Difference between S&P 500 index and S&P 500 Total Return index?
Dec 27, 2013 · 28 There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. …
Barrier Reaching Probability using Monte Carlo and Brownian …
Jan 13, 2026 · Know someone who can answer? Share a link to this question via email, Twitter, or Facebook.
options - TARF - cumulative profit and knocking out - Quantitative ...
Sep 11, 2024 · Target redemption forwards (TARFs) are a widely used instrument in the FX market, but their variations often make their payoffs complex and not easily understood. In the …
PCA risk modelling - Quantitative Finance Stack Exchange
Jun 21, 2024 · Been doing loads of reading about PCA, FA and SVD but still fail to understand the fundamentals of how PCA links with factor analysis in the context of risk modelling. Here is …
Newest 'black76' Questions - Quantitative Finance Stack Exchange
Sep 17, 2025 · I am trying to price american options on commodity futures by simulation - with the inclusion of a stochastic liquidity variable which affects both the drift and diffusion. My main …
Why the difference between SPY and ^GSPC?
Jun 6, 2015 · Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since …
equities - Spread over LIBOR on a Equity Swap - Quantitative …
Does anyone how banks determine the spread over LIBOR on a Equity Swap? Example: Party A pays the return on SPTR to Party B Party B pays 1M LIBOR + 40 bps to Party A Does anyone …
Probability Puzzle from a Quant Interview
Sep 27, 2023 · An urn contains 20 balls colored each of the 7 colors of the rainbow (140 total balls). We select balls one-by-one without replacement. Given that in the first 70 draws we …
fx - Sticky delta vs sticky strike - Quantitative Finance Stack Exchange
Nov 5, 2023 · I have been trying to get my head around these concepts but what I have found online has caused more confusion: specifically why a sticky delta model might lead to a higher …
implied volatility - Forward skew generated by Local Vol model ...
Sep 5, 2020 · The forward skew of a model is easy to see by pricing floating strike forward starting options in said model. If you do that to local vol, calibrated to a realistic volatility surface …