8,144 reputation
930
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 2 hours ago

Worked in a lot of quant areas


Oct
12
answered CDS Spread and Par Bond Yield Spread
Oct
2
answered Portfolio Turnover Constraint
Oct
1
answered Interpolating probabilities of default
Oct
1
answered Is it possible that a security with a positive variance can have a required return that is less than the risk free rate?
Sep
11
answered What is Base- vs. Implied Correlation of a CDO tranche?
Aug
10
answered CDS - Accumulated Default Risk?
Jul
17
answered Arbitrage free implies complete market?
Jun
27
answered Combining BHHH and Levenberg Marquardt
Jun
27
answered Common point between IR and Vol option pricing models?
Jun
27
answered Self-financing and Black-Scholes-Merton formula
Jun
16
answered What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?
May
20
answered Create optimal portfolio by Treynor and Jensens Alpha
May
12
answered How to price long dated options most efficiently?
May
3
answered how market makers set the time factor to calculate option greeks on the expiration day?
May
2
asked Pre- Versus post-2008 Crisis Rates Modeling
Apr
26
answered Constant term in linear regresion
Apr
21
answered When can a derivative be considered to be path dependant?
Apr
16
answered Usage of Brownian Bridge?
Apr
4
answered Efficient numerical approaches for pricing American Options with multiple sources of noise
Mar
30
answered Does an implied volatility always exist for a binary option?