Brian B

less info
meta site favicon meta user | stack exchange network profile network profile
5,973 reputation
523
bio website bachelierfinance.org
location United States
age 44
visits member for 2 years, 3 months
seen 10 hours ago
stats profile views 475

Worked in a lot of quant areas


125 Answers

newest activity votes
1
Basket equity swap
4
Why write options on a volatility target index?
3
Is there a quantitative finance ranking system for universities?
6
How to derive the implied probability distribution from B-S volatilities?
3
How should I calculate the implied volatility of an American option in a real-time production environment?
2
Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?
0
Should I use currency hedged or unhedged returns for a global equity allocation model?
2
How is mean reversion implied by different valuations of Bermudan swaptions?
2
What are important model and assumption-free no-arbitrage conditions in options trading?
3
How do I calculate the delta of a convertible bond?
5
What type of investor is willing to be short gamma?
3
Library to solve optimization problems
7
Formal proof for risk-neutral pricing formula
5
Black-Scholes No Dividends assumption
3
How to annualize Expected Shortfall?
2
Few questions on Binomial-Lattice Option Valuation
4
Cost function for hedging portfolio
2
Varswap Basis - What is it in practice?
7
Enhancing Monte-Carlo convergence (crude method)
4
Picking from two correlated distributions
13
Switching from Matlab to Python for Quant Trading and Research
4
illiquid american options pricing
9
Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
8
Why are GARCH models used to forecast volatility if residuals are often correlated?
3
Which risk-free rate to use to price a bond issued in one currency but convertible into equity in another?
7
Simple model for option premium (for covered call simulation)?
19
How to quickly estimate a lower bound on correlation for a large number of stocks?
5
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures
3
Correlation skew mapping
3
on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
1 2 3 4 5