User olaker - Quantitative Finance Stack Exchange

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visits	member for	2 years, 3 months
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	2,303 reputation	bio	website		visits	member for	2 years, 3 months
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How to prove that markets are incomplete under the Stochastic Volatility model?

market stochastic-volatility

may 17 at 8:49 SRKX♦ 4,709

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2

votes

5

answers

463

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Call vs. Put Option

8m ago guillaume.jamet 1

1

2

votes

2

answers

106

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Why do long-term equity return forecast models use dependent observations?

time-series regression models auto-correlation

apr 2 at 15:25 chrisaycock♦ 5,290

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11

votes

1

answer

219

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Are BSDE's used in practice?

stochastic-processes

mar 25 at 21:56 TheBridge 2,225

1

vote

3

answers

245

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Kolmogorov-Smirnov test

statistics kolmogorov-smirnov test

mar 19 at 12:37 restart.localhost.localdomain 321

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7

votes

2

answers

429

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Applications of Fourier theory in trading

trading high-frequency fourier-transform

feb 26 at 15:36 Matt Wolf 5,689

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6

votes

1

answer

173

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What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?

covariance rates forward eigenvalue yield

feb 4 at 8:12 Richard 1,344

3

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votes

3

answers

237

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What is the relationship between Forward measures and LMM?

interest-rates fixed-income forward-measure

feb 6 at 16:19 Christian Fries 901

6

votes

4

answers

457

views

What are the options for a mathematician to break into QF without working for a fund?

trading mathematics

jan 30 at 6:38 David Nehme 269

6

4

votes

2

answers

330

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Basket option pricing: step by step tutorial for beginners

options option-pricing black-scholes basket

dec 16 at 3:16 Rock 106

1

2

votes

2

answers

392

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Interpretation of Macaulay Duration

fixed-income duration

dec 10 at 3:08 Matt Wolf 5,689

2

5

votes

2

answers

348

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What is the average stock price under the Bachelier model?

stochastic-calculus stochastic-processes brownian-motion

may 11 at 4:12 William S. Wong 300

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4

votes

5

answers

700

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How to improve the Black-Scholes framework?

black-scholes stochastic-processes

feb 16 at 19:24 chrisaycock♦ 5,290

3

6

votes

3

answers

205

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What is the canonical reference for Minimum Variance Portfolio's uniqueness?

optimization asset-allocation reference-request minimum-variance

jan 17 at 1:54 Nate 141

1

vote

1

answer

106

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Expected length and depth of drawdown

portfolio-management drawdown

nov 1 at 5:10 Matt Wolf 5,689

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7

votes

2

answers

458

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When to use Monte Carlo simulation over analytical methods for options pricing?

options monte-carlo simulations

oct 2 at 16:12 Brian B 5,993

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0

answers

182

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Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis

performance-evaluation behavioral-finance manager-analysis

oct 3 at 6:45 vanguard2k 655

1

3

votes

1

answer

172

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Sufficient conditions for no static arbitrage

option-pricing arbitrage no-arbitrage-theory

aug 23 at 15:39 amgc 76

1

2

votes

1

answer

436

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Drawdown calculation for strategies

risk drawdown

aug 20 at 1:15 Matt Wolf 5,689

6

11

votes

5

answers

1

kviews

portfolio optimisation with VaR (or CVaR) constraints

portfolio-management optimization var

jan 13 at 13:29 Marc Shivers 424

4

6

votes

3

answers

691

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Why is the Drawdown measure not used for portfolio optimization?

risk optimization asset-allocation

jul 9 at 19:12 Marc Shivers 424

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2

votes

3

answers

276

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Why should there be an equity risk premium?

equities risk research theory risk-premium

jul 9 at 16:12 Tal Fishman 6,740

2

14

votes

3

answers

613

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When do Finite Element method provide considerable advantage over Finite Differences for option pricing?

option-pricing numerical-methods greeks

nov 28 at 15:51 egbutter 169

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2

votes

2

answers

208

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Proof showing that dollar cost averaging always worse than lump sum alternative

random-walk investment

may 28 '12 at 13:23 amgc 76

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4

votes

4

answers

1

kviews

How to get greeks using Monte-Carlo for arbitrary option?

option-pricing monte-carlo greeks

may 8 '12 at 15:36 Keith A. Lewis 346

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7

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1

answer

458

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application of lie groups in finance

mathematics

jul 14 at 6:03 lehalle 1,703

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2

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0

answers

119

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Optimal stop-loss reinsurance

mathematics

apr 17 '12 at 19:39 chrisaycock♦ 5,290

1

3

votes

4

answers

546

views

Ways of treating time in the BS formula

option-pricing black-scholes

jul 1 at 17:16 joelhoro 326

2

5

votes

2

answers

290

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A few questions about signs of the Greek letters

option-pricing black-scholes arbitrage

apr 10 '12 at 13:05 Brian B 5,993

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3

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2

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157

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If the distribution of returns in symmetric, why not use a coin toss, small risk & high reward?

random-walk

1d ago binjip 21

olaker

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