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Quantitative Finance
Richi Wa's user avatar
Richi Wa's user avatar
Richi Wa's user avatar
Richi Wa
  • Member for 12 years, 5 months
  • Last seen this week
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301 Answers

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14 votes

Why do some people claim the delta of an ATM call option is 0.5?

14 votes

Why use implied volatility

13 votes
Accepted

What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?

13 votes
Accepted

Geometric Brownian motion - Volatility Interpretation (in the drift term)

13 votes
Accepted

Two correlated brownian motions

11 votes

Implied Volatility of stock on Think or Swim

10 votes
Accepted

Black-Scholes formula producing a negative number for a Call Option

10 votes

SDE simulation: P or Q?

10 votes

How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?

9 votes
Accepted

What to use as portfolio diversification measure?

9 votes
Accepted

Data Synchronization

9 votes
Accepted

Intuitive Explanation for Volatility Smile for Equity

8 votes
Accepted

Why is GARCH more often applied in risk analysis than stochastics?

8 votes

Why aren't econometric models used more in Quant Finance?

8 votes

Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?

8 votes
Accepted

Differential equation for log-returns

7 votes
Accepted

What is the average stock price under the Bachelier model?

7 votes

Copulas simply explained

7 votes

Why is rate of return on the stock normally distributed under GBM?

7 votes
Accepted

Calculating Variance Explained from PCA Loadings

7 votes
Accepted

Option on a dice game

7 votes

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

6 votes
Accepted

How to annualize skewness and kurtosis based on daily returns

6 votes

Square root of time

6 votes
Accepted

Simulating the short rate in the Hull-White model

6 votes
Accepted

Linear Regression vs Mean Variance Optimization

6 votes
Accepted

Calculate VaR for a liabilty taking a exponential distribution?

6 votes
Accepted

The Distribution of Future Stock Price

6 votes
Accepted

Covariance between two stocks in a two-factor model

5 votes

Math background required to understand geometric brownian motion

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