Quant. Finance SE

A Q&A site for finance professionals and academics

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Can you answer this? Working with wide bid ask spreads in option pricing model https://t.co/2YHHcp08wQ #options

[Quant. Finance SE @StackQuant]

Can you answer this? Dealing with the inventory risk: solution with drift https://t.co/XxmzMzqSGS #highfrequency

[Quant. Finance SE @StackQuant]

How to compute forward swap rates? https://t.co/A62F1LBKtg #interestrateswap

[Quant. Finance SE @StackQuant]

Simple strategies for tail risk hedging that retail investors can use https://t.co/F8PQkw1Br6 #riskmanagement

[Quant. Finance SE @StackQuant]

Incorporating idiosyncratic risk as a pricing factor with GMM https://t.co/tHHatVzfFe #assetpricing

[Quant. Finance SE @StackQuant]

Can you answer this? Clustered vs. GMM-based standard errors: which ones to use in (basic) asse... https://t.co/ZYYs9uwLUC #assetpricing

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Bounty offered: If returns are correlated, are Sharpe ratios correlated? https://t.co/ntSSJ3BjAo #correlation

[Quant. Finance SE @StackQuant]

CAPM yields very poor fit (low R-squared). Is that normal? https://t.co/zXVOkqkkJK #capm

[Quant. Finance SE @StackQuant]

How do market-makers profit & manage inventory when customers sell a lot of deep OTM opti... https://t.co/doMs2cMp4G #impliedvolatility

[Quant. Finance SE @StackQuant]

How to identify daily returns as an unusual daily return given a dataset https://t.co/eNlmbXiKt6 #programming

[Quant. Finance SE @StackQuant]

Can you answer this? Feymann Kac pde with correlated process https://t.co/s1GbIiDvlA #stochasticprocesses

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Can you answer this? What is the dynamic of the forward price process under $\mathbf{Q}$? https://t.co/inPM8owSiV #blackscholes

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Probability of stock closing over a certain price https://t.co/MAF2yfn8gJ #volatility

[Quant. Finance SE @StackQuant]

Is LEI and Bloomberg Ticker one to one mapping. How about LEI, Bloomberg Ticker, Bloomberg ID... https://t.co/U8vi5vEDjI #tickermapping

[Quant. Finance SE @StackQuant]

Bounty offered: What ETFs and mutual funds track the Carhart 4 factors best? I.e. how to replicat... https://t.co/j7ebRq8pRN #regression

[Quant. Finance SE @StackQuant]

Can you answer this? Convergence rate of Bermudan to American option https://t.co/UChSTNO8Ug #montecarlo

[Quant. Finance SE @StackQuant]

Implied repo rate and slope of the yield curve https://t.co/szo8WMcTgy #fixedincome

[Quant. Finance SE @StackQuant]

Conceptual problem with risk neutrality-What is a 'risk-neutral world', exactly? https://t.co/pAWg2zw7iZ #risk

[Quant. Finance SE @StackQuant]

Pricing and hedging caps and floors on illiquid emerging markets https://t.co/KcpkO68cua #optionpricing

[Quant. Finance SE @StackQuant]

Bounty offered: non-Markovian/path-dependent optimal log utility and HJB-PDE https://t.co/PFeHSpFYtc #portfoliooptimization