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sashkello

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10 Questions

Views Newest Activity Votes

16

15

votes

5

answers

8k

views

Best way to store hourly/daily options data for research purposes

options data database

Apr 29 '16 at 21:26 Cuedrah 31

8

8

votes

5

answers

3k

views

Is there a good closed-form approximation for Black-Scholes implied volatility?

black-scholes implied-volatility numerical-methods

Oct 15 '18 at 2:47 Ezy 1,842

3

8

votes

3

answers

2k

views

Concave volatility smile

implied-volatility volatility-smile

Nov 1 '13 at 1:03 sashkello 939

2

votes

1

answer

129

views

Determining discount factors for non-standard maturities

interest-rates swaps interest-rate-swap bootstrapping discount-factor-curve

Jul 27 '16 at 8:20 dm63 9,383

2

votes

5

answers

176

views

What is the motivation for index benchmark?

soft-question benchmark

Jun 1 '14 at 11:09 user3264325 481

1

2

votes

3

answers

807

views

Estimate reasonable trade sizing based on daily volume

volume position-sizing open-interest

Feb 6 '14 at 5:21 user2763361 1,899

2

votes

0

answers

78

views

How to interpret CME's specification regarding grains options expirations?

options commodities cme

Jan 20 '14 at 16:13 SRKX 10.4k

1

vote

2

answers

174

views

Yield curve interpolation at (very) short horizons

yield-curve curve-fitting

Dec 9 '15 at 8:39 Helin 8,908

1

vote

1

answer

224

views

Calculating spot level using tick data

tick-data

Sep 23 '13 at 5:48 Matthias Wolf 13.5k

1

0

votes

1

answer

563

views

Starting short-end OIS zero curve building

interest-rate-swap ois-discounting ois

Nov 29 '16 at 4:56 Community♦ 1

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