Alexey Kalmykov

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41 Answers

newest activity votes
3
Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
mar 16 at 20:43
1
Doesn't a perpetual option contradict the Black-Scholes framework?
mar 15 at 19:06
3
Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
mar 15 at 19:02
1
main arbitrage & statistical arbitrage concepts
mar 13 at 18:54
1
Calculate the expectation of a shift CDF
mar 13 at 10:01
2
Comparing Cash Equivalent of risky portfolios
mar 7 at 13:44
1
Is it worth preserving orderbook structure when building it from individual orders?
mar 2 at 9:20
3
Recover full tick data from missing tick data
feb 17 at 21:20
5
Why does the future price dominate the forward price and why doesn't the long rate fall?
feb 11 at 21:49
3
Copula models and the distribution of the sum of random variables without Monte Carlo
feb 13 at 14:15
3
Quantitative risk model for an open real estate mutual fund in Europe
feb 4 at 11:28
2
How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
jan 31 at 15:05
3
Topological methods in finance
jan 27 at 14:41
0
Regressor: Nominal return, continuous return or first difference?
dec 16 at 15:29
4
Treasury Bond Yield Curves in R
nov 28 at 22:10
4
Which brokers offer a .NET stock trading API?
nov 27 at 13:56
1
Does entropy pooling apply to distributions with time-varying drift?
nov 26 at 23:41
4
portfolio optimization from empirical return distributions
nov 20 at 11:12
4
R code for Ornstein-Uhlenbeck process
nov 19 at 19:12
3
Why is delta-hedging of ATM options near expiry difficult to do?
nov 4 at 8:54
2
Show that convexity of call price as a function of the strike is violated
nov 3 at 22:35
3
Connections between random walk and heat equation (Material for ~)
oct 23 at 21:59
1
Risk neutral probability in binomial short rate model assumed to be 0.5?
oct 18 at 15:54
7
Exotic option pricing
aug 19 at 17:10
2
portfolio optimisation with VaR (or CVaR) constraints
aug 10 at 13:20
2
FpML class generation gives error
aug 7 at 8:28
2
Is there a charting API which allows to replicate Bloomberg chart tool features?
jun 19 '12 at 16:28
1
Exercising an American call option early
may 13 '12 at 19:33
4
What is augmented data when simulating stochastic differential equations using Gibbs Sampler?
apr 23 '12 at 18:29
1
What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
apr 23 '12 at 17:54
1 2