Quantitative Finance
finance professionals and academics
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  1. Appropriate way to normalize Bollinger Bands?
  2. The possible preferences of investors for higher than first 2 moments of return distribution?

  3. Portfolio Optimization using Parametric Portfolio Policy Method in MATLAB
  4. Getting data of sub-sector indexes of an S&P 500 index sector using QuantMod in R
  5. Computing Malliavin Derivative for European Call Payoff

  6. Differences between Snowball, KIKO and TRF derivatives?

  7. Measuring interest rate sensitivity for illiquid private investments?

  8. What is the stambaugh bias? Why is it important for predictability regressions?

  9. GARCH modeling - sliding or expanding window?


  11. Accuracy for GARCH models
  12. Ito's & correlated Brownian proof

  13. What is time-varying risk premium? Forecasting stock returns

  14. optimal number of contracts for hedging given beta

  15. performance attribution - security selection= wB*(Rp-RB) or wP*(Rp-RB)?

  16. Advantages of multi factor Hull-White model over single factor Hull-White model
  17. An ad hoc portfolio optimization scheme

  18. How important is p-value in a logistic regression based strategy?

  19. Does the Binomial Pricing Model require a no-arbitrage assumption?
  20. Where to find historical stock news and other events?
  21. Linear programming cash match portfolio - how to formulate?

  22. How would I get the stock prices of every company througout thier entire lifespan
  23. Long short equity hedge fund question

  24. Completeness and Hedging Question
  25. Generate P Value from stationary bootstrap following Politis & Romano (1994)
  26. Average Return Differential calculation
  27. The relation between coupon and convexity
  28. Self finance conditions - proof check

  29. Identify Iceberg Orders

  30. Portfolio optimization under two constraints
  31. Backtesting Market Making Strategy or Microstructure Strategy
  32. Why does the Weak Form of Market Efficiency and Markov Property hold?

  33. Option pricing with dependent risk factors
  34. Calculating annualized swap rates
  35. How do banks calculate forward exchange rate?
  36. Local Stochastic Volatility - Break even levels

  37. Black Scholes and high dividend paying stocks

  38. Using return on equity instead of risk free rate when pricing an equity call option

  39. Implementing Pykthin Multi-factor adjustment
  40. PRIIPs category 2 stress scenario - general question

  41. Generating surface of Kernel Density Estimates over time

  42. Linear Regression vs Mean Variance Optimization
  43. PCA for stand alone equity VaR
  44. How to calculate 10-day periods non-overlapping returns of a time series?

  45. How to continue learning model, Keras

  46. How to build a factor model?

  47. How to convert Jensen's Alpha from monthly to quarterly observations

  48. What are the consequences of violating Hansen-Jagannathan bounds?

  49. Company share buyback

  50. What is the meaning of the quoted price of a treasure bond future?

  51. Modified or Macauley Duration in python

  52. reference for portfolio / margin calculations in backtesting tool
  53. Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?
  54. Early exercise american put with zero interest rate but positive dividends
  55. Is an options implied dividends DCF model consistent with risk neutral/arbitrage-free valuation?

  56. Question on position on futures market from optimal hedge ratio

  57. The Distribution of Geometric Brownian Motion Integrated w.r.t. Time

  58. How can I calculate the amount paid towards interest?

  59. Question on forward market arbitrage involving exchange rates
  60. Implied Volatility of cross currency pairs
  61. Show that the two solutions of the SDE are equivalent
  62. Black Scholes Equation into the Heat Equation?
  63. PRIIPS Category 2 Stress Scenario Calc

  64. Valuating Prepayment on Loans- Which models are favorable?
  65. How to calculate return on investment for an adjustment to a complex options position?
  66. Portfolio returns with unequal asset return histories
  67. Choosing a proxy for asset credit event correlations

  68. I am looking for a list of all companies worldwide with their annual revenue
  69. Time dependent parameters in Hull-White model

  70. Relationship between Beta and Standard Deviation
  71. Motivation of the singular perturbation solution formulation for local volatility model

  72. How to get set the theta function in the Hull-White model to replicate the current yield curve

  73. Can you determine USD swap rate movement probability from OTM swaption premiums?
  74. Floating rate note value approximation

  75. where can i get historical daily price data of counties (especially for turkey) CDS prices?
  76. Dividing H in the Hurst power law function to get the Hurst exponent?
  77. Asian Call Option

  78. Measuring Average % Change in Price at which Momentum Switches Directions
  79. Rate of convergence between price and value

  80. Something fundamentally different about cryptocurrencies?

  81. Electric power price parameter estimation
  82. Yield curve estimaton using linear regression
  83. Building implied binomial tree with American input options
  84. Hasbrouck Information Share
  85. Hasbrouck's information share

  86. PRIIPs stress scenario 2 calculation period of calculation

  87. Term premium 10 year yields

  88. Interactive Brokers - Tracking High Relative Trading Volume
  89. Using RateHelper (bootstrapping) and Speed up in Quantlib Python

  90. Deriving Interest Rates

  91. Barrier Option with Time-Dependent Rebate
  92. Low estimator when valuing american option using Broadie and Glassermann Monte Carlo tree with antithetic branching (R)

  93. Difference between binomial and CRR model

  94. How did the SVXY ETF (-1x VIX) survive a 115% jump in VIX?
  95. MOM-TOM effect, Replication strategy
  96. What is `1+ return` called?

  97. Have I used correct state space formulation of Bivariate Trending OU process for Kalman Filter estimation?
  98. Different ways to express a 2s10s steepener?

  99. Why is there a difference in American option prices when comparing pricing methods (Python)?

  100. PRIIPs category 2 stress scenario calculation