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21h
asked Teaching investment portfolio maths
1d
answered How to determine portion of portfolio's risks from components?
Apr
28
answered how can we know the residual return will be uncorrelated with the market return
Apr
28
asked Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, …)
Apr
26
answered How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
Apr
18
asked Backesting VaR on overlapping intervals to year's end
Apr
13
answered hedge a USD index into EUR
Apr
9
answered How to create time series with lagged in R
Apr
7
answered How to price a stock under Q and stochastic interest rates?
Apr
7
answered Why is convexity adjustment applied to swap price for a nonstandard swap, in simple terms?
Apr
6
answered What is the name of all 1-day movements, 2-day movements etc
Mar
23
answered Taleb Modified Delta
Mar
22
answered Intergral of Brownian motion w.r.t. Brownian motion
Mar
14
answered Concept Question Regarding Short Rate Model
Mar
13
answered How to implement momentum strategy using R
Mar
11
answered residual correlation remains after seasonal lag added
Mar
10
asked Real world application of stochastic portfolio theory
Mar
4
asked Which are useful applications of clustering in quantitative finance?
Mar
2
answered Error when trying to estimate a Markov-switching Var model in R
Feb
25
asked Modelling callable bonds in a risk model (historical simulation)