Brian B

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4,659 reputation

217

bio	website	bachelierfinance.org
	location	United States
	age	43
visits	member for	1 year, 3 months
	seen	9 hours ago
stats	profile views	305

Worked in a lot of quant areas

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89 Answers

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18	How to quickly estimate a lower bound on correlation for a large number of stocks?
10	Switching from Matlab to Python for Quant Trading and Research
9	Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
8	Simulating the joint dynamics of a stock and an option
8	How do you estimate the volatility of a sample when points are irregularly spaced?

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4,659 Reputation

+20	Why use swap-rates in a yield curve?
+15	How to get greeks using Monte-Carlo for arbitrary option?
+10	How do you distinguish “significant” moves from noise?
+10	Why a self-financing replicating portfolio should always exist?

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5 Questions

votes activity newest

9	How do you characterize dividends for equity options?
7	Are there “live” uses of the Generalized Method of Moments or are they all academic?
6	What are the major characteristics of natural gas volatility and options?
5	How to define and measure liquidity or funding premium in credit markets?
5	What are the major models for energy derivatives, particularly electricity derivatives?

95 Tags

110 option-pricing × 23	44 time-series × 6
91 options × 21	42 implied-volatility × 12
55 black-scholes × 10	31 numerical-methods × 4
47 monte-carlo × 9	27 correlation × 3
45 volatility × 12	24 interest-rates × 6

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8 Accounts

	Quantitative Finance	4,659 rep	217
	Mathematica	381 rep	8
	Stack Overflow	254 rep	6
$Mathematics$	Mathematics	166 rep	4
	Signal Processing	116 rep	3

19 Badges

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Nice Answer × 2	Scholar
Yearling	Commentator
Disciplined	Enlightened
Self-Learner	Quorum
Revival × 4	Student

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128 Votes Cast

all time			by type			month		week
122	up		30	question		12		5
6	down		98	answer		12		5

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