Skip to main content
Quantitative Finance

Revival

 Revival
Answer more than 30 days after a question was asked as first answer scoring 2 or more. This badge can be awarded multiple times.
Awarded 1032 times.
Best Practices for Maintaining and Automating Interest Rate Curve Bootstrapping in QuantLib"
Awarded Jul 17 at 6:03
The end of risk-neutral valuation
Awarded Jul 4 at 14:55
Calibrating CIR to bond prices
Awarded Jul 1 at 9:34
How to generate high dimensional Sobol sequences for practical use?
Awarded Jun 24 at 21:09
Getting over bid-ask bounce
Awarded Jun 19 at 12:10
Interpolating a yield from two yields (giving more weight to one of the two)
Awarded Jun 12 at 0:25
Modelling considerations for a jump model
Awarded May 30 at 17:08
Is Breakable TRS subject to an option in the termsheet?
Awarded May 26 at 11:57
Detrending market data to calculate expected return (ER)
Awarded May 25 at 17:12
Expressing Volatility Smile as One Number
Awarded May 19 at 22:25
Optimal weights in portfolio after rebalancing
Awarded May 16 at 8:08
Sabr practical calibration
Awarded May 9 at 8:33
Analyzing a trading algorithm
Awarded May 7 at 16:42
Which method is implemented by Excel's YEARFRAC for ACT/ACT?
Awarded May 2 at 10:46
Volatility Smile/skew in volatile markets
Awarded May 1 at 12:35
Trying to understand the notion of required return
Awarded Apr 22 at 20:11
Application of Leverage in Different Interest Rate Environments to an Efficient Portfolio
Awarded Apr 19 at 17:02
Accrued interest calculation for floaters linked to O/N rates (such as SOFR)
Awarded Apr 8 at 19:12
Purpose of Vega Hedging
Awarded Apr 8 at 17:55
Is Lookback option more path-dependent than an Asian option
Awarded Apr 3 at 15:35
Historical volatility on bloomberg API
Awarded Mar 4 at 16:51
How do options traders capture volatility?
Awarded Mar 3 at 14:33
Interest rate swap Profit and loss attribution
Awarded Feb 28 at 17:10
Dupire's calibration
Awarded Feb 26 at 13:27
PCA analysis within Private Credit
Awarded Feb 23 at 12:21
Roll Critique - CAPM and mean variance tautology?
Awarded Feb 22 at 22:20
Diversification investment metric for a FI portfolio
Awarded Feb 21 at 8:18
Derivation in Jaeckel's "By Implication" paper
Awarded Feb 21 at 8:18
Real world application of stochastic portfolio theory
Awarded Feb 19 at 17:55
Plotting a CSA curve in QuantLib
Awarded Feb 16 at 12:50
Reliability of R Package on Covariance Matrix Shrinkage
Awarded Feb 15 at 19:25
ETF Market Making Hedging
Awarded Feb 12 at 15:55
Reverse convertible coupon determination
Awarded Feb 5 at 18:40
Why were Laguerre polynomials a good choice of basis functions for American Monte Carlo?
Awarded Feb 1 at 19:32
Generating normally distributed random numbers using Sobol generator in QuantLib
Awarded Feb 1 at 13:07
When calculating VIX, how to deal with the problem of asymmetry of put and call data?
Awarded Jan 31 at 11:50
The name conventions such as ATM, Risk reversal and Butterflies to construct volatility surface
Awarded Jan 28 at 18:31
How to obtain a complete list of US stock tickers using Alpha Vantage?
Awarded Jan 20 at 22:04
Marked poisson process vs compounded
Awarded Jan 17 at 19:41
How to fit exogenous + GARCH Model In Python?
Awarded Jan 11 at 8:19
Bond indices : where to find yields and asset swap spreads by rating and average duration?
Awarded Jan 11 at 8:19
How can a top-of-the book market maker protect itself from exploiting?
Awarded Jan 4 at 18:42
mathematical proof of the hedge ratio formula for bond futures
Awarded Jan 4 at 11:26
Is stochastic control with the HJB equation used in market making/algo trading at institutions?
Awarded Dec 28, 2023 at 16:27
To what degree is volume correlated with price impact?
Awarded Dec 26, 2023 at 20:55
Standard ways of simulating order books
Awarded Dec 25, 2023 at 18:17
Dealing with Inventory Risk
Awarded Dec 24, 2023 at 22:55
How do you formulate trading ideas and strategies?
Awarded Dec 23, 2023 at 5:04
Market Making Formulation
Awarded Dec 22, 2023 at 13:41
QuantLib: How to bootstrap Yield Curve using 3M futures - Python
Awarded Dec 14, 2023 at 12:05
R resources for GMM estimation and testing of multifactor asset pricing models
Awarded Dec 10, 2023 at 10:09
Wrt speed, how optimised is QuantLib's Heston pricing class?
Awarded Dec 4, 2023 at 17:31
Stochastic process for modelling correlation?
Awarded Nov 30, 2023 at 20:27
tenor basis swap spreads and compounding
Awarded Nov 23, 2023 at 22:27
Python regenerating ARMA params using statsmodels
Awarded Nov 13, 2023 at 12:20
When to stop training?
Awarded Nov 13, 2023 at 12:20
Under which conditions the minimum variance portfolio involves no short selling?
Awarded Nov 6, 2023 at 16:50
How to price Swaptions with short rate models?
Awarded Nov 1, 2023 at 22:11
Cross currency swap valuation in QuantLib
Awarded Oct 22, 2023 at 19:27
Proof that Sharpe ratio of the benchmark is related to the maximal information ratio and Sharpe ratio
Awarded Oct 20, 2023 at 11:55
1
2 3 4 5
…
18