, 2020 at 22:21

Stack Exchange Network

26 Answers

Why is it useless to model stochastic volatility when pricing Vanilla style derivatives?

how to I get the statistical significance of a backtested result

Is there any way to check my delta hedging is implemented correctly?

How to do simultaneous dual curve bootstrapping?

How to calibrate models with unbounded parameter space

Why are my Neural Network predictions “correct”, but offset from true value? Not using any past lagged values

What is the point of volatility curve fitting?

Find a formula for the price of a derivative paying $\max(S_T(S_T-K),0)$

Black Scholes in Practice: Delta Hedging

Proof that adding some quantity of stocks in a portfolio of option does not change the portfolio Gamma

Risk Neutral Pricing and the Drift

LIBOR Curve bootstrapping and compounding

Factor selection for predicting fund returns

Why Drifts are not in the Black Scholes Formula

Please explain Heston Model parameters meaning

Why are the risk neutral probabilities constant in the Cox Rubinstein model when delta needs to be changed at each time step

Should I sell my stock and buy future instead if the future price is smaller than the current stock price?

What date to pick for regression on global stocks

In your experience, when trying to predict something that occurs, do you model with a fixed time period?

Autocall Calibration

What is the difference between parametric and non-parametric models?

return volatility calculation with respect to different time period

Why can derivatives be viewed as a portfolio of the underlying and the riskless asset?

pair trading - rolling adf test

Lower MSE results in less profit when using Machine Learning

How to obtain one-step ahead forecast in Python based on GARCH?