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I am trying to model the pricing of an asset called a "Turbo warrant", which to me looks a lot like a Down-and-Out Barrier option with leverage. When the price...
Asked on 12/28/2021
1 answerIn this paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226985, in the derivation of the mean variance efficient portfolio using lagrangians in the appendix, on page 29, the two portfolios are defined: $$pi_R=frac{V^{-1}R}{1^TV^{-1}R},...
Asked on 12/26/2021 by WeakLearner
1 answerMy EuroDollar futures have monday of third week expiration and settlement date from CME exchange how ever Python Quantlib doesn't seem to like it. Anyway I can get away with...
Asked on 12/26/2021 by Richard Lin
2 answerI am new to the area of local volatility interpolation and I am trying to make a decent implementation for calculating the local volatility surface from option prices using the...
Asked on 12/24/2021 by Jesper Tidblom
1 answerWhen we use Arima model to acquire Interval Predictions, will the width of prediction intervals decrease if we use more data (longer history) to fit the model?...
Asked on 12/21/2021 by Ericcheng
1 answerDon't worry I understand mathematics: ito's calc, martingales, etc. I am just curious what options I should test, and from what indices. Is there stuff I can test from the...
Asked on 12/21/2021
2 answerWhen calculating the probability of a certain target rate specified by the Fed at an FOMC release, I’ve generally read that it is typical to use Fed Funds Futures as...
Asked on 12/19/2021 by Mild_Thornberry
2 answerI keep getting a Implied Vol. = to my initial guess, My code is as bellowOption ExplicitOption Base 0Const EPS As Double = 10 ^ -5Const DELTA_VOL As...
Asked on 12/19/2021 by Zakaria Ourad
1 answerIn the Schöbel-Zhu model, the stochastic volatility process is $dv_t=kappa(theta-v_t)dt+sigma dW_t$. The characteristic function of the stock process can be found by arguing that the model is affine if...
Asked on 12/19/2021 by Frimousse
0 answerAssume a USDJPY cross currency basis swap priced using usd ois & usdjpy basis curve as discounting, and usd libor & jpy libor as projection curve. Now if usd ois...
Asked on 12/17/2021 by pqsn
2 answerGet help from others!
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