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Quantitative Finance

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Answer a question more than 60 days later with score of 5 or more. This badge can be awarded multiple times.
Awarded 552 times.
Proof of the convexity adjustment formula
Awarded Jul 15 at 4:31
FX forward curve building
Awarded Jun 16 at 18:32
What is an efficient data structure to model order book?
Awarded May 16 at 1:57
Calculate strike from Black Scholes delta
Awarded May 8 at 15:11
CVA for options
Awarded May 8 at 6:30
Using ISIN to identify stock at yahoo finance
Awarded Apr 17 at 15:47
Difference b/w Spot Premium and Forward Premium for FX Options
Awarded Mar 16 at 12:55
STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing
Awarded Feb 29 at 17:42
A good book on option pricing from theoretical and practical aspect
Awarded Feb 16 at 14:41
How to solve for the implied stock lending rate given equity options prices?
Awarded Jan 26 at 20:20
Best books on portfolio construction?
Awarded Jan 24 at 18:51
Probability of an Option maturing In-the-money vs. Volatility
Awarded Jan 22 at 21:17
Yahoo finance forex prices
Awarded Jan 22 at 21:17
Derivation of Call Delta from Black Scholes Model
Awarded Jan 21 at 14:33
Converting implied volatilities into digital option prices
Awarded Jan 18 at 17:03
The derivation of vega/gamma relationship
Awarded Jan 15 at 2:55
Why does the volatility smile flatten as maturities increase?
Awarded Jan 14 at 20:26
What does **Long Call EURUSD** mean?
Awarded Jan 11 at 20:42
Difference between OIS and SOFR?
Awarded Jan 8 at 11:18
how to calculate vega in stochastic vol?
Awarded Jan 3 at 13:48
Local Volatility vs. Stochastic Volatility
Awarded Jan 3 at 0:34
Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)
Awarded Dec 18, 2023 at 4:11
Intuition for Stock Price Numeraire Drift
Awarded Dec 11, 2023 at 22:34
Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator
Awarded Nov 21, 2023 at 21:37
Why Drifts are not in the Black Scholes Formula
Awarded Nov 10, 2023 at 11:11
formula for physical DV01 of interest rate swap
Awarded Aug 13, 2023 at 21:33
What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Awarded Aug 11, 2023 at 1:50
How to construct a Risk-Parity portfolio?
Awarded Jul 26, 2023 at 20:16
Interpreting Fama-French factors for the German stock market
Awarded Jul 26, 2023 at 8:05
What is an efficient data structure to model order book?
Awarded Jul 24, 2023 at 19:18
How to price very short dated options?
Awarded Jul 16, 2023 at 17:25
Why SVI does not fit well short-maturity options?
Awarded Jul 5, 2023 at 22:05
Gamma PnL Formula and Break-Even volatility
Awarded Jun 28, 2023 at 0:02
What is the purpose of short rate models?
Awarded Jun 17, 2023 at 20:47
Value of a European Call option with Infinite maturity
Awarded May 30, 2023 at 13:12
VIX options historical data
Awarded May 16, 2023 at 23:22
Discrete returns versus log returns of assets
Awarded May 12, 2023 at 5:10
What are popular metrics for Option Skew?
Awarded May 4, 2023 at 21:50
Fastest way to calculate YTM from bond price
Awarded Apr 30, 2023 at 20:17
BUS/252 accrual - why 252?
Awarded Apr 21, 2023 at 11:01
Who has introduced the term 'vega' and why?
Awarded Apr 21, 2023 at 8:10
Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?
Awarded Apr 12, 2023 at 3:18
Pricing a fixed rate bond in Quantlib Python
Awarded Apr 3, 2023 at 13:27
Black Scholes Constant Implied Volatility
Awarded Mar 31, 2023 at 8:10
What are some useful approximations to the Black-Scholes formula?
Awarded Mar 22, 2023 at 12:26
Why is the VIX futures market usually in a state of contango?
Awarded Mar 22, 2023 at 9:01
SDF as an affine transformation of the tangency portfolio
Awarded Mar 10, 2023 at 14:10
What is the name (Greek) for sensitivity of an option's Theta to the Time to maturity?
Awarded Mar 7, 2023 at 9:41
What is an efficient data structure to model order book?
Awarded Feb 1, 2023 at 0:45
Why does the volatility smile flatten as maturities increase?
Awarded Jan 21, 2023 at 18:42
Integral of Brownian motion w.r.t. time
Awarded Jan 19, 2023 at 0:50
Geometric Brownian Motion - Price Probabilities
Awarded Jan 16, 2023 at 19:18
Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Awarded Jan 3, 2023 at 15:11
An example of Feynman-Kac
Awarded Jan 2, 2023 at 16:02
What is C++ used for when writing code at High Frequency Trading firms?
Awarded Jan 2, 2023 at 14:06
What is the importance of alpha, beta, rho in the SABR volatility model?
Awarded Dec 30, 2022 at 11:43
Video lectures and presentations on quantitative finance
Awarded Dec 22, 2022 at 1:41
Video lectures and presentations on quantitative finance
Awarded Dec 22, 2022 at 1:41
Sample uniqueness and sample weight in AFML book
Awarded Dec 20, 2022 at 22:11
FX Option pricing on Forward vs. Spot
Awarded Dec 16, 2022 at 18:01
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