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sets
  • Member for 9 years, 5 months
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37 votes
5 answers
7k views

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

  • 27k
35 votes
6 answers
12k views

How to estimate real-world probabilities

  • 1,401
32 votes
4 answers
26k views

How to derive the implied probability distribution from B-S volatilities?

27 votes
10 answers
14k views

Why are there no papers about stock prediction with machine learning in leading financial journals?

26 votes
3 answers
8k views

Papers about backtesting option trading strategies

  • 27k
24 votes
0 answers
518 views

Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?

  • 371
22 votes
1 answer
6k views

How do I compare implied and historic volatility?

20 votes
3 answers
13k views

Why is GARCH(1,1) so popular, especially in academia?

  • 303
18 votes
1 answer
2k views

So many volatility models. Any comparisons of them?

  • 1,490
15 votes
3 answers
28k views

Does implied volatility vary for calls vs puts?

  • 2,028
14 votes
1 answer
3k views

How do different models impact option Greeks?

  • 141
14 votes
3 answers
2k views

Historical Volatility vs Implied Volatility Performance in Pricing Options

  • 1,021
13 votes
2 answers
3k views

What are the main flaws behind Ross Recovery Theorem?

  • 1,856
13 votes
2 answers
685 views

Realized variance in SVJJ (Heston with jumps) model

  • 131
12 votes
1 answer
917 views

"Extract" the density of the underlying, given the implied volatility "surface"

  • 1,162
11 votes
6 answers
8k views

Risk-neutral vs. physical measures: Real-world example

  • 481
9 votes
1 answer
680 views

Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?

  • 2,641
9 votes
1 answer
2k views

Obtaining risk-neutral probability from option prices

  • 456
9 votes
2 answers
497 views

Permanent or long-term (months) market impact of large trades in stocks / equities

8 votes
1 answer
1k views

Density forecast of a GARCH model

  • 491
8 votes
4 answers
4k views

Model Price vs Market Price in terms of Fair Price (Options)

  • 1,021
7 votes
2 answers
117 views

Function that best describes intensity of human/(group of humans) emotions?

  • 170
7 votes
2 answers
933 views

Interpret simulation results ($P$ and $Q$ measures)

  • 456
7 votes
4 answers
12k views

Why do we assume quadratic utility in portfolio theory?

  • 71
7 votes
1 answer
12k views

Breeden-Litzenberger formula for risk-neutral densities

  • 431
7 votes
4 answers
3k views

Why do stocks fall so quickly? Technical explanations

6 votes
1 answer
197 views

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

  • 257
6 votes
1 answer
544 views

Extrapolating SVI

  • 189
6 votes
2 answers
2k views

How to compare volatility models?

6 votes
1 answer
719 views

What is the relation between Relative Risk Aversion and Market Price of Risk

  • 137