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Mar
7
accepted Which are useful applications of clustering in quantitative finance?
Feb
19
accepted Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?
Feb
18
accepted Intuition behind Fama-French factors
Nov
16
accepted Intuitive explanation of stochastic portfolio theory
Jul
7
accepted Getting ETF data from google finance
Jun
19
accepted Seasonal patterns in financial markets (weekday effects)
Apr
30
accepted Expectation of maximum draw down in the Brownian motion case
Apr
7
accepted Please give a step-by-step explanation on how to build a factor model
Jan
22
accepted Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Dec
2
accepted Stability of correlations and volatility
Dec
2
accepted Risk and Reward in practice
Dec
2
accepted Non-negative matrix factorization for factor analysis of stocks
Dec
2
accepted How to distinguish total return and absolute return funds in the KIID
Dec
2
accepted Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Sep
1
accepted Estimate correlation of time series whose histories differ in length
Jun
20
accepted Controling ex-post volatility by ex-ante limits
Jun
11
accepted Documentation of the ISDA CDS standard model
Feb
20
accepted Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Dec
7
accepted Min VaR and Min TE as second order cone program
Sep
20
accepted Average correlation of index/portfolio