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Quantitative Finance

Excavator

 Excavator
Edit first post that was inactive for 6 months.
Awarded 312 times.
How to calculate the log return of portfolio?
Awarded Aug 23 at 4:13
Free or Relatively Less Pricey Quant Finance courses online
Awarded Aug 1 at 4:45
Why do volatility and correlation increase in times of crisis?
Awarded Jul 3 at 4:31
Why shrink the covariance matrix?
Awarded Jun 23 at 5:50
how do we estimate position of our order in order book queue?
Awarded Apr 27 at 4:17
How to calculate the daily carry on a bond future?
Awarded Apr 26 at 4:52
Vasicek Model (estimation of parameters)
Awarded Apr 22 at 4:26
What is a martingale?
Awarded Apr 18 at 4:43
Copulas simply explained
Awarded Feb 19 at 4:50
Why are Eurodollar futures settled to 100 minus LIBOR? Is this actually connected to a Eurodollar deposit?
Awarded Jan 8 at 4:58
Can you calculate modified duration for swaps?
Awarded Dec 21, 2024 at 7:20
Calculating Cross Currency basis swaps
Awarded Dec 21, 2024 at 7:20
IRS - sensitivity to estimation (projection, coupon) curve and discounting curve
Awarded Dec 18, 2024 at 4:36
Is Jacobian method approved to map front-office sensitivities to FRTB sensitivities? [closed]
Awarded Nov 26, 2024 at 7:18
Why does the EUR/USD exchange rate is in fact USD/EUR from a mathematical point of view? Why finance does not use the mathematical notation?
Awarded Nov 12, 2024 at 7:48
What are the advantages/disadvantages of these approaches to deal with volatility surface?
Awarded Oct 27, 2024 at 4:31
YTM of "very-seasoned" bond issues
Awarded Oct 14, 2024 at 16:11
Rolling Calculation of Slope in Python
Awarded Jul 20, 2024 at 5:50
Realized Volatility vs. Standard deviation of log returns
Awarded Jul 13, 2024 at 5:34
Mean reversion time estimation
Awarded May 3, 2024 at 4:15
Integral of the square of Brownian motion using definition of variance
Awarded Apr 25, 2024 at 4:47
Intergral of Brownian motion w.r.t. Brownian motion
Awarded Mar 30, 2024 at 4:46
Under which conditions the given random process is martingale and under which submartingale?
Awarded Mar 19, 2024 at 4:04
Par and Zero Coupon Yield Curves
Awarded Mar 13, 2024 at 4:02
Understanding Vega calculation in black Scholes model
Awarded Mar 13, 2024 at 4:02
Dollar gamma formula and its derivation
Awarded Feb 14, 2024 at 4:06
Black-Scholes formula is a (probabilistic) convex combination
Awarded Jan 22, 2024 at 4:19
Option on a dice game
Awarded Dec 22, 2023 at 4:56
QuantLib python ql.schedule getting end of month dates
Awarded Dec 10, 2023 at 4:32
Maximum value of a call option proof
Awarded Dec 6, 2023 at 4:25
Where can I get historical ticker change database?
Awarded Nov 30, 2023 at 4:03
Forward starting options concepts
Awarded Nov 16, 2023 at 4:27
How to annualize Sharpe Ratio?
Awarded Sep 5, 2023 at 4:23
If I have the present value of an amortizing bond's cashflows, how do I figure out price?
Awarded Aug 23, 2023 at 5:18
Black-Litterman and Implied Market Returns
Awarded Aug 2, 2023 at 5:11
Is there any thing out there as a substitute for KDB?
Awarded Jun 22, 2023 at 4:57
Central Index Key (CIK) of all traded stocks
Awarded May 4, 2023 at 4:02
What are the main types of orders on an exchange?
Awarded Apr 2, 2023 at 4:16
how do we estimate position of our order in order book queue?
Awarded Apr 1, 2023 at 6:41
Leverage and Tracking difference
Awarded Mar 13, 2023 at 5:46
Video lectures and presentations on quantitative finance
Awarded Mar 11, 2023 at 4:15
How to calculate "portfolio cumulative return" from individual price data and weight of them?
Awarded Mar 8, 2023 at 11:22
How To Account For Inflation Over Historical Data
Awarded Mar 3, 2023 at 4:09
A question about the Grossman-Miller Market Making Model
Awarded Dec 30, 2022 at 4:10
Are there any good tools for back testing options strategies?
Awarded Dec 17, 2022 at 4:28
Difference between OIS Rate and Fed Funds Rate
Awarded Dec 15, 2022 at 4:02
What data sources are available online?
Awarded Nov 24, 2022 at 4:27
How do funds assess fees to investors?
Awarded Nov 16, 2022 at 5:05
Stochastic Volatility and Sticky Delta
Awarded Oct 26, 2022 at 5:17
Px last in Bloomberg
Awarded Oct 25, 2022 at 5:20
How does one calibrate lambda in a Avellaneda-Stoikov market making problem?
Awarded Sep 14, 2022 at 5:28
FX Portfolio Volatility Targeting
Awarded Sep 4, 2022 at 4:46
how do we estimate position of our order in order book queue?
Awarded Aug 16, 2022 at 4:07
How do we use option price models (like Black-Scholes Model) to make money in practice?
Awarded Aug 11, 2022 at 4:21
Is the Interactive Brokers API suitable for hft?
Awarded Jun 28, 2022 at 4:08
Red Black Trees for Limit Order Book
Awarded Jun 13, 2022 at 4:22
Derive vega for Black-Scholes call from this formula?
Awarded Jun 9, 2022 at 5:35
Book/ Articles recommendation for Volatility models
Awarded May 12, 2022 at 4:57
For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?
Awarded May 8, 2022 at 4:09
Data Synchronization
Awarded Apr 23, 2022 at 4:03
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