531 reputation
314
bio website abremod.com
location Austin, TX
age 47
visits member for 2 years, 11 months
seen Aug 20 at 19:06

Operations Research Analyst


Aug
18
comment portfolio optimisation with VaR (or CVaR) constraints
@RockScience $\sum_{j \in J} r_{ij} = |J| \bar{r_i}$ if the monte carlo simulations match your expected return forecast.
Aug
17
awarded  Excavator
Aug
17
revised What models for backing out Equity IVOL
removed personal comment, minor formatting
Aug
17
suggested suggested edit on What models for backing out Equity IVOL
Aug
16
revised Historical Level 2 Data (Market Depth)
removed personal comments, duplicate sentences, formatted links
Aug
16
suggested suggested edit on Historical Level 2 Data (Market Depth)
Aug
16
revised How to annualize skewness and kurtosis based on daily returns
removed personal comment
Aug
16
suggested suggested edit on How to annualize skewness and kurtosis based on daily returns
Aug
16
revised What are some examples of Compound Poisson processes in insurance?
added explanation
Aug
15
revised portfolio optimisation with VaR (or CVaR) constraints
added brief description of the cvar lp.
Aug
14
revised VaR implementation using quantlib?
removed signature lines
Aug
14
revised market completion under stochastic volatility model
removed personal comment, fixed spelling
Aug
14
revised Quadratic Programming Problem
removed personal comments
Aug
14
awarded  Vox Populi
Aug
14
awarded  Citizen Patrol
Aug
14
suggested suggested edit on VaR implementation using quantlib?
Aug
14
suggested suggested edit on Quadratic Programming Problem
Aug
14
suggested suggested edit on market completion under stochastic volatility model
Aug
10
answered portfolio optimisation with VaR (or CVaR) constraints
Apr
22
answered What is the difference between Option Adjusted Spread (OAS) and Z-spread?