Quartz

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Monte Carlo, risk, QMC, statistical efficiency, high dimensional approximation...


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Apr
25
 revised Transformation to reduce standard deviation without changing median
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Apr
24
 revised Transformation to reduce standard deviation without changing median
added 144 characters in body
Apr
24
 answered Transformation to reduce standard deviation without changing median
Apr
17
 revised Stress testing covariance
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Apr
17
 revised Stress testing covariance
added 26 characters in body; edited tags
Apr
16
 asked Stress testing covariance
Apr
9
 comment Iterating through every path of a Trinomial Tree
So you want to condition on a specific path end?
Apr
9
 answered Iterating through every path of a Trinomial Tree
Mar
19
 revised Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
added 83 characters in body
Mar
19
 revised Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
added 136 characters in body
Mar
19
 revised Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
added 22 characters in body
Mar
19
 revised Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
added 44 characters in body
Mar
19
 answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
Mar
14
 comment Calculate the expectation of a shift CDF
@nkhuyu are you sure they were asking for $F_X(X+a)$ instead of $F_{X+a}(X+a)$? That would require extra care in specification, instead of just saying $F(X+a)$ which should refer to the latter... One could infer from the level of other questions :-)
Mar
4
 revised Regression in liquidity risk model of Jarrow/Protter
Large brackets around ratio and deitalicised log.
Mar
4
 suggested suggested edit on Regression in liquidity risk model of Jarrow/Protter
Mar
1
 awarded  Critic
Feb
26
 answered Random matrix theory (RMT) in finance
Feb
25
 asked Credit spreads vs default events dependence
Feb
15
 revised Why is C++ still a very popular language in quantitative finance?
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