Alexey Kalmykov

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47 Posts

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Mar
16
 answered Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
Mar
15
 answered Doesn't a perpetual option contradict the Black-Scholes framework?
Mar
15
 answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
Mar
13
 answered main arbitrage & statistical arbitrage concepts
Mar
13
 answered Calculate the expectation of a shift CDF
Mar
7
 answered Comparing Cash Equivalent of risky portfolios
Mar
4
 asked Regression in liquidity risk model of Jarrow/Protter
Mar
2
 answered Is it worth preserving orderbook structure when building it from individual orders?
Feb
17
 answered Recover full tick data from missing tick data
Feb
13
 answered Copula models and the distribution of the sum of random variables without Monte Carlo
Feb
11
 answered Why does the future price dominate the forward price and why doesn't the long rate fall?
Feb
4
 answered Quantitative risk model for an open real estate mutual fund in Europe
Jan
31
 answered How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
27
 answered Topological methods in finance
Jan
25
 asked How to quickly sketch a second order greek profile for a vanilla position?
Dec
16
 answered Regressor: Nominal return, continuous return or first difference?
Nov
28
 answered Treasury Bond Yield Curves in R
Nov
27
 answered Which brokers offer a .NET stock trading API?
Nov
26
 answered Does entropy pooling apply to distributions with time-varying drift?
Nov
20
 answered portfolio optimization from empirical return distributions
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