zw_
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1 answers
3 votes
1k views
3 bookmarks
Daily Return to Approximate Annualized Realized Volatility 16 or 20?
9 answers
62 votes
44k views
50 bookmarks
What is an efficient data structure to model order book?
4 answers
72 votes
45k views
160 bookmarks
What are the quantitative finance books that we should all have in our shelves?
4 answers
5 votes
709 views
6 bookmarks
How can we estimate new stock price after a large purchase?
4 answers
10 votes
12k views
13 bookmarks
Local volatility surface corresponding to the implied volatility surface
8 answers
62 votes
94k views
41 bookmarks
How to annualize Sharpe Ratio?
6 answers
35 votes
11k views
55 bookmarks
How to estimate real-world probabilities
2 answers
35 votes
7k views
52 bookmarks
What are the quantitative finance papers that we should all have in our shelves?
7 answers
24 votes
12k views
37 bookmarks
Book on market microstructure
2 answers
18 votes
5k views
15 bookmarks
Market impact, why square root?
5 answers
4 votes
11k views
3 bookmarks
Calculate theoretical forward price of a stock
1 answers
9 votes
2k views
8 bookmarks
Arbitragefree Pricing: Q vs. P
6 answers
17 votes
16k views
16 bookmarks
Risk Neutral Probability
2 answers
5 votes
5k views
2 bookmarks
What is the difference between squared returns and variance?
4 answers
8 votes
5k views
8 bookmarks
Stock Price Behavior and GARCH
9 answers
46 votes
9k views
28 bookmarks
How 'High' is the frequency in HFT?
1 answers
2 votes
5k views
2 bookmarks
T-Forward measure
7 answers
18 votes
7k views
10 bookmarks
Formal proof for risk-neutral pricing formula
2 answers
2 votes
3k views
6 bookmarks
Feynman Kac and choice of measure
2 answers
11 votes
10k views
7 bookmarks
What are the main differences between discrete and continuous time models when modeling asset price dynamics?
1 answers
8 votes
1k views
5 bookmarks
Ho and lee derivation for short rates model
5 answers
28 votes
21k views
34 bookmarks
What are the advantages/disadvantages of these approaches to deal with volatility surface?
1 answers
6 votes
2k views
4 bookmarks
Numéraire -- couldn't understand the wiki explanation
1 answers
1 votes
1k views
3 bookmarks
Basics about the scaling property of volatility
1 answers
10 votes
6k views
6 bookmarks
What is exactly Euler's decomposition?