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visits member for 3 years, 5 months
seen Jan 25 at 20:05

Feb
18
revised Recover full tick data from missing tick data
added references
Feb
17
answered Recover full tick data from missing tick data
Feb
13
comment Copula models and the distribution of the sum of random variables without Monte Carlo
@Richard Yes, there is no way to avoid numerical integration (MC or any other method).
Feb
13
revised Copula models and the distribution of the sum of random variables without Monte Carlo
typo
Feb
13
revised Copula models and the distribution of the sum of random variables without Monte Carlo
added 5 characters in body
Feb
13
answered Copula models and the distribution of the sum of random variables without Monte Carlo
Feb
12
awarded  Yearling
Feb
8
comment Why doesn't a simulated delta hedging process go to zero?
"but we don't factor in the fact that the price keeps changing". Do you mean that the hedging you get is not perfect?
Feb
8
awarded  Notable Question
Feb
4
revised Quantitative risk model for an open real estate mutual fund in Europe
spelling
Feb
4
awarded  Custodian
Feb
4
reviewed Excellent Understanding Passive Rebate Arbitrage
Feb
4
reviewed Needs Improvement Basket option pricing: step by step tutorial for beginners
Feb
4
reviewed Excellent Determining portfolio risk return in R given historical data for individual holdings?
Feb
4
reviewed Satisfactory How to attribute income that incurs a double liability in a P&L?
Feb
4
reviewed Satisfactory what is the implied volatility on a basket of options
Feb
4
reviewed Needs Improvement price of a “Cash-or-nothing binary call option”
Feb
4
reviewed Satisfactory Limits analysis
Feb
4
reviewed Satisfactory Why might a manager consider using an interest-rate in which the notional principal amount declines over time?
Feb
4
reviewed Satisfactory Most natural generalization of covariance/correlation to model dependence of extreme events