User Quartz - Quantitative Finance Stack Exchange

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	449 reputation	bio	website		visits	member for	8 months
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2

4

votes

3

answers

278

views

Data Synchronization

trends

jun 11 at 10:38 Quartz 449

3

4

votes

5

answers

619

views

Call vs. Put Option

may 22 at 12:34 guillaume.jamet 1

5

10

votes

2

answers

691

views

Simulating Returns

correlation r simulations

may 23 '11 at 22:03 Zach 561

2

7

votes

1

answer

280

views

Simulating conditional expectations

monte-carlo simulations

dec 21 '11 at 16:34 Grzenio 231

2

6

votes

0

answers

218

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Calculating VaR/CVaR on high frequency data and returns

risk var

jan 31 at 8:24 Matt Wolf 6,208

1

10

votes

3

answers

196

views

Does entropy pooling apply to distributions with time-varying drift?

risk portfolio-management entropy-pooling

nov 27 at 5:36 John 1,684

5

9

votes

1

answer

311

views

How do you estimate the volatility of a sample when points are irregularly spaced?

volatility interpolation

dec 20 '11 at 20:44 Brian B 6,183

3

7

votes

4

answers

553

views

What commercial financial libraries are available to outsource implementation risk?

programming

jul 18 '12 at 14:51 Tal Fishman 6,765

9

14

votes

3

answers

3

kviews

What is the best way to “fix” a covariance matrix that is not positive semi-definite?

risk statistics research correlation covariance

dec 16 '11 at 10:06 Tal Fishman 6,765

3

5

votes

1

answer

414

views

Trade execution in HFT - role of quants

high-frequency order-execution

nov 3 at 13:49 Matt Wolf 6,208

7

13

votes

5

answers

1

kviews

George Soros models

models

may 31 at 19:22 quasi 701

1

9

votes

2

answers

425

views

VaR for portfolio of funds

var funds

jun 5 at 11:36 Quartz 449

2

6

votes

2

answers

206

views

Is Unexpected Loss ever used in Basel II?

risk-management credit-risk basel

may 30 at 9:09 Quartz 449

4

5

votes

2

answers

326

views

Papers about risk managment in algorithmic trading systems?

research risk-management hft algorithmic-trading

may 30 at 22:50 Jean-Paul 9

1

4

votes

1

answer

124

views

Covariance of brownian motion and its time average

brownian-motion asian-option

may 16 at 0:49 quasi 701

2

6

votes

0

answers

131

views

How to estimate the following model?

volatility returns garch estimation

apr 9 at 17:01 Bob Jansen 1,207

2

3

votes

2

answers

211

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Fitting distributions to financial data using volatility model to estimate VaR

volatility r estimation distribution value-at-risk

apr 19 at 14:06 SMeznaric 111

2

5

votes

2

answers

246

views

Correlation decay in lognormal distribution

correlation brownian-motion spread-options

mar 15 at 21:10 restart.localhost.localdomain 321

1

vote

2

answers

112

views

Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR

risk-models var

mar 19 at 16:08 Quartz 449

3

7

votes

0

answers

81

views

Regression in liquidity risk model of Jarrow/Protter

risk-management regression liquidity-risk

mar 4 at 15:14 Quartz 449

3

6

votes

0

answers

128

views

Optimization procedure for entropy pooling

risk portfolio-management entropy-pooling

mar 3 at 23:06 SRKX♦ 4,788

2

6

votes

0

answers

556

views

Modelling with negative interest rates

interest-rates modeling risk-management portfolio

oct 10 at 14:54 user7056 103

6

7

votes

5

answers

2

kviews

How do you explain the volatility smile in the Black-Scholes framework?

black-scholes implied-volatility

feb 16 at 1:47 Community♦ 1

30

28

votes

17

answers

24

kviews

What programming languages are most commonly used in quantitative finance?

programming

jun 12 at 10:13 Andy Flury 31

2

11

votes

2

answers

441

views

Copula models and the distribution of the sum of random variables without Monte Carlo

copula sum-of-random-variables collective-risk-model

feb 13 at 20:21 Alexey Kalmykov 1,756

1

6

votes

0

answers

129

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Consistency of economic scenarios in nested stochastics simulation

risk-management monte-carlo stochastic-processes risk-neutral-measure

jan 30 at 6:37 Matt Wolf 6,208

2

3

votes

1

answer

182

views

Overview of software companies in the industry

reference-request software

jan 22 at 11:36 Quartz 449

5

9

votes

2

answers

2

kviews

How to derive the implied probability distribution from B-S volatilities?

options r implied-volatility visualization distribution

aug 16 '11 at 13:28 Tal Fishman 6,765

4

8

votes

3

answers

434

views

Optimal execution strategy

order-execution

jul 1 '12 at 9:16 lehalle 1,723

4

6

votes

2

answers

366

views

How to transform process to risk-neutral measure for Monte Carlo option pricing?

options option-pricing monte-carlo risk-neutral-measure

oct 17 at 20:08 FKaria 101

Quartz

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