Matt Wolf

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location Tokyo, Japan
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visits member for 1 year, 3 months
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191 Answers

newest activity votes
2
Avoiding negative volatility when applying Heston model
jan 22 at 3:11
5
The Basis of Using Technical Indicators as Inputs
jan 22 at 2:51
1
How to calculate Vomma of Black Scholes model
jan 19 at 2:33
0
Delta of a Down and Out Call
jan 19 at 3:00
1
Sharpe ratio in days with no open positions
jan 17 at 4:54
9
When hiring a quant, how can I protect my IP?
jan 17 at 4:50
1
BDT model implementation
jan 9 at 0:50
4
Squared and Absolute Returns
jan 16 at 2:48
1
Comparison of Brownian Motion Expected Drawdown and simulated results
jan 15 at 16:52
3
How to determine the prices computationally?
jan 15 at 12:13
2
Selecting timeframe for time series analysis
jan 15 at 12:20
5
How do we use option price models (like Black-Scholes Model) to make money in practice?
jan 15 at 12:10
1
Volatility Index Weighting Scheme
jan 15 at 3:41
6
What are the advantages/disadvantages of these approaches to deal with volatility surface?
jan 14 at 7:12
1
CTD and bond futures
jan 14 at 7:24
2
Pricing swaptions
jan 14 at 7:02
1
What data transformations to use in regression of credit spreads on equity prices?
jan 9 at 9:19
1
Value options when the currency’s risk free rate is negative?
jan 9 at 1:00
3
What is the clean price and dirty price of a risky bond?
jan 8 at 16:35
2
Yield of a risky bond
jan 5 at 3:00
1
Inflation swap liquidity versus inflation-linked bonds
jan 6 at 16:05
3
Early execise of American Call on Non-Dividend paying stock.
jan 6 at 4:20
1
Rubinsteins Implied Binomial Tree - how to calculate the cumulative returns
jan 5 at 17:20
2
How to choose model parameters?
jan 5 at 3:52
2
Optimizing a currency only portfolio with negative weights
dec 31 at 10:03
3
BS and delta hedging questions
dec 31 at 9:46
4
Fastest algorithm for calculating retrospective maximum drawdown
dec 30 at 13:09
4
Why use market capitalization weighted index over PCA?
dec 29 at 15:13
5
Determining portfolio risk return in R given historical data for individual holdings?
dec 28 at 5:27
1
Can determinant of liquidity risk be used as a dimension or measure of liquidity risk
dec 26 at 7:52
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