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Quantitative Finance

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Share a link to a post later visited by 25 unique IP addresses. This badge can be awarded multiple times.
Awarded 253 times.
What causes the call and put volatility surface to differ?
Awarded Jul 15 at 0:51
Explaining the Risk Neutral Measure
Awarded Jul 5 at 15:21
Bloomberg DLIB BLAN in Python
Awarded Jul 4 at 23:56
How to explain the asymmetry of vanilla Volga?
Awarded Jul 4 at 1:21
Theta using black scholes when time to maturity approaches 0
Awarded Jul 4 at 1:21
Bloomberg: Get Historical Benchmarks
Awarded Jul 2 at 23:19
Bartlett's delta gives wrong signs for calls and puts
Awarded Jul 2 at 8:23
Open Interest Change in Futures Trading
Awarded Jun 29 at 23:47
What does implied volatility say about the underlying?
Awarded Jun 27 at 18:47
Options Market Making Used Implied Volatility Surface
Awarded Jun 20 at 16:57
How does a volatility surface based on moneyness instead of strike stay consistent with put-call parity?
Awarded Jun 20 at 7:55
Breeden-Litzenberger formula for risk-neutral densities
Awarded Jun 20 at 6:11
Is “at the money” referent to the spot or forward price?
Awarded Jun 17 at 20:57
Issues with +100 symbols in Quantstrat, Erratic Trades
Awarded Jun 14 at 0:06
Python - yahoo finance options data - volatility smile plot
Awarded Jun 8 at 1:31
Fixed vs float swap interest rate risk
Awarded Jun 6 at 22:41
How does Bloomberg calculate the 2 year swap rate using the current eurodollar futures prices?
Awarded Jun 4 at 6:17
Risk free rate for Black and Scholes model: Incorporating inflation?
Awarded Jun 4 at 5:26
Quantlib: Greeks of FX option in Python
Awarded Jun 4 at 2:40
Quantlib Black Model for Commodity Options (Interest Rate Options) is extremely light on gamma and price vs BBG, is model incorrect?
Awarded Jun 4 at 2:40
What data sources are available online?
Awarded May 27 at 6:26
Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
Awarded May 23 at 21:15
How do I find out the exact publication date/time of a press release (Reuters, PR Newswire)?
Awarded May 14 at 20:31
How to Bloomberg compute the implied Yield ? What is FX swap basis spread?
Awarded May 2 at 2:30
Cross currency swap valuation in QuantLib
Awarded Apr 29 at 4:25
What is the importance of alpha, beta, rho in the SABR volatility model?
Awarded Apr 25 at 10:30
What is the purpose of a floating interest rate leg on an autocallable equity swap transaction?
Awarded Apr 21 at 4:03
Why aren't econometric models used more in Quant Finance?
Awarded Apr 7 at 16:42
How to extrapolate implied volatility for out of the money options?
Awarded Mar 25 at 4:47
Delta of Black formula vs numerical
Awarded Mar 19 at 15:55
Is CAPM a cross sectional or time series model?
Awarded Mar 17 at 18:56
Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Awarded Mar 13 at 11:50
Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large
Awarded Feb 25 at 22:55
Finite Differences Vega calculation - confirmation on proper approach
Awarded Feb 25 at 3:51
Quantlib: day-by-day evaluation of option value
Awarded Feb 22 at 14:49
Black Scholes Theta Finite difference
Awarded Feb 20 at 15:41
Bloomberg terminal option data calculation
Awarded Feb 18 at 20:49
Inflation effect on FX rates
Awarded Feb 18 at 1:35
Finite Difference Method in Greeks (Options)
Awarded Feb 15 at 22:31
Quantifying climate change risk
Awarded Feb 2 at 7:17
Quantlib: day-by-day evaluation of option value
Awarded Jan 30 at 11:01
Kelly criterion for normally distributed returns
Awarded Jan 19 at 20:37
Early expiry option implied volatility
Awarded Jan 12 at 16:41
Sticky delta vs sticky strike
Awarded Jan 11 at 14:34
how to calculate vega in stochastic vol?
Awarded Jan 4 at 17:07
Converting implied volatilities into digital option prices
Awarded Jan 4 at 14:51
When to use a Local Vol model vs Stochastic Vol Model?
Awarded Jan 3 at 10:10
What are some factually incorrect quantitative finance answers generated by AI?
Awarded Dec 26, 2023 at 11:17
SABR model - beta
Awarded Dec 16, 2023 at 4:50
What are some factually incorrect quantitative finance answers generated by AI?
Awarded Dec 14, 2023 at 17:16
How to price an option allowing to change a call into a put?
Awarded Dec 13, 2023 at 23:06
What concepts are the most dangerous ones in quantitative finance work?
Awarded Dec 11, 2023 at 21:37
Is SOFR to replace LIBOR or Fed Fund Rate or both
Awarded Dec 11, 2023 at 7:04
How does Bloomberg use the OIS curve to get the zero rates?
Awarded Nov 30, 2023 at 21:30
Questions on options cost of carry, and relationship to futures cost of carry
Awarded Nov 30, 2023 at 7:55
Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?
Awarded Nov 18, 2023 at 8:27
Implementation of Act/Act IDSA / ICMA / Bond Day Count Convention
Awarded Nov 15, 2023 at 23:42
What could the cashflows of US0SFR1Z Curncy be?
Awarded Oct 25, 2023 at 2:46
Local Volatility vs. Stochastic Volatility
Awarded Oct 24, 2023 at 10:41
Effect of Implied volatility on option delta
Awarded Oct 20, 2023 at 21:11
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