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Mats Lind's user avatar
Mats Lind's user avatar
Mats Lind's user avatar
Mats Lind
  • Member for 7 years, 9 months
  • Last seen this week
  • Stockholm
10 votes
Accepted

Reasons for negative autocorrelation

7 votes
Accepted

Quantitative Finance Interview: Brainteaser Question/Birthday Problem

6 votes
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99.97% Percentile VaR Approximation

6 votes
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Relationship between BBB credit spreads and rising interest rates

5 votes

What is this function in the Longstaff-Schwartz paper?

5 votes
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clarification to use collocation methods to get arbitrage free sabr

5 votes

Why do FX Swaps have Interest Rate Risk?

4 votes

why Delta increases as interest rate increases

4 votes

What concepts are the most dangerous ones in quantitative finance work?

4 votes
Accepted

Implied vol vs Realised vol on Event Days

3 votes
Accepted

rationale for maturity adjustment formula in basel IRB formula

3 votes

Relationship between Beta and Standard Deviation

3 votes
Accepted

Interest rate risk of a bond as a function of the coupon

3 votes
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What ultimately determines trading costs?

3 votes
Accepted

Scale prices in multiple stocks for comparison

2 votes

Signs for the assets in a portfolio and definition of portfolio value

2 votes

Interpreting Units of Short Rate Parameters

2 votes

hedging barrier options

2 votes

How to calculate the YTM of an inflation linked bond

2 votes

Derive Perpetual Bond Price

2 votes

Delta hedging pnl to recover option price

2 votes
Accepted

If there was a way to back out implied volatility (IV) from a stock, would it be the same as the IV backed out from an option on that same stock?

1 vote

Duration and DV01 vs coupon rate

1 vote

Understanding what is 'special' about the security market line

1 vote

Square root specification of parameters in factor models

1 vote

Is the vega of a portfolio of a long 0.5 delta and short two 0.25 delta calls positive or negative?

1 vote

How much to invest to reach a target?

1 vote

Adding negative EV position to portfolio for diversification?

1 vote

Latency arbitrage: what exactly is the arbitrage mechanism?

1 vote

Why do people use (spread) Duration times spread (DTS) but no one uses (yield) duration times yield?