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Quantitative Finance
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12 Questions

Votes Activity Newest Views
3
8
votes
1
answer
984
views

Do intraday volume and volatility share the same properties?

volatility trading econometrics volume intraday
Apr 28 '15 at 12:20 lehalle 9,042
1
7
votes
1
answer
5k
views

SABR calibration: simple explanation and implementation

options option-pricing implied-volatility stochastic-volatility volatility-smile
Oct 28 '14 at 14:36 ash 875
3
6
votes
3
answers
6k
views

What is an efficient method to find implied volatility?

programming implied-volatility numerical-methods
Oct 31 '14 at 10:27 Mark Joshi 6,423
7
5
votes
1
answer
1k
views

Mixed local-stochastic volatility model in Quantlib

volatility stochastic-volatility quantlib local-volatility volatility-smile
Sep 29 at 14:00 StackG 2,589
2
3
votes
1
answer
991
views

Bootstrap ESTER and SOFR curves with Quantlib Python

interest-rates programming quantlib discounting bootstrapping
Oct 24 '19 at 0:22 pyCthon 1,873
 
3
votes
1
answer
965
views

Basis Swaps in Quantlib/Python

python swaps quantlib
Sep 17 '19 at 14:12 byouness 1,856
3
3
votes
1
answer
2k
views

Quantlib-Python: use zero rates to get the originally bootstrapped curve

interest-rates python quantlib bootstrapping interpolation
Mar 26 '19 at 14:29 Luigi Ballabio 4,868
4
3
votes
1
answer
487
views

LSV model calibration with only few quotes per maturity

fx stochastic-volatility calibration local-volatility volatility-smile
Mar 21 '19 at 5:25 JejeBelfort 1,170
 
2
votes
1
answer
747
views

Some questions about implied volatilities and how to generate theoretical prices when market prices are not available

options volatility option-pricing implied-volatility volatility-smile
Jan 10 '15 at 20:20 David Durrleman 271
 
2
votes
1
answer
1k
views

HAR-RV, realized GARCH and HEAVY model for realized volatility

volatility trading garch forecasting econometrics
Nov 30 '14 at 13:26 Community♦ 1
2
1
vote
1
answer
581
views

What is market standard model in equity, FX and interest rates exotics?

options option-pricing implied-volatility models volatility-smile
Mar 6 '19 at 21:39 opt 469
 
1
vote
1
answer
2k
views

Option greeks as dollar P&L

options option-pricing black-scholes greeks sensitivities
Aug 1 '18 at 15:20 Phil-ZXX 1,062
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