Quantitative Finance

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  1. Non-contractual accounts behavioural study

  2. Arbitrage strategies in Rubinstein's binomial tree one-step

  3. Equity short Interest data source

  4. How to calculate FX hedged bond yield?

  5. Reference request: hedge fund strategies

  6. What really is Gamma scalping?

  7. talib.ATR or other ATR calculation

  8. Floating leg of a standard swap still has a value at par when we use the OIS as discount factor?

  9. Impact of the maturity date of a future on its risk

  10. Up and Down days in GBPUSD and a Filter

  11. Valuation of a company

  12. How to calculate the implied daily move of a spread between two futures contracts?
  13. Calendar spread pricing: how find the final value of call long
  14. What is the difference between funded and unfunded derivative?
  15. Change measure and derivative pricing in Heston model
  16. Martingale measure result application for interest rates under T-forward measure?

  17. Original Black-Scholes paper assumptions -- "variance rate"

  18. Variance of $\int_{t=o}^{T}\sqrt{|B(t)|}$ $dB(t)%$

  19. Merton model for Probability of Default - What liabilities?

  20. Black & Scholes with stochastic interest rate

  21. How to calculate a forward-starting swap with forward equations?
  22. Vanila Option self financing under Stock as numeraire
  23. When predicting Forex price using HMM what, typically, are the states and what are the observations?
  24. Risk Compensation
  25. Getting data of sub-sector indexes of an S&P 500 index sector using QuantMod in R

  26. Differences between Snowball, KIKO and TRF derivatives?
  27. FIX field for maker orders

  28. Simplifying an expectation function of default time and rates
  29. Convert 3M rates to 6M rates using Basis Swaps (3M vs 6M)

  30. Ignore the difference between normal and log-normal distributions
  31. Portfolio optimization of unequal length back-tests
  32. I need Website about Financial article with lots of specialised vocabulary
  33. What's volatility timing?

  34. Any databases with CEO letters and shareholder letters?
  35. How do I reproduce the cross-sectional regression in "Intraday Patterns in the Cross-section of Stock Returns"?

  36. Does the Binomial Pricing Model require a no-arbitrage assumption?

  37. Completeness and Hedging Question

  38. volatility adjustment on momentum

  39. Joshi, Exercise 2.7 Concepts of Mathematical Finance
  40. Derivation of convexity formula
  41. The relation between coupon and convexity

  42. Implied volatility and greeks for american option with discrete dividends
  43. Bond price formula, redemption yield and no arbitrage

  44. Multi-Factor Beta Help
  45. What set of expected returns would lead us to invest 100% in GE stock?

  46. No-Arbitrage Conditions for European Options

  47. Relationship between Caps, Floors and Swaps

  48. How to run Fama-French four-factor model cross-country panel analysis?
  49. CDS protection/contingent leg pricing, taking expectation of interest and hazard rates

  50. Generating surface of Kernel Density Estimates over time

  51. Proxying historical bond futures duration
  52. Why does the Weak Form of Market Efficiency and Markov Property hold?
  53. PCA for stand alone equity VaR

  54. Spot Interest Rate at time $t$
  55. Books about Monte Carlo Simulation on derivatives with Python
  56. Identify Iceberg Orders

  57. Constraints on bid price in markets

  58. Previsibility in Binomial Representation Theorem

  59. Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns

  60. Risk neutrality correction for Monte Carlo Bootstrapping according to PRIIP regulation for products of category III

  61. IS there a service to create bank accounts via API?
  62. Probability of Merger Success in a Simplistic Model
  63. How to convert Jensen's Alpha from monthly to quarterly observations

  64. What are the consequences of violating Hansen-Jagannathan bounds?
  65. Duration vs. Convexity Contradiction
  66. Intuitive explanation of geometric mean

  67. reference for portfolio / margin calculations in backtesting tool

  68. What performance measure should be used in order to evaluate a bankruptcy model?

  69. Pricing Secured Barrier Call 2

  70. PRIIPS Category 2 stress scenario workshop calcs
  71. Market Profiling open source packages or tools
  72. Getting Index constituents along with returns from Bloomberg

  73. Calculate VaR using the extreme value theory

  74. Use of Historical Volatility in Black 76 Model

  75. Deriving $dR(t)$ For Reverse Exchange Rate

  76. Valuating Prepayment on Loans- Which models are favorable?

  77. Geometric Brownian Motion and the Black Scholes Model

  78. The last step of the Longstaff-Schwartz method

  79. Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?
  80. Portfolio returns with unequal asset return histories

  81. Application of Itos Lemma to Integrated Processes
  82. Choosing a proxy for asset credit event correlations
  83. Why (most) quants think that the risk-neutral measure should not be used for financial forecasting?

  84. Question on EBIT Calculation

  85. Importance of full value functions for option pricing

  86. Floating rate note value approximation

  87. How to calculate return on investment for an adjustment to a complex options position?

  88. daily risk-free rate proxy
  89. I am looking for a list of all companies worldwide with their annual revenue

  90. Efficient integration of tick data feed with signal generation

  91. Estimation of right truncated poisson process

  92. Force Index EMA calculation for stock indicator

  93. Which Algorithmic trading library would you recommend for trading Bitcoin?

  94. Divergence on stochastic indicator

  95. Electric power price parameter estimation

  96. Closed- solution for Convertible bond price two factor model

  97. Build a Synthetic Loan for Personal Finance

  98. What is the difference between the Interactive Brokers demo account and a personal paper trader account?

  99. Bitcoin CBOE futures listed today. Why its premium to cash product?

  100. PRIIPs stress scenario 2 calculation period of calculation