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Quantitative Finance

Launched Q&A site for finance professionals and academics

107 Example Questions (12 closed)

active newest votes
up vote 21 down vote
How do bond pricing formulae differ between the US, UK and the Euro zone?
added by cletus May 27 '10 at 23:21
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This is a great question, given that it can be hard to answer questions like this generally. – Shane May 30 '10 at 14:37
up vote 21 down vote
How does "flash trading" actually work?
added by Jaydles May 28 '10 at 3:40
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up vote 21 down vote
What are the various methods for calculating VaR (e.g. Monte Carlo), and which method is considered the best?
added by Shane, edited by WikiSpeedia hang-around Jul 11 '10 at 20:00
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up vote 20 down vote
What's the difference between volatility and variance?
added by Jaydles May 27 '10 at 3:13
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This question seems too basic to me, and might be better suited to the statistics site? It could be rephrased as something like "why is volatility more commonly used as a risk measure than variance", or something along that line, in which case it would be more relevant. – Shane Jun 1 '10 at 14:43
up vote 20 down vote
What is delta hedging?
added by Patrick May 31 '10 at 18:31
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This might be too basic/general? – Shane Jun 1 '10 at 13:52
Probably another "move the turtle in Logo" question, but I'm down with it. It's topical and as long as duplicates get deleted seems OK by me. – JD Long Jun 2 '10 at 14:28
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This is not basic at all! Delta hedging seems basic on the surface, but it's a deep problem in itself. – quant_dev Jun 12 '10 at 10:04
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deep perhaps, but too general for sure. – jbr Jul 5 '10 at 19:19
up vote 12 down vote
How do you price knock out options?
added by cletus May 27 '10 at 23:25
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up vote 10 down vote
Is Sharpe ratio a good way to measure the quality of an quantitative trading strategy? What are the alternatives?
added by EMP Jul 2 '10 at 6:58
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up vote 9 down vote
How does one implement the Black-Litterman Portfolio model?
added by Shane May 25 '10 at 20:40
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Questions related to Portfolio Theory should definitely be included in the site. – Shane Jun 1 '10 at 13:25
up vote 8 down vote
What is Value at Risk and how is it calculated?
added by Jason Punyon♦ Jun 1 '10 at 20:20
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Not sure, but this question may be a little too basic, and there are several different ways to calculate VaR. See my related question: area51.stackexchange.com/proposals/117/…. – Shane Jun 1 '10 at 20:28
up vote 7 down vote
What is meant by volatility trading and how is it done in practice?
added by Patrick May 31 '10 at 18:11
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up vote 7 down vote
What are the known shortcomings of the Black-Scholes option pricing formula?
added by Patrick May 31 '10 at 18:23
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up vote 6 down vote
What are the pros/cons to using cointegration vs correlation when trading pairs in short timeframes (HFT)?
added by jbr Jun 26 '10 at 17:55
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Always? This seems like it could be subjective given the way the question is phrased. – Shane Jul 7 '10 at 8:03
Yes, the question is unclearr. I was particularly thinking about high frequency timeframes. Is cointegration relevant in those timeframes? The main advantage for cointegration is that it captures long term relationships and correlation is unstable and short term. But, is that a reason to prefer correlation in shorter timeframes? – jbr Jul 11 '10 at 17:19
Do you want to edit your question to reflect that you're referring specifically to HFT? – Shane Jul 11 '10 at 17:43
up vote 6 down vote
What is the state of the art beyond VECM in relating timeseries?
added by Jonathan Shore Jul 7 '10 at 17:34
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up vote 5 down vote
How is the VIX calculated, and what does it represent?
added by Jaydles May 30 '10 at 2:38
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up vote 5 down vote
How does one deal with samples within the tails in Kalman or particle filters? (I.e. tail observations can lead to numerical instability)
added by Jonathan Shore, edited by WikiSpeedia hang-around Jul 15 '10 at 14:52
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up vote 4 down vote
What are the key differences between an ECN and a traditional exchange?
added by Jaydles May 29 '10 at 18:00
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up vote 4 down vote
What is the different between a stock option and a warrant with a stock underlier?
added by Patrick May 31 '10 at 18:06
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up vote 4 down vote
