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zw_
  • Member for 1 year, 9 months
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4 answers
76 votes
49k views
170 bookmarks
What are the quantitative finance books that we should all have in our shelves?
9 answers
66 votes
48k views
54 bookmarks
What is an efficient data structure to model order book?
8 answers
62 votes
96k views
42 bookmarks
How to annualize Sharpe Ratio?
9 answers
46 votes
9k views
28 bookmarks
How 'High' is the frequency in HFT?
5 answers
45 votes
49k views
52 bookmarks
Integral of Brownian motion w.r.t. time
2 answers
36 votes
8k views
53 bookmarks
What are the quantitative finance papers that we should all have in our shelves?
6 answers
35 votes
12k views
54 bookmarks
How to estimate real-world probabilities
5 answers
28 votes
22k views
35 bookmarks
What are the advantages/disadvantages of these approaches to deal with volatility surface?
7 answers
26 votes
13k views
40 bookmarks
Book on market microstructure
2 answers
19 votes
6k views
16 bookmarks
Market impact, why square root?
7 answers
18 votes
7k views
10 bookmarks
Formal proof for risk-neutral pricing formula
6 answers
17 votes
16k views
16 bookmarks
Risk Neutral Probability
4 answers
11 votes
12k views
14 bookmarks
Local volatility surface corresponding to the implied volatility surface
2 answers
11 votes
10k views
7 bookmarks
What are the main differences between discrete and continuous time models when modeling asset price dynamics?
3 answers
10 votes
2k views
5 bookmarks
Starting mathematics reading for quants
1 answer
10 votes
6k views
6 bookmarks
What is exactly Euler's decomposition?
2 answers
9 votes
1k views
5 bookmarks
Ho and lee derivation for short rates model
1 answer
9 votes
3k views
8 bookmarks
Arbitragefree Pricing: Q vs. P
4 answers
8 votes
5k views
8 bookmarks
Stock Price Behavior and GARCH
1 answer
6 votes
2k views
4 bookmarks
Numéraire -- couldn't understand the wiki explanation
2 answers
5 votes
5k views
2 bookmarks
What is the difference between squared returns and variance?
4 answers
5 votes
803 views
7 bookmarks
How can we estimate new stock price after a large purchase?
1 answer
4 votes
290 views
1 bookmarks
Stochastic Volatility vs Vanna-Volga
5 answers
4 votes
11k views
3 bookmarks
Calculate theoretical forward price of a stock
1 answer
3 votes
1k views
3 bookmarks
Daily Return to Approximate Annualized Realized Volatility 16 or 20?
1 answer
2 votes
5k views
2 bookmarks
T-Forward measure
2 answers
2 votes
3k views
6 bookmarks
Feynman Kac and choice of measure
1 answer
1 vote
1k views
4 bookmarks
Basics about the scaling property of volatility
1 answer
1 vote
567 views
3 bookmarks
Path Dependent Options - Which choice of model?