Quantitative Finance Stack Exchange

0 votes

1 answer

227 views

Equity and Credit Portfolio Return

CommunityBot

1

modified 5 hours ago

1 vote

1 answer

165 views

Getting historical data on cross-currency basis

AMach

41

modified yesterday

0 votes

1 answer

103 views

Interest rates swap P&L

AMach

41

answered yesterday

1 vote

0 answers

68 views

Realistic understanding of YTM and reinvestment [duplicate]

AMach

41

modified yesterday

1 vote

1 answer

53 views

How to calculate basis risk for a floating rate bond?

Attack68♦

13.3k

modified yesterday

2 votes

1 answer

148 views

The use of L2 Regularization in portfolio optimization

T123

660

answered yesterday

3 votes

1 answer

10k views

Value Weighted Return

CommunityBot

1

modified yesterday

1 vote

1 answer

662 views

Kelly criterion: reconciliate discrete and continuous case

CommunityBot

1

modified yesterday

41 votes

0 answers

2k views

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

Septimusbob12

1

modified yesterday

1 vote

2 answers

2k views

How does a high frequency trading bot work?

Septimusbob12

1

modified yesterday

2 votes

1 answer

102 views

EURIBOR Fixing Risk

Attack68♦

13.3k

answered 2 days ago

-1 votes

0 answers

52 views

two ways to calculate bond carry

Peaceful

793

modified 2 days ago

1 vote

1 answer

784 views

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

CommunityBot

1

modified Nov 18 at 22:09

0 votes

2 answers

95 views

Constrained Optimization Problem Applied to a Portfolio

Attack68♦

13.3k

modified Nov 18 at 19:34

0 votes

1 answer

277 views

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

CommunityBot

1

modified Nov 18 at 18:04

2 votes

1 answer

1k views

forecast using rugarch in r

CommunityBot

1

modified Nov 18 at 17:03

0 votes

1 answer

86 views

Practically pricing index futures using cost to carry

João

365

answered Nov 17 at 8:28

4 votes

1 answer

411 views

Far OTM calculation issue on Bjerksund-Stensland

CommunityBot

1

modified Nov 17 at 6:04

4 votes

1 answer

239 views

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

CommunityBot

1

modified Nov 17 at 3:01

1 vote

1 answer

118 views

Discounting future cash flow for credit risk calculation

PBD10017

643

answered Nov 16 at 23:57

3 votes

1 answer

490 views

Relationship between Open Interest and Implied Volatility

CommunityBot

1

modified Nov 16 at 20:09

0 votes

1 answer

205 views

Degrees of freedom in moving average crossover strategies with varying parameters

CommunityBot

1

modified Nov 16 at 19:02

2 votes

1 answer

399 views

How to apply derived beta to daily change?

CommunityBot

1

modified Nov 15 at 22:03

2 votes

1 answer

666 views

Questions about the replicating portfolio in the binomial model

CommunityBot

1

modified Nov 15 at 19:05

0 votes

2 answers

915 views

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

CommunityBot

1

modified Nov 15 at 18:01

1 vote

1 answer

151 views

What is a robust estimator of stock return mean?

CommunityBot

1

modified Nov 15 at 16:10

0 votes

0 answers

71 views

Simulating stock returns GARCH-copula approach

Ruquaya Sayeeda

1

modified Nov 15 at 13:26

2 votes

1 answer

111 views

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

dm63

19k

answered Nov 15 at 13:17

1 vote

1 answer

1k views

Python - yahoo finance options data - volatility smile plot

CommunityBot

1

modified Nov 15 at 13:05

5 votes

1 answer

742 views

VAR-aDCC full ARCH and GARCH parameter matrices in R

CommunityBot

1

modified Nov 14 at 18:08

1 vote

0 answers

73 views

Market impact models for vanilla options

Alex

386

asked Nov 14 at 5:14

0 votes

1 answer

214 views

How should I create a Risk measurement Variable?

CommunityBot

1

modified Nov 13 at 15:09

0 votes

1 answer

183 views

Carry and Return on Basis Trades and Asset Swaps

CommunityBot

1

modified Nov 13 at 11:06

3 votes

1 answer

5k views

How to compute for basis adjusted forward rate?

CommunityBot

1

modified Nov 13 at 0:01

2 votes

2 answers

211 views

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

CommunityBot

1

modified Nov 12 at 17:05

2 votes

1 answer

234 views

Option Hedging: simulation of cumulative hedged paths and discounting

Dilipbhai Dobariya

1

modified Nov 12 at 16:51

1 vote

1 answer

925 views

Pairs trading with 3+ assets

CommunityBot

1

modified Nov 12 at 8:08

0 votes

1 answer

380 views

Maximizing the expected log utility

CommunityBot

1

modified Nov 12 at 3:03

0 votes

1 answer

64 views

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

CommunityBot

1

modified Nov 12 at 2:08

2 votes

1 answer

25k views

Margin % Bridge - Effect of Price, Cost, Volume

CommunityBot

1

modified Nov 12 at 1:02

6 votes

2 answers

982 views

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

CommunityBot

1

modified Nov 11 at 23:11

15 votes

0 answers

788 views

Jim Gatheral's ansatz

CommunityBot

1

modified Nov 10 at 22:38

25 votes

0 answers

2k views

Local Stochastic Volatility - Break even levels

CommunityBot

1

modified Nov 10 at 22:33

2 votes

1 answer

756 views

Market impact power law fitting confusion

CommunityBot

1

modified Nov 10 at 19:04

0 votes

1 answer

323 views

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

Rodrigo de Azevedo

400

modified Nov 10 at 16:06

2 votes

1 answer

220 views

Modelling energy derivatives from a purist perspective

Alper

1,045

modified Nov 9 at 19:22

1 vote

1 answer

1k views

Yield Curve Flattening Trade

CommunityBot

1

modified Nov 9 at 18:08

0 votes

1 answer

451 views

Delta across futures markets vs respective micros

CommunityBot

1

modified Nov 8 at 23:08

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