Brian B

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6,183 reputation
624
bio website bachelierfinance.org
location United States
age 44
visits member for 2 years, 4 months
seen 11 hours ago
stats profile views 489

Worked in a lot of quant areas


130 Answers

newest activity votes
19
How to quickly estimate a lower bound on correlation for a large number of stocks?
feb 15 '11 at 20:57
15
When to use Monte Carlo simulation over analytical methods for options pricing?
oct 2 at 16:12
13
Switching from Matlab to Python for Quant Trading and Research
mar 7 '11 at 18:44
10
How does volatility affect the price of binary options?
sep 29 '11 at 12:34
10
How do you estimate the volatility of a sample when points are irregularly spaced?
dec 19 '11 at 15:51
9
Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
feb 28 '11 at 15:51
8
Simulating the joint dynamics of a stock and an option
feb 29 '12 at 23:05
8
What causes the call and put volatility surface to differ?
feb 6 '12 at 15:09
8
Convexity of BS Equation for Call and Put
nov 18 '11 at 14:41
8
What tools are used to numerically solve differential equations in Quantitative Finance?
sep 29 '11 at 13:06
8
Why are GARCH models used to forecast volatility if residuals are often correlated?
feb 25 '11 at 19:08
7
How do you explain the volatility smile in the Black-Scholes framework?
nov 12 at 17:28
7
How to get greeks using Monte-Carlo for arbitrary option?
apr 24 '12 at 13:40
7
How to test for and how to simulate price rise/fall asymmetry in the stock market
dec 27 '11 at 17:23
7
Enhancing Monte-Carlo convergence (crude method)
mar 8 '11 at 22:47
7
How to value a floor when a loan is callable?
oct 31 '11 at 18:57
7
What is the best way to “fix” a covariance matrix that is not positive semi-definite?
oct 2 '11 at 13:01
7
Formal proof for risk-neutral pricing formula
apr 14 '11 at 19:05
7
Simple model for option premium (for covered call simulation)?
feb 22 '11 at 18:22
6
Why use swap-rates in a yield curve?
may 4 '12 at 21:36
6
Can you fully hedge an option in the presence of counterparty risk?
jan 6 '12 at 21:42
6
How would I value a perpetual bond with an embedded option?
nov 30 '11 at 21:30
6
Why doesn't Black-Scholes work in discrete time?
oct 7 '11 at 17:21
6
How do you distinguish “significant” moves from noise?
sep 26 '11 at 19:29
6
How to price a volatility-index option?
sep 19 '11 at 18:14
6
How to derive the implied probability distribution from B-S volatilities?
aug 12 '11 at 20:54
6
How to make sense of VXX and the people who bought it?
feb 8 '11 at 21:10
5
Implied Volatility Calculation
apr 17 at 14:21
5
Monte carlo methods for vanilla european options and Ito's lemma.
aug 15 '11 at 17:59
5
How do I model risks for specific short-term short calls in a portfolio with limited data?
oct 10 at 17:49
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