How are cliquets priced?
added by Patrick May 31 '10 at 18:36
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what are cliquets? – jilles de wit Jul 9 '10 at 11:37
up vote 4 down vote
What are dark liquidity pools?
added by bromfiets Jun 27 '10 at 12:33
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up vote 3 down vote
What is a good way to measure Tracking Error of a mixed portfolio?
added by coderguy123 May 27 '10 at 3:24
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up vote 3 down vote
How do trailing stop orders work?
added by Jaydles May 29 '10 at 15:38
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up vote 3 down vote
Are there any option pricing models that can handle counter-party risk?
added by Shane May 29 '10 at 16:38
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Counterparty risk - pretty relevant! – Tim Robinson Jul 6 '10 at 20:58
up vote 3 down vote
What's the best method for determining if two assets are cointegrated?
added by Shane May 30 '10 at 18:07
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up vote 3 down vote
How do the banks deal with pricing of baskets when basket constituents are distributed across a number of regions?
added by Patrick May 31 '10 at 18:21
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up vote 3 down vote
Does a forward contract on a stock index have the same delta as the equivalent futures contract?
added by Shane Jun 1 '10 at 13:42
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up vote 3 down vote
How widely and successfully are machine learning techniques like SVM used in the quant hedge fund world?
added by jbr Jun 26 '10 at 18:00
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up vote 3 down vote
Why are lognormal models for stock prices used?
added by bromfiets Jun 27 '10 at 12:46
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up vote 2 down vote
What is the current literature on the subject of trade intensity in a limit order book?
added by Shane May 25 '10 at 20:24
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up vote 2 down vote
What's a reverse convertible?
added by Jaydles May 27 '10 at 10:04
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up vote 2 down vote
Which textbooks are most widely read on options theory?
added by Jaydles May 28 '10 at 16:24
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up vote 2 down vote
What's the difference between a prepaid forward and a liquidity contract?
added by Jaydles May 29 '10 at 17:58
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up vote 2 down vote
How do you calculate market impact given a set of fills and best bid/offer tick data?
added by Shane May 30 '10 at 18:03
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up vote 2 down vote
What are your most commonly used Bloomberg functions used in the equity derivative space?
added by Patrick May 31 '10 at 18:27
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up vote 2 down vote
Under what circumstances is a "trade-through" permissible for equities under Reg NMS? Does it differ from exchange to exchange?
added by Jaydles May 31 '10 at 23:14
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up vote 2 down vote
Is there a standard for displaying the order of currency pairs for FX trades, e.g. EUR/USD or USD/EUR?
added by Charlie, edited by WikiSpeedia hang-around Jul 11 '10 at 20:02
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Not Quantitative Investment specific, not a good example. – jilles de wit Jul 2 '10 at 9:58
up vote 2 down vote
What is the state of the art quant method for index replication strategies?
added by jbr Jun 26 '10 at 18:01
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up vote 2 down vote
What is the difference between a price index and a total return index?
added by winanga Jul 13 '10 at 14:20
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up vote 1 down vote
What matching algorithms are used by the Liffe exchange?
added by Shane May 25 '10 at 20:25
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up vote 1 down vote
What is a straddle?
added by Michael Pryor May 25 '10 at 20:28
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this is obviously a beginner question, but it is something exclusively of interest to pro quants – Joel Spolsky♦ May 25 '10 at 21:00
Weird. I thought it would be too basic for quants which is why I proposed it... – Michael Pryor May 27 '10 at 17:16
@Joel this is a tough one. It is a basic question (in options theory) but obviously a specialized area. Does this mean "what is a put option?" also qualifies? – cletus May 27 '10 at 23:13
I agree with @cletus; this might be too basic, although it's a fine line. I would be happy for basic questions to exist so long as they don't drive away a community of experts in the process. – Shane May 30 '10 at 14:26
up vote 1 down vote
What's the correct way to hedge a commercial mortgage CDO?
added by Shane May 25 '10 at 20:41
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There is no such way, these securities cannot be hedged completely :P – quant_dev Jun 12 '10 at 10:06
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