Brian B

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6,003 reputation
624
bio website bachelierfinance.org
location United States
age 44
visits member for 2 years, 3 months
seen 10 hours ago
stats profile views 477

Worked in a lot of quant areas


125 Answers

newest activity votes
19
How to quickly estimate a lower bound on correlation for a large number of stocks?
15
When to use Monte Carlo simulation over analytical methods for options pricing?
13
Switching from Matlab to Python for Quant Trading and Research
10
How does volatility affect the price of binary options?
10
How do you estimate the volatility of a sample when points are irregularly spaced?
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
What causes the call and put volatility surface to differ?
8
Convexity of BS Equation for Call and Put
8
What tools are used to numerically solve differential equations in Quantitative Finance?
8
Why are GARCH models used to forecast volatility if residuals are often correlated?
7
How to get greeks using Monte-Carlo for arbitrary option?
7
How to test for and how to simulate price rise/fall asymmetry in the stock market
7
Enhancing Monte-Carlo convergence (crude method)
7
How to value a floor when a loan is callable?
7
What is the best way to “fix” a covariance matrix that is not positive semi-definite?
7
Formal proof for risk-neutral pricing formula
7
Simple model for option premium (for covered call simulation)?
6
How do you explain the volatility smile in the Black-Scholes framework?
6
Can you fully hedge an option in the presence of counterparty risk?
6
How would I value a perpetual bond with an embedded option?
6
Why doesn't Black-Scholes work in discrete time?
6
How do you distinguish “significant” moves from noise?
6
How to price a volatility-index option?
6
How to derive the implied probability distribution from B-S volatilities?
6
How to make sense of VXX and the people who bought it?
5
Implied Volatility Calculation
5
Monte carlo methods for vanilla european options and Ito's lemma.
5
How do I model risks for specific short-term short calls in a portfolio with limited data?
5
Simulating property price index
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