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Quantitative Finance

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Awarded 5838 times.
Proof of weights maximizing sharpe of a portfolio
Awarded May 6 at 12:51
(post deleted or otherwise unavailable)
Awarded May 3 at 21:12
Which option more expensive?
Awarded Apr 30 at 17:46
Python QuantLib: yieldRate & npv calcs on amortizing loan cash flows
Awarded Apr 29 at 16:27
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Awarded Apr 29 at 13:55
Black-Litterman and Implied Market Returns
Awarded Apr 28 at 11:26
FED FUNDS OIS Swap Pricing/Valuation
Awarded Apr 28 at 8:42
how do we estimate position of our order in order book queue?
Awarded Apr 26 at 20:50
How to calculate the daily carry on a bond future?
Awarded Apr 25 at 9:17
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Awarded Apr 23 at 16:01
What do bloomberg mean by this carry measure?
Awarded Apr 22 at 3:15
Vasicek Model (estimation of parameters)
Awarded Apr 21 at 13:54
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Awarded Apr 21 at 10:46
What is a martingale?
Awarded Apr 18 at 3:00
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Awarded Apr 18 at 2:08
Is it possible to combine Hull-White and SABR?
Awarded Apr 16 at 7:16
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Awarded Apr 15 at 2:25
Convergence of HJM model with constant volatility
Awarded Apr 14 at 2:49
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Awarded Apr 11 at 5:13
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Awarded Apr 9 at 10:13
Proof of Durrleman's condition for the implied volatility surface to eliminate butterfly spread arbitrage
Awarded Apr 8 at 7:34
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Awarded Apr 7 at 16:49
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Awarded Apr 5 at 1:36
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Awarded Apr 4 at 22:22
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Awarded Mar 28 at 13:21
How to calculate annual portfolio return using daily trade PnL and only total exposure taken. No asset values available
Awarded Mar 27 at 22:02
Marking an FX Forward Position
Awarded Mar 27 at 11:35
QuantLib interpreting parameters nu and alpha in SABR model
Awarded Mar 26 at 6:35
Question about the mean-variance frontier asset with payoff m/E(m^2)
Awarded Mar 25 at 18:09
Exchange-tagged option trade data?
Awarded Mar 25 at 0:20
Expected return of the underlying not an explicit input in the binomial options pricing formula, but volatility is?
Awarded Mar 21 at 13:15
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Awarded Mar 19 at 18:04
Bachelier exchange option value at maturity doesn't converge to intrinsic value?
Awarded Mar 18 at 16:33
What actually drives a stock price up or down?
Awarded Mar 16 at 17:48
How should I calculate monthly Risk free rate?
Awarded Mar 15 at 15:54
Covariance between payoff and consumption in consumption model from Asset Pricing
Awarded Mar 14 at 17:08
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Awarded Mar 10 at 10:35
Difference between DV01 and Macaulay duration for floating leg of IRS
Awarded Mar 7 at 9:08
Mathematician needs help from the Quants: Is there an interpretation of this stochastic model to stock market trading?
Awarded Mar 4 at 17:01
Question on yield curves and credit spreads
Awarded Mar 3 at 20:36
Interest Rates Modelling post IBOR cessation
Awarded Feb 27 at 15:11
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Awarded Feb 23 at 19:03
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Awarded Feb 23 at 19:03
Modeling Implied Volatility Curves for a European-style Market Where Naked Shorting of the Underlying is Prohibited
Awarded Feb 23 at 2:24
VIX methodology, risk-free interest rates R1 and R2
Awarded Feb 22 at 19:32
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Awarded Feb 22 at 4:40
Why Are Deep In-the-Money Call Options Priced Below Intrinsic Value in Dividend-Free ETFs?
Awarded Feb 22 at 4:28
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Awarded Feb 19 at 19:56
Copulas simply explained
Awarded Feb 18 at 21:40
How to derive forward price on stock with continuous dividend
Awarded Feb 18 at 19:47
Questions regarding Treasury Futures CTD Search
Awarded Feb 18 at 16:42
Interest rate risk of inflation-linked bonds
Awarded Feb 18 at 8:33
Implied Volatility for illiquid FX currency
Awarded Feb 17 at 12:33
W-shaped and other odd volaitlity skews? What fundamental reason drives these shapes and how does know they should be in this regime? [closed]
Awarded Feb 16 at 17:08
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Awarded Feb 16 at 11:25
How are Option Pricing Models used in Industry/Practice? [closed]
Awarded Feb 15 at 13:46
Is it possible to create an API for trading completely from scratch
Awarded Feb 12 at 23:21
Conflicting ideas about calculating cost of capital for a project
Awarded Feb 12 at 16:40
Conflicting ideas about calculating cost of capital for a project
Awarded Feb 12 at 11:23
Adding extra weight to the largest seen loss in ES/CVaR estimation
Awarded Feb 10 at 11:46
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