olaker

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28 Posts

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Jan
9
 answered What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
Sep
27
 answered Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?
Sep
26
 answered Is Duration really the slope of the Price-Yield curve?
Sep
7
 asked How should FX options be priced when a currency is artificially capped?
Aug
23
 answered Proof that you cannot beat a random walk
May
23
 answered If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
May
13
 answered Setting the r in put-call parity?
May
11
 answered Better understanding of the Datar Mathews Method - Real Option Pricing
May
10
 answered What are some useful approximations to the Black-Scholes formula?
Apr
20
 asked When is the LIBOR market model Markovian?
Apr
16
 answered Most successful investors using academic-based framework?
Apr
16
 asked How can an ETF outperform its benchmark index?
Apr
6
 answered Vanna - any practical uses for risk or pnl attribution purposes?
Apr
1
 asked Good quant finance jokes
Mar
11
 asked How do practitioners use the Malliavin calculus (if at all)?
Mar
11
 asked How do bond pricing formulae differ between the US, UK and the Euro zone?
Feb
11
 asked Video lectures and presentations on quantitative finance
Feb
9
 answered Volatility pumping in practice
Feb
9
 answered What is a Quant
Feb
9
 answered What is a martingale?
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