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Quantitative Finance : Recent Questions and Answers (Page 5)

Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.

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...

Asked on 10/27/2021 by starovoitovs

1 answer

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...

Asked on 10/27/2021 by CA-Quant

2 answer

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...

Asked on 10/27/2021

2 answer

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...

Asked on 10/27/2021 by jonas.lima

1 answer

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...

Asked on 10/27/2021 by Mercadian

1 answer

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...

Asked on 10/27/2021

0 answer

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...

Asked on 10/27/2021

4 answer

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...

Asked on 10/27/2021 by Gorlomi

1 answer

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...

Asked on 10/27/2021 by Arshdeep

1 answer

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...

Asked on 10/27/2021 by whatamisaying

0 answer

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