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Matt
  • Member for 10 years, 5 months
  • Last seen more than a month ago
  • Canada
47 votes
Accepted

Why Drifts are not in the Black Scholes Formula

25 votes

how to derive yield curve from interest rate swap?

22 votes
Accepted

Why is GARCH(1,1) so popular, especially in academia?

18 votes

A simple formula for calculating implied volatility?

17 votes
Accepted

So many volatility models. Any comparisons of them?

17 votes

What are the advantages/disadvantages of these approaches to deal with volatility surface?

16 votes

How do we use option price models (like Black-Scholes Model) to make money in practice?

15 votes
Accepted

Applications of Fourier theory in trading

14 votes

Kalman Filter Equity Example

13 votes
Accepted

Is MATLAB-generated code good enough for use in live trading?

13 votes
Accepted

Implications of the Riemann hypothesis in finance?

13 votes

What are the options for a mathematician to break into QF without working for a fund?

12 votes

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

11 votes

How do you explain the volatility smile in the Black-Scholes framework?

11 votes

How to Delta Hedge with Futures?

11 votes

Daily returns using adjusted close

11 votes

Why FX Vanilla Options are quoted in volatility

11 votes

Square root of time

11 votes
Accepted

Why are there still manual market makers in options

10 votes

Are Futures exactly Delta One?

10 votes

Why should we expect geometric Brownian motion to model asset prices?

10 votes

Why the Black-Scholes formula can be used in the real world?

10 votes

Sharpe ratio and leverage

10 votes
Accepted

When hiring a quant, how can I protect my IP?

10 votes

Library of basic indicators

9 votes
Accepted

How is historical data for forex collected or computed?

9 votes

How to estimate real-world probabilities

8 votes

Does implied volatility vary for calls vs puts?

8 votes

Appropriate method for calculating negative returns on a trading strategy?

8 votes
Accepted

Is this a common variation of sharpe ratio?

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