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Quantitative Finance

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First question with score of 1 or more.
Awarded 8362 times.
Understanding intuition behind in-elicitability "problem" of expected shortfall
Awarded 20 hours ago
(post deleted or otherwise unavailable)
Awarded yesterday
An application of Ito's formula with correlated Brownian increments
Awarded 2 days ago
IRS with early termination provision
Awarded Jul 17 at 7:37
Log-normal mean reversion SDE
Awarded Jul 16 at 9:03
How do i change face value of a Zero Coupon Bond in Python rateslib?
Awarded Jul 15 at 21:58
Does fama-french factors apply 1-day delay between their portfolio formation and the trade? If so, why?
Awarded Jul 15 at 17:13
Sum Over Min Die
Awarded Jul 15 at 11:06
Pricing / valuing anticipated repayment date
Awarded Jul 13 at 11:45
Implication of unique risk neutral measure
Awarded Jul 13 at 9:37
Is this a valid implementation for volatility targeting?
Awarded Jul 12 at 1:15
How can calculate the American put option's vega,rho? [closed]
Awarded Jul 9 at 14:37
How to calculate factor return given a barra model and individual stock returns?
Awarded Jul 9 at 9:41
Positive market impact
Awarded Jul 8 at 20:26
How to value 3mo SOFR Spreads one year out, 2yr out
Awarded Jul 7 at 14:40
How is the continuous order and market book merged together at market close?
Awarded Jul 6 at 11:15
Calculating value of vanilla swap after effective date
Awarded Jul 3 at 10:15
BSM replication with expiry delta
Awarded Jul 1 at 9:56
Interpretation of the TTC and PIT probability of default in the Vasicek model
Awarded Jul 1 at 9:19
Understanding "SP1ST" in Forward OIS ECB Quotes from ICAP
Awarded Jul 1 at 9:04
Issues running Fama French regression for annual portfolios
Awarded Jun 27 at 19:27
Is it appropriate to use Term-SOFR curve as spot rate curve in bond pricing for simplicity?
Awarded Jun 27 at 16:36
How do I predict future earnings dates if I have a database of all prior earnings dates?
Awarded Jun 27 at 11:10
Swap/Bond basis: Bond rates "too high" or swap rates "too low"?
Awarded Jun 25 at 18:07
Non deliverable interest rate swaps (NIRS)
Awarded Jun 24 at 12:51
Expected date of exercise - American put
Awarded Jun 22 at 13:27
FX risk reversal approximation
Awarded Jun 20 at 14:31
If a process satisfy the "affine property" is it a Markov processes?
Awarded Jun 20 at 13:40
Setup for proving equation 3.4 from Grinold
Awarded Jun 19 at 20:11
Proof of weights maximizing sharpe of a portfolio
Awarded Jun 18 at 20:26
(post deleted or otherwise unavailable)
Awarded Jun 18 at 11:43
Predatory trading as a game of size
Awarded Jun 18 at 4:50
Carry Roll Calculation for Interest Rate Swaps in Nordea Note
Awarded Jun 16 at 22:56
LSV leverage function calibration
Awarded Jun 14 at 9:56
Do we need a risk premium for the assets in the binomial option pricing model?
Awarded Jun 13 at 18:31
Best Book - Understanding Investment Bank Operations
Awarded Jun 13 at 9:46
Jamshidian's formulation of Black Derman Toy
Awarded Jun 13 at 8:12
Cross sectional momentum vs time series momentum
Awarded Jun 13 at 7:26
Issues with Calibrating Intensity Functions in Illiquid and High-Volatility Markets for Market Making
Awarded Jun 12 at 1:17
Interview question: strategy with perfect R2
Awarded Jun 12 at 0:33
Closed form solution for Mean-Variance optimization under constraint
Awarded Jun 11 at 16:18
A quant job interview question about (toy) futures
Awarded Jun 11 at 9:10
Geometric Brownian Motion as the limit of a Binomial Tree?
Awarded Jun 10 at 11:56
Change in price of underlying impact on delta gamma and vega
Awarded Jun 9 at 15:05
Changing parameterization in Dupire's Formula
Awarded Jun 9 at 13:50
Question about the "VolZScore" in this article about applying the Boids algorith to equities to find flocking behavior
Awarded Jun 7 at 15:42
Calibrating CIR to bond prices
Awarded Jun 6 at 19:45
What Quantitative Methods Best Predict Silver Prices Based on Macroeconomic Indicators?
Awarded Jun 6 at 15:10
Fama&French models for asset returns applied to European Market
Awarded Jun 5 at 12:26
Is my spread calculation correct?
Awarded Jun 4 at 8:56
The end of risk-neutral valuation
Awarded Jun 4 at 0:12
Volatility of S&P 500 based portfolios too low
Awarded May 31 at 7:40
Calculating factor attribution to performance from factor exposures?
Awarded May 31 at 7:40
How to create a long-short portfolio on an academic basis
Awarded May 28 at 10:32
evaluate the predictive power of a signal to predict stock price - interview question
Awarded May 28 at 2:47
How do you calculate the market value of a bond position?
Awarded May 27 at 23:52
How do banks hedge their FX TARF trades?
Awarded May 27 at 20:25
Sharpe ratio 1 and probability to lose money
Awarded May 27 at 18:07
(post deleted or otherwise unavailable)
Awarded May 27 at 12:27
If Kelly and tangent portfolios have the same weights, do they differ only empirically?
Awarded May 26 at 15:06
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