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Ivan

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option-pricing

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285

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What data sources are available online?

Jan 27 at 11:03 Judo 256

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Building Financial Data Time Series Database from scratch

time-series data finance historical-data database

Nov 18 at 18:13 Paul Brennan 111

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63k

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What are some useful approximations to the Black-Scholes formula?

options option-pricing black-scholes optimization

Jul 15 '19 at 16:14 Community♦ 1

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29k

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What are the quantitative finance books that we should all have in our shelves?

books big-list

Jun 30 at 21:04 chrisaycock 9,221

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What are the quantitative finance papers that we should all have in our shelves?

papers

Jun 25 at 8:42 Alex 403

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How did James Simons clinch that security prices didn't look random?

statistics

Feb 8 '19 at 5:36 David Addison 2,715

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What C++ math libraries are typically used by quants?

programming

Oct 10 '18 at 3:33 Theodore 1,103

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answer

473

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How to, from various hypotheses on the P&L, get known models (BS, Heston etc …)

black-scholes stochastic-processes stochastic-volatility delta-hedging stochastic-control

Feb 28 '19 at 7:02 Olorin 1,102

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Variance replication using options

options volatility implied-volatility variance

Sep 13 '16 at 21:18 Community♦ 1

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10k

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Gamma Pnl vs Vega Pnl

options implied-volatility option-strategies gamma vega

Jul 19 at 11:53 Bob Jansen♦ 5,468

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answer

369

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How to price VXX options

options

Nov 14 '18 at 3:02 Community♦ 1

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What kind of front end/ gui is used with trading applications?

high-frequency automated-trading application

Oct 10 '18 at 19:23 jersey bean 141

votes

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Understanding Cover's Universal Portfolio Algorithm

quant-trading-strategies portfolio-optimization trading algorithmic-trading quants

Apr 9 at 21:22 demully 2,742

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272

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Is a more robust Covariance estimation possible?

covariance mean-variance markowitz covariance-matrix covariance-estimation

Nov 22 '19 at 3:48 Dave Harris 3,142

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answer

538

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Options Pricing and Mean Reversion

options black-scholes mean-reversion

Jun 7 '19 at 6:06 Antoine Conze 4,518

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answer

359

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European Call price for an asset with mean reverting (Vasicek model) dynamics

options option-pricing arbitrage proof

Mar 24 '18 at 18:20 RRL 2,896

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answer

598

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How to have an unbiased estimation of the standard deviation when using rolling returns?

statistics estimation standard-deviation

Sep 10 '18 at 14:52 Community♦ 1

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185

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Isn't GBM the equivalent of adding infinitessimally small normally distributed returns?

stochastic-processes stochastic-calculus brownian-motion

Jun 10 '18 at 22:46 Brian B 13.5k

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139

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Where can I get the actual info about how many stocks are there in markets all over the world?

equities market-data

Jun 14 '19 at 7:28 hroptatyr 925

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What data sources are available online?

Building Financial Data Time Series Database from scratch

What are some useful approximations to the Black-Scholes formula?

What are the quantitative finance books that we should all have in our shelves?

What are the quantitative finance papers that we should all have in our shelves?

How did James Simons clinch that security prices didn't look random?

What C++ math libraries are typically used by quants?

How to, from various hypotheses on the P&L, get known models (BS, Heston etc …)

Variance replication using options

Gamma Pnl vs Vega Pnl

How to price VXX options

What kind of front end/ gui is used with trading applications?

Understanding Cover's Universal Portfolio Algorithm

Is a more robust Covariance estimation possible?

Options Pricing and Mean Reversion

European Call price for an asset with mean reverting (Vasicek model) dynamics

How to have an unbiased estimation of the standard deviation when using rolling returns?

Isn't GBM the equivalent of adding infinitessimally small normally distributed returns?

Where can I get the actual info about how many stocks are there in markets all over the world?