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0 votes
1 answer
227 views

Equity and Credit Portfolio Return

1 vote
1 answer
165 views

Getting historical data on cross-currency basis

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1 answer
103 views

Interest rates swap P&L

1 vote
0 answers
68 views

Realistic understanding of YTM and reinvestment [duplicate]

1 vote
1 answer
53 views

How to calculate basis risk for a floating rate bond?

2 votes
1 answer
148 views

The use of L2 Regularization in portfolio optimization

3 votes
1 answer
10k views

Value Weighted Return

1 vote
1 answer
662 views

Kelly criterion: reconciliate discrete and continuous case

41 votes
0 answers
2k views

How to show that this weak scheme is a cubature scheme?

1 vote
2 answers
2k views

How does a high frequency trading bot work?

2 votes
1 answer
102 views

EURIBOR Fixing Risk

-1 votes
0 answers
52 views

two ways to calculate bond carry

1 vote
1 answer
784 views

Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement

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2 answers
95 views

Constrained Optimization Problem Applied to a Portfolio

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1 answer
277 views

Garch Model with Vix as external regressor un dummy rugarch r studio

2 votes
1 answer
1k views

forecast using rugarch in r

0 votes
1 answer
86 views

Practically pricing index futures using cost to carry

4 votes
1 answer
411 views

Far OTM calculation issue on Bjerksund-Stensland

4 votes
1 answer
239 views

How to quantify Vega PNL from volatility moving along a steep moneyness surface when bucket Vega shows zero?

1 vote
1 answer
118 views

Discounting future cash flow for credit risk calculation

3 votes
1 answer
490 views

Relationship between Open Interest and Implied Volatility

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1 answer
205 views

Degrees of freedom in moving average crossover strategies with varying parameters

2 votes
1 answer
399 views

How to apply derived beta to daily change?

2 votes
1 answer
666 views

Questions about the replicating portfolio in the binomial model

0 votes
2 answers
915 views

Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)

1 vote
1 answer
151 views

What is a robust estimator of stock return mean?

0 votes
0 answers
71 views

Simulating stock returns GARCH-copula approach

2 votes
1 answer
111 views

Can a swaption be priced when the underlying swap has already started before the option’s exercise date?

1 vote
1 answer
1k views

Python - yahoo finance options data - volatility smile plot

5 votes
1 answer
742 views

VAR-aDCC full ARCH and GARCH parameter matrices in R

1 vote
0 answers
73 views

Market impact models for vanilla options

0 votes
1 answer
214 views

How should I create a Risk measurement Variable?

0 votes
1 answer
183 views

Carry and Return on Basis Trades and Asset Swaps

3 votes
1 answer
5k views

How to compute for basis adjusted forward rate?

2 votes
2 answers
211 views

How do I reformulate this max GMV ratio constraint in convex way?

2 votes
1 answer
234 views

Option Hedging: simulation of cumulative hedged paths and discounting

1 vote
1 answer
925 views

Pairs trading with 3+ assets

0 votes
1 answer
380 views

Maximizing the expected log utility

0 votes
1 answer
64 views

Will the risk-neutral measure be different for different CLO tranches?

2 votes
1 answer
25k views

Margin % Bridge - Effect of Price, Cost, Volume

6 votes
2 answers
982 views

Are there alternatives to the Box-Tiao decomposition in identifying mean-reverting portfolios?

15 votes
0 answers
788 views

Jim Gatheral's ansatz

25 votes
0 answers
2k views

Local Stochastic Volatility - Break even levels

2 votes
1 answer
756 views

Market impact power law fitting confusion

0 votes
1 answer
323 views

Linear regression on portfolio return (to estimate asset class/factor returns)

2 votes
1 answer
220 views

Modelling energy derivatives from a purist perspective

1 vote
1 answer
1k views

Yield Curve Flattening Trade

0 votes
1 answer
451 views

Delta across futures markets vs respective micros


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