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May
2
asked What is the main reasons to use Miltersen & Schartz (1998) model for commodity futures options
Apr
3
answered How can I use PCA to determine spread ratios for multiple legs?
Apr
3
asked what is the vol in the BS formula?
Aug
10
asked portfolio optimisation with VaR (or CVaR) constraints
Feb
4
asked How to compute performance attribution between daily rebalanced strategies?
Jan
5
answered How do you remove expected returns from asset allocation strategies?
Dec
30
asked Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Oct
25
answered Is there a quantitative finance ranking system for universities?
Jul
24
answered Why would an investor trade a variance swap over a volatility swap?
Jul
18
answered How to calculate expected return based on historical data for Mean Variance Analysis
Jul
15
asked Obtaining characteristics of stochastic model solution
Jun
29
answered Measuring liquidity
May
12
answered Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
Apr
25
answered How are correlation and cointegration related?
Apr
14
answered Library to solve optimization problems
Apr
1
asked Can the concept of entropy be applied to financial time series?
Mar
31
asked better estimator of volatility for small samples
Mar
28
answered DSP: stationary non-periodic signal: what's the best causal technique?
Mar
1
asked illiquid american options pricing
Feb
28
answered Price of Brent versus West Texas Intermediate