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| bio | website | abremod.com |
|---|---|---|
| location | Austin, TX | |
| age | 46 | |
| visits | member for | 1 year, 8 months |
| seen | 12 hours ago | |
| stats | profile views | 39 |
Operations Research Analyst
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Sep 17 |
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Calculate the “ten year zero rate” given two bonds with two prices There is no summation to solve. I added (corrected) computation. The only thing you need a calculator for is computing ln(0.7). |
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Sep 12 |
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Risk-Parity Portfolio Optimization using Extreme Optimization in C# The model you are trying to solve is a convex QP, which can be solved with solvers like cplex and gurobi which are free for students and have c# interfaces. |
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Aug 18 |
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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. |
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Sep 28 |
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What is the origin of the words “put” and “call” that characterize derivatives? StackExchange has a site dedicated to the english language. You might get a better answer there. |
