Alexey Kalmykov

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41 Answers

newest activity votes
7
Exotic option pricing
5
Why does the future price dominate the forward price and why doesn't the long rate fall?
5
Implied Volatility from American options (binomial)
5
What is the expected return I should use for the momentum strategy in MV optimization framework?
4
Treasury Bond Yield Curves in R
4
Which brokers offer a .NET stock trading API?
4
portfolio optimization from empirical return distributions
4
R code for Ornstein-Uhlenbeck process
4
What is augmented data when simulating stochastic differential equations using Gibbs Sampler?
4
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
4
Maximization of CARA utility function: unique solution with an unbounded parameter?
4
How to obtain true probabilities from Black-Scholes?
3
Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
3
Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
3
Recover full tick data from missing tick data
3
Copula models and the distribution of the sum of random variables without Monte Carlo
3
Quantitative risk model for an open real estate mutual fund in Europe
3
Topological methods in finance
3
Why is delta-hedging of ATM options near expiry difficult to do?
3
Connections between random walk and heat equation (Material for ~)
3
Does put-call parity hold for a compound option with underlying American option?
2
Comparing Cash Equivalent of risky portfolios
2
How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
2
Show that convexity of call price as a function of the strike is violated
2
portfolio optimisation with VaR (or CVaR) constraints
2
FpML class generation gives error
2
Is there a charting API which allows to replicate Bloomberg chart tool features?
2
Demonstration of Ito's correction term/lemma in binomial tree
1
Doesn't a perpetual option contradict the Black-Scholes framework?
1
main arbitrage & statistical arbitrage concepts
1 2