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# Quantitative Finance : Recent Questions and Answers (Page 5)

## How to calibrate models with unbounded parameter space

I am calibrating the Heston model with sequential quadratic programming algorithm. It turns out that the volatility surfaces I am calibrating to can be fit very well with extreme values...

## Solution for a SDE for a Bond found in Bugard & Kjaer

I'm going over the paper -Partial Differential Equation Representation of Derivatives with Bilateral Counterparty Risk and Funding Costs- from Burgard and Kjaer. There the following SDE is given...

## Intuition for Martingale Representation Theorem

Can you please explain Martingale Representation Theorem in a non-technical way that what is it and why is it required? Most of the stuffs I studied so far are quite...

## Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?

The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future. Why changes? What the factor make this changes? Why bloomberg put into a financial...

## Options when there's no VolSurf - Emerging/Frontier Markets

Context: Most emerging/frontier markets have no or very thinly traded volatility surfaces for their equity markets (single name and indices alike), furthermore, they usually have restrictions on Short-Selling and Capital...

## Are heuristic portfolios efficient portfolios?

Markowitz's definition of an efficient portfolio is one that minimizes portfolio risk for a given level of expected return. He therefore calls portfolios along the efficient frontier "frontier portfolios" as...

## Is this how stock trading works?

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...

## How to connect Bloomberg's xbbp api to "Bloomberg Anywhere"

Due 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...

## Question about using Ito's lemma in Gamma PnL

While 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...

## Operator splitting method on three assets black scholes equation

Currently 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...