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I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock...
Asked on 10/27/2021
4 answerDue to COVID's remote work situation I found myself unable to access my physical terminal so I've had to use bloomberg anywhere (bba), the issue I'm having is that when...
Asked on 10/27/2021 by Gorlomi
1 answerWhile deriving the delta hedge error if we hedge with implied vol, and the true vol is different, we say that the PnL of the call option is: $$dC=C_tdt+C_SdS+0.5C_{ss}<QV>dt...
Asked on 10/27/2021 by Arshdeep
1 answerCurrently I am studying finite difference method on derivatives with three (or more) underlyings and little bit confused on operator splitting method because two papers have different result. For the...
Asked on 10/27/2021 by whatamisaying
0 answerI am looking at the daily returns of the VIX index (dVIX ) and the daily returns of the S&P 500 (dS). I am running a linear regression (using 0...
Asked on 10/27/2021
1 answerI would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts. The part that confuses me is that I...
Asked on 10/27/2021 by user1131338
2 answerMy company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways:Time series analysis of: a company's financial data...
Asked on 10/27/2021 by mountainclimber11
10 answerThe CME-traded Eurodollar futures option is an American option. What is the industry standard pricing model for this product? Does the industry practice to treat CME-traded Eurodollar futures...
Asked on 10/27/2021 by Little
2 answerHow does one backtest either a market making strategy or microstructure-based strategy? I'd imagine that one way would be to record order book states over time and then insert the...
Asked on 10/27/2021 by Kch
3 answerIn their paper they show that:- if you hedge with the realised volatility, the present value of the total p&l is the difference between the option value based on...
Asked on 10/27/2021 by user40929
2 answerGet help from others!
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