<we><edit> <!-- questions and answers -->
machine-learning
portfolio-optimization
credit-risk
var
interest-rate-swap
market-microstructure
etf
calibration
optimization
mathematics
beta
probability
quantitative
cointegration
trading
factor-models
matlab
black-scholes
martingale
cds
modern-portfolio-theory
delta-hedging
stochastic-volatility
arbitrage
distribution
interest-rates
Martingale measure result application for interest rates under T-forward measure?
interest-rates
risk-neutral-measure
martingale
forward-rate
numerairechange
Black & Scholes with stochastic interest rate
options
option-pricing
black-scholes
interest-rates
call
Convert 3M rates to 6M rates using Basis Swaps (3M vs 6M)
interest-rates
interest-rate-swap
forward-rate
reuters
basis
Closed- solution for Convertible bond price two factor model
option-pricing
interest-rates
stochastic-calculus
Black-Scholes vs Black equation
option-pricing
black-scholes
interest-rates
black76
Weights Blowing up in PCA
interest-rates
statistics
yield-curve
pca
yield
Monte Carlo Paths Term Structure Models Interest Rates
interest-rates
monte-carlo
Interpretation of MidSwap Rate
interest-rates
time step choice impact in Vasicek model simulations
interest-rates
programming
monte-carlo
simulations
vasicek
Pricing 0% interest rate Floor Black Model
black-scholes
interest-rates
derivatives
What rate to discount tax shield
interest-rates
risk
finance
Assume force of interest is doubled
interest-rates
Basic boostrapping question
interest-rates
zero-coupon
bootstrapping
bootstrap
Implementation of one-factor Hull-White short interest rate model
interest-rates
programming
hullwhite
volatility term structure calibration
volatility
interest-rates
calibration
libor
hullwhite
Interpreting Units of Short Rate Parameters
interest-rates
stochastic-processes
sde
Why do Fama French's "Common risk factors in the returns on stocks and bonds" use data starting in 1963? Availability or convenience for results?
equities
fixed-income
interest-rates
returns
fama-french
Is variation in price-dividend ratios that is attributable to excess returns due to variation in returns or variation in risk free rates?
volatility
equities
interest-rates
returns
asset-returns
How to calculate a future contracts price?
interest-rates
futures
hedging
eurodollars
How does one calculate the Libor future contract price?
interest-rates
futures
hedging
eurodollars
Relation between government bond yields and mortgage rates?
interest-rates
Identity for forward rates
interest-rates
forward-rate
Implying risk-free rates using Put/Call parity
option-pricing
interest-rates
market-data
put-call-parity
Amortization Table for High Interest Rate Not Working
interest-rates
present-value
Calculate OIS rate 3 months, 1 year
interest-rates
interest-rate-swap
Hull White and HJM model not Markov
interest-rates
How do traders determine when points in a yield curve are at 'fair value'?
fixed-income
interest-rates
yield-curve
rates
Proof positiveness condition CIR dynamic
interest-rates
stochastic-processes
models
Option on Loan rate
option-pricing
interest-rates
Interest rate models
interest-rates
data
market-data
historical-data
Cap/Floor ATM Rate
option-pricing
interest-rates
market-data
Black Derman Toy model: from tree to differential equation
interest-rates
binomial-tree
hullwhite
black
Monte Carlo OAS Prepayments
interest-rates
monte-carlo
Is it possible to borrow gold interest-free?
interest-rates
commodities
What strategies benefit from EURO (ECB) interest rate hike(s) long term?
interest-rates
hedging
Adjusting consumer credit risk model using data from a different country?
interest-rates
credit-risk
credit-ratings
credit-scoring
Falling Futures prices positively correlated with interest rates
interest-rates
correlation
futures
forward
Monte Carlo, convexity and Risk-Neutral ZCB Pricing
volatility
interest-rates
monte-carlo
brownian-motion
simulations
Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?
fixed-income
interest-rates
Vol structure of forward rate under no-arbitrage rate model
volatility
interest-rates
term-structure
Time dependent parameters in Hull-White model
interest-rates
hullwhite
Why do we discount in ois and not treasuries
interest-rates
discounting
risk-free
ois-discounting
How to estimate $\sigma$ and $r$ in binomial pricing model?
option-pricing
volatility
interest-rates
binomial-tree
how to calibrate interest rate binomial tree to interest rate swap prices?
interest-rates
interest-rate-swap
binomial-tree
term-structure
Pricing a Vanilla swap between coupons; What rates to use?
interest-rates
swaps
floating-rate
fixed
Covariance Interest Rate Risk Time Series
interest-rates
var
covariance-matrix
Two-factor Interest rate binomial tree
fixed-income
interest-rates
american-options
term-structure
Negative correlation between interest rates and credit spreads - Why?
