Alexey Kalmykov

1,756 reputation

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bio	website	quantfinance.ru
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visits	member for	2 years, 4 months
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	1,756 reputation	bio	website	quantfinance.ru	visits	member for	2 years, 4 months
417 badges		location			seen	yesterday

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Sep 26	comment	Difference between kappa and delta in mixed-effects model It would be nice if you provide some information regarding application of this model to finance.
Sep 20	revised	Code for Evidence Based Technical Analysis edited title
Sep 20	revised	What does this formula (to derive annualized volatility from VaR) mean? added 43 characters in body
Aug 19	answered	Exotic option pricing
Aug 19	comment	Exotic option pricing This is not exotic at all. Why don't you just bring $a$ out of the max?
Aug 10	revised	portfolio optimisation with VaR (or CVaR) constraints deleted 1 characters in body
Aug 10	answered	portfolio optimisation with VaR (or CVaR) constraints
Aug 7	answered	FpML class generation gives error
Jul 3	comment	How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? "I have my view on CVaR as a constraint". So in your question is CVaR a constraint for optimization (in Meucci paper he optimizes for mean-CVaR) or a view?
Jun 19	answered	Is there a charting API which allows to replicate Bloomberg chart tool features?
Jun 3	awarded	Nice Question
May 31	asked	When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
May 13	answered	Exercising an American call option early
May 9	accepted	How to get greeks using Monte-Carlo for arbitrary option?
Apr 30	comment	What are some applications of bioinformatics or genetics to generating alpha in U.S. equities? @QuantGuy genetic programming can really help in minimizing VAR, but minimizing CVAR of portfolio (surprisingly) turns out to be more computationally tractable
Apr 26	revised	How to get greeks using Monte-Carlo for arbitrary option? added 450 characters in body
Apr 24	comment	What is augmented data when simulating stochastic differential equations using Gibbs Sampler? It should be more accurate. That delta is the number of weeks (52) in one year. The cross sign is just a notation.
Apr 23	asked	How to get greeks using Monte-Carlo for arbitrary option?
Apr 23	comment	What is augmented data when simulating stochastic differential equations using Gibbs Sampler? @Mike It seems that it is used to model latent data for the Treasury bills yields, i.e. latent points are placed between each consecutive pair of observations.
Apr 23	answered	What is augmented data when simulating stochastic differential equations using Gibbs Sampler?