551 reputation
314
bio website abremod.com
location Austin, TX
age 48
visits member for 3 years, 2 months
seen 2 days ago

Operations Research Analyst


Aug
20
revised Exotic option pricing
removed personal comment
Aug
20
suggested suggested edit on derivation of formula for portfolio skewness and kurtosis
Aug
20
suggested suggested edit on Exotic option pricing
Aug
20
revised Drawdown calculation for strategies
removed personal comment, minor formatting
Aug
19
suggested suggested edit on Drawdown calculation for strategies
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