User Matt

47 votes

Accepted

Why Drifts are not in the Black Scholes Formula

answered Jun 18, 2013 at 7:19

25 votes

how to derive yield curve from interest rate swap?

interest-rates swaps yield-curve interest-rate-swap irs

answered Mar 1, 2013 at 6:14

22 votes

Accepted

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

garch

answered Feb 13, 2013 at 4:31

18 votes

A simple formula for calculating implied volatility?

options black-scholes implied-volatility

answered Apr 17, 2013 at 3:16

17 votes

Accepted

So many volatility models. Any comparisons of them?

volatility implied-volatility garch econometrics

answered May 23, 2013 at 16:18

17 votes

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

volatility

answered Jan 14, 2013 at 7:12

16 votes

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

option-pricing black-scholes models

answered Jan 15, 2013 at 12:10

15 votes

Accepted

Applications of Fourier theory in trading

trading high-frequency

answered Feb 26, 2013 at 14:41

14 votes

Kalman Filter Equity Example

statistics r quants kalman

answered Dec 6, 2012 at 12:11

13 votes

Accepted

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

trading programming matlab

answered Dec 18, 2012 at 5:19

13 votes

Accepted

Implications of the Riemann hypothesis in finance?

mathematics

answered Aug 5, 2012 at 2:56

13 votes

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

trading mathematics

answered Jan 29, 2013 at 3:02

12 votes

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

research reference-request performance sharpe-ratio performance-evaluation

answered Aug 1, 2012 at 6:02

11 votes

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

black-scholes implied-volatility

answered Nov 10, 2012 at 12:11

11 votes

How to Delta Hedge with Futures?

options hedging futures

answered Nov 22, 2012 at 12:54

11 votes

Daily returns using adjusted close

returns yahoo adjusted

answered Feb 5, 2013 at 3:35

11 votes

Why FX Vanilla Options are quoted in volatility

options volatility fx quote

answered Feb 21, 2013 at 4:17

11 votes

Square root of time

volatility return

answered Mar 11, 2013 at 12:39

11 votes

Accepted

Why are there still manual market makers in options

options market-making algorithmic-trading

answered Sep 28, 2013 at 18:02

10 votes

Are Futures exactly Delta One?

futures delta

answered May 13, 2014 at 1:16

10 votes

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

black-scholes stochastic-processes modeling brownian-motion

answered Sep 19, 2014 at 5:30

10 votes

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

black-scholes risk-neutral-measure

answered Mar 24, 2015 at 4:44

10 votes

Sharpe ratio and leverage

leverage ratio sharpe

answered Jun 18, 2015 at 5:44

10 votes

Accepted

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

data historical-data

answered Jan 17, 2013 at 4:50

10 votes

Library of basic indicators

programming indicator library

answered Sep 24, 2012 at 10:16

9 votes

Accepted

How is historical data for forex collected or computed?

fx historical-data

answered Apr 23, 2013 at 13:30

9 votes

How to estimate real-world probabilities

derivatives risk-neutral-measure forecasting stochastic-discount real-world-measure

answered Jun 20, 2013 at 16:54

8 votes

Does implied volatility vary for calls vs puts?

options implied-volatility

answered Mar 26, 2013 at 2:27

8 votes

Appropriate method for calculating negative returns on a trading strategy?

quant-trading-strategies returns trading-systems strategy

answered Aug 21, 2012 at 10:14

8 votes

Accepted

Is this a common variation of sharpe ratio?

sharpe-ratio

answered Aug 22, 2012 at 6:22

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257 Answers

Why Drifts are not in the Black Scholes Formula

how to derive yield curve from interest rate swap?

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

A simple formula for calculating implied volatility?

So many volatility models. Any comparisons of them?

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

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

Applications of Fourier theory in trading

Kalman Filter Equity Example

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

Implications of the Riemann hypothesis in finance?

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

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

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

How to Delta Hedge with Futures?

Daily returns using adjusted close

Why FX Vanilla Options are quoted in volatility

Square root of time

Why are there still manual market makers in options

Are Futures exactly Delta One?

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

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

Sharpe ratio and leverage

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

Library of basic indicators

How is historical data for forex collected or computed?

How to estimate real-world probabilities

Does implied volatility vary for calls vs puts?

Appropriate method for calculating negative returns on a trading strategy?

Is this a common variation of sharpe ratio?