<we><edit> <!-- questions and answers -->
monte-carlo
optimization
forward
high-frequency
no-arbitrage-theory
pricing
risk-management
spread
interest-rate-swap
machine-learning
forecasting
returns
historical-data
volatility
stochastic-volatility
variance
reference-request
statistics
derivatives
market-data
modeling
modern-portfolio-theory
r
covariance
martingale
interest-rates
Calculate OIS rate 3 months, 1 year
interest-rates
interest-rate-swap
Measuring interest rate sensitivity for illiquid private investments?
interest-rates
risk-management
risk-models
Modeling Interest-only Mortgages
interest-rates
probability
modeling
real-estate
Bloomberg zero rate calculation using shift
interest-rates
bloomberg
spot-rate
Calculating annualized swap rates
interest-rates
bond
swaps
interest-rate-swap
Time dependent parameters in Hull-White model
interest-rates
hullwhite
Deriving Interest Rates
interest-rates
yield-curve
swaps
discount-factor-curve
High convexity vs low convexity bond definition
fixed-income
interest-rates
yield-curve
duration
convexity
Portfolio Duration Immunization Strategy Intuition
fixed-income
interest-rates
portfolio-management
risk-management
bond-portfolio
Hedging amortising interest rate swap with vanilla swaps
interest-rates
swaps
interest-rate-swap
time step choice impact in Vasicek model simulations
interest-rates
programming
monte-carlo
simulations
vasicek
Generic bond yields
fixed-income
interest-rates
bond
bloomberg
bond-yields
Calibration of Heston version of CIR
interest-rates
programming
calibration
heston
Basic boostrapping question
interest-rates
zero-coupon
bootstrapping
bootstrap
Implementation of one-factor Hull-White short interest rate model
interest-rates
programming
hullwhite
Which risk-free interest rate to use in Black-Scholes equation
black-scholes
interest-rates
risk
black
Rebasing of Cap Volatilities
interest-rates
implied-volatility
derivatives
Implied coupon given yield to maturity
fixed-income
interest-rates
Where can I find open swaption implied volatility data?
interest-rates
data
implied-volatility
swaption
Black 1976 caplet value
interest-rates
derivatives
black76
Interest Rates Time Series Correlation
interest-rates
time-series
correlation
Use of cap volatilities
interest-rates
implied-volatility
derivatives
Methods to generate multiple yield curves
interest-rates
programming
monte-carlo
risk-management
yield-curve
How did traders calculate that the expected number of rate hikes is 4 based on eurodollar futures on 15Feb2018?
interest-rates
futures
eurodollars
Why are stock index futures not used to forecast how much the stock market will rise, given that interest rates futures are used for this purpose?
interest-rates
futures
forecasting
indexes
CIR IR model - Building in a "dynamic mean rate level"
interest-rates
models
hullwhite
vasicek
How to calculate a future contracts price?
interest-rates
futures
hedging
eurodollars
Basic question re: Fed interest rate tightening and rising interest rates
equities
fixed-income
interest-rates
treasuries
Weights Blowing up in PCA
interest-rates
statistics
yield-curve
pca
yield
Model Validation - yield curve
options
interest-rates
yield
bootstrap
Withdrawing monthly from a bank for 40 years
interest-rates
finance-mathematics
banks
Conversion of annual interest rate compounded monthly to monthly effective interest rate
interest-rates
Conversion of 1- month effective interest rate to 6-month effective interest rate
interest-rates
compute r(t) in Vasiceck model, what is $e^{at}r$
fixed-income
interest-rates
vasicek
Call option prices in terms of maturity with negative interest rates
interest-rates
call
PCA Variance Explained on Out-of-sample Data
interest-rates
pca
Are 3 month t-bill rates in FRED annualized?
fixed-income
interest-rates
Am Call = Euro Call if r is non-negative and Am Put = Euro Put if r is negative
option-pricing
interest-rates
american-options
european-options
No arbitrage conditions for normal implied volatility
interest-rates
implied-volatility
no-arbitrage-theory
Closed- solution for Convertible bond price two factor model
option-pricing
interest-rates
stochastic-calculus
Fixing date, start date, end date in interest rate derivative valuation?
option-pricing
interest-rates
derivatives
forward-rate
daycounting
Problems with Money Weighted Rate of Return
interest-rates
returns
finance-mathematics
present-value
annuity
Interpreting Units of Short Rate Parameters
interest-rates
stochastic-processes
sde
Equality under T-forward measure for convexity adjustment
interest-rates
risk-neutral-measure
martingale
forward-rate
numerairechange
Price compounding: Swap versus Governments Bonds
interest-rates
interest-rate-swap
compounding
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
Black-Scholes vs Black equation
option-pricing
black-scholes
interest-rates
black76
Monte Carlo Paths Term Structure Models Interest Rates
interest-rates
monte-carlo
Interpretation of MidSwap Rate
interest-rates
Pricing 0% interest rate Floor Black Model
black-scholes
interest-rates
derivatives
What rate to discount tax shield
interest-rates
risk
finance
volatility term structure calibration
volatility
interest-rates
calibration
libor
hullwhite
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 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
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
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