fixed-income
interest-rates
spread
credit
Discount rate in IRS valuation
interest-rates
swaps
discounting
irs
Relationship between forward and option prices
options
black-scholes
interest-rates
forward
put-call-parity
Interest rate vs bond yield
interest-rates
bond
bond-yields
Type of data used in top hedge funds/prop trading shops
interest-rates
data
quant-trading-strategies
algorithmic-trading
hedge-fund
Markovian Short Rate Models
interest-rates
short-rate
markov
Swap Rates Below LIBOR?
interest-rates
interest-rate-swap
Treasury Bill and Treasury Bond : Quoted Price VS Cash Price VS Value of Bond
fixed-income
interest-rates
bond
Interest rate risk using copulas
fixed-income
interest-rates
risk
yield-curve
covariance
Machine Learning for Matrix Completion: The Case of a Sparse Credit Rating-Yield Matrix for Non-Liquid Corporate Bonds
fixed-income
interest-rates
optimization
regression
machine-learning
Interest rate curve in option pricing
options
interest-rates
yield-curve
Ho-Lee Model Calibration: theta becomes smaller
interest-rates
Exploding Libor Rates in Libor Market Model
interest-rates
simulations
libor
sde
lmm
formula for physical DV01 of interest rate swap
interest-rates
swaps
greeks
interest-rate-swap
BPV calculation, shift zero curve vs swap curve
interest-rates
spot-rate
multicurve
A predictive tool signaling when to move between different short-term instruments
fixed-income
interest-rates
modeling
yield-curve
excel
Short-rate models: Risk-premium of $T$-bonds
fixed-income
interest-rates
bond
short-rate
risk-premium
Do stochastic interest rate models forecast future interest rate?
interest-rates
stochastic-processes
How are LIBOR rates beyond 12M arrived at?
interest-rates
yield-curve
libor
interest
Fixing mean reversion parameter in the 1F HW model
interest-rates
calibration
hullwhite
Why Hull White 2 Factor model can't capture vol skew?
fixed-income
interest-rates
calibration
hullwhite
Modeling Interest Rate Time Series
interest-rates
What is the connection between the federal funds rate and US government bonds
interest-rates
bond
Does the FED lend directly to commercial&investment banks or is there an intermediary
fixed-income
interest-rates
central-banking
Shape and geometry of the yield curve
interest-rates
yield-curve
Why wouldn't quantitative easing work if interest rates approach 0
interest-rates
quantitative
central-banking
How can quantitative easing lower interest rates
interest-rates
bond
central-banking
Why is there a need for Libor in the UK
interest-rates
debt
central-banking
What is a bank's shadow rate
fixed-income
interest-rates
bond-yields
central-banking
Net Present Value of Bonds
interest-rates
bond
present-value
Where can I find open swaption implied volatility data?
interest-rates
data
implied-volatility
swaption
Which coefficients are relevant for exposure of companies
interest-rates
fx
regression
exposure
Vasicek model calibration
interest-rates
calibration
short-rate
vasicek
Difference between a 3-months UK nominal spot rate and a 3-months UK treasury bill discount rate?
interest-rates
yield-curve
bond-yields
How to reduce variance in a Cox-Ingersoll-Ross Monte Carlo simulation?
option-pricing
interest-rates
monte-carlo
simulations
Hull white 1 factor historic parameter estimation
interest-rates
hullwhite
parameter-estimation
Why should central bank intervention cause inverted yield curve to be less effective as a recession signal?
interest-rates
yield-curve
yield
How to calculate daily interest at different rates each day?
interest-rates
finance-mathematics
Historical Data on Expected Unemployment/Interest Rates
interest-rates
Absolute or relative strikes?
interest-rates
implied-volatility
correlation
risk-neutral-measure
Riccati Equation in spot rate model
interest-rates
differential-equations
spot-rate
Volatility considerations with interest rate derivatives
volatility
fixed-income
interest-rates
short-rate
volatiliy-smile
Using CME DV01 to predict Futures price at 0.00% Yield
interest-rates
fixed-income
bond-futures
Implied Vol for caplet using Black Formula and HJM Framework
options
interest-rates
implied-volatility
derivatives
black76
How to determine the risk free rate for the calculation of Beta
interest-rates
risk-free
Is Vasicek risk neutral?
interest-rates
risk-neutral-measure
vasicek
Basic Interest Rate Modelling Ques
interest-rates
short-rate
vasicek
Where to find risk report/models for treasury spreads trading?
interest-rates
risk-management
treasuries
Clarifications about the "quotations" of Treasury Bills and Treasury Bonds
interest-rates
bond
how to derive yield curve from interest rate swap?
interest-rates
swaps
yield-curve
why swap rate not dependent on valuation date?
fixed-income
interest-rates
finance
swaps
What's the difference between PV01 and DV01 of a bond?
interest-rates
Black-Scholes under stochastic interest rates
option-pricing
black-scholes
interest-rates
monte-carlo
stochastic-discount