Serving the Quantitative Finance Community

 
User avatar
r00kie
Posts: 0
Joined: February 6th, 2010, 9:18 am

Subjects, please...

February 18th, 2011, 8:16 am

What is martingale? semi-martingale? super-martingale?is covered call exactly same as short naked put?
Last edited by r00kie on May 25th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
frenchX
Posts: 11
Joined: March 29th, 2010, 6:54 pm

Subjects, please...

September 8th, 2011, 11:26 am

So here my favorite subjects:What is "convertible bond arbitrage" ? What is "capital structure arbitrage"?What is "cross market arbitrage"?What is "dispersion trading" ?What is "correlation trading "? (in the context of credit derivatives)What are the differences between "value strategy" and "momentum strategy" ?How do you trade skew and smile ?When should I recalibrate a model ? (the fundamental question in my opinion)What are the differences between a hedging model and a pricing model ? (very important point also I think)What is the "liquidity" and how do you incorporate it in princing and hedging models ?How do you model the implied vol surface dynamic ?How do analysts forecast dividend dates and amount ?for studentsWhat is uncertain volatility model ?What is utility pricing ?How do you find a similarity reduction ?What are volatility derivatives ?What is Put Call symmetry ? ( ) How do you model transaction costs and market impacts ?What is an asymptotic expansion ? (recent topic )What is a free boundary value problem ?What is static hedging ?Too many questions.
Last edited by frenchX on September 7th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
SierpinskyJanitor
Posts: 1
Joined: March 29th, 2005, 12:55 pm

Subjects, please...

September 30th, 2011, 9:18 am

"Brigo and Mercurio" 2nd edition has more than 50 such questions in the Preface, including:What are accrual conventions and how do they impact on the definition of rates?Are different market models of interest-rate dynamics compatible?Is the time of default of a couterparty predictable or not?...
Last edited by SierpinskyJanitor on September 29th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
alwaysLearning
Posts: 0
Joined: March 16th, 2012, 3:19 pm

Subjects, please...

March 19th, 2012, 3:34 pm

I asked this on a forum and I think it was the wrong place to ask, but does "Paul Wilmott on Quantitative Finance" cover a methodology for valuing CDX or would Options, Futures and Other Derivatives by Hull be better, or does someone have another suggestion altogether?I'm looking for a step by step guide in (plain) english that tells me from start to finish how I arrive at a valuation for a CDS.
 
User avatar
neuroguy
Posts: 0
Joined: February 22nd, 2011, 4:07 pm

Subjects, please...

May 4th, 2012, 5:17 am

"What is a randomness, does it exist? "That is a beautiful question!
Last edited by neuroguy on May 3rd, 2012, 10:00 pm, edited 1 time in total.
 
User avatar
neuroguy
Posts: 0
Joined: February 22nd, 2011, 4:07 pm

Subjects, please...

May 4th, 2012, 5:18 am

What are the most popular methods of regression in trading models?How are they used?
Last edited by neuroguy on May 28th, 2012, 10:00 pm, edited 1 time in total.
 
frolloos
Posts: 752
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Subjects, please...

June 7th, 2012, 5:49 pm

1. how many integral transforms (laplace, fourier, mellin, hankel,...) have/can be used in mathematical finance? when and why will a particular integral transform work?2. what is and what will be the role of differential geometry in finance?
 
User avatar
nholur
Posts: 0
Joined: April 13th, 2013, 6:53 pm

Subjects, please...

April 15th, 2013, 1:41 pm

Regression Variables in American MCHello All,First of all, let me say that as a newbie in quantitative finance, this is a great forum to discuss and exchange idea and going forward I will make it a point to present some of my opinions here. I am currently working on a project to price some exotic derivatives. Some of these have an american or bermudan option for which I am using Regression based American Monte Carlo. I am trying to search some literature on finding the best ways to price these options and choice of regression variables seems to be very important. I have seen a couple of articles where its described that choosing regression variables is a complex topic which practitioners have tried to perfect for a long period of time. But I have not found many articles or books which actually provide good judgement on this. For example if I have an asian option, how do i choose my regression variables as opposed to a barrier option. If anyone knows of any good articles that they can share or books I can buy that would be very helpful. Thanks in advance.
Last edited by nholur on May 28th, 2013, 10:00 pm, edited 1 time in total.
 
User avatar
BPS
Posts: 0
Joined: December 8th, 2013, 6:40 pm

Subjects, please...

January 4th, 2014, 4:07 pm

What infrastructure is required for HFT? Yes, it's a dumb question, but I'm interested.
Last edited by BPS on January 5th, 2014, 11:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 2957
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Subjects, please...

January 7th, 2014, 7:51 pm

It's a good FAQ. I don't know if Paul is still adding topics to this forum -- you might write [email protected] and ask,or ask James in the 'Suggestions' forum at the bottom.
 
User avatar
kartashove
Posts: 0
Joined: August 11th, 2015, 2:10 pm

Subjects, please...

August 19th, 2015, 8:08 am

I would suggest a topic "R vs. Mathematica/Maple/Matlab". This would include info on the wide academic use of R, on the value and flexibility that R demonstrates when being integrated with other bank/hedge fund infrastructure - DBMSs, portal solutions, web , etc., and the rich open-source developer community and repository of libraries and extensions. I can say that because I was using R as a risk management systems developer for several years. Right now R offers pretty modern plotting and web interface features. And there's a lot of people using R - I have attended several R/Finance conferences in Chicago, and I can say that community is fast-growing.
Last edited by kartashove on August 18th, 2015, 10:00 pm, edited 1 time in total.