User olaker - Quantitative Finance Stack Exchange

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	2,303 reputation	bio	website		visits	member for	2 years, 3 months
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How to think about pricing this weather call option

mar 15 '12 at 15:33 Peter Irojah 156

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258

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age-sensitive correlation measurements in finances

correlation asset-allocation covariance diversification

mar 14 '12 at 11:57 Joshua Chance 780

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answer

1

kviews

Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?

high-frequency hft

jan 2 at 11:38 Nissim Nabar 41

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159

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What are some quantitative ways to obtain the view confidences in Idzorek's version of Black-Litterman?

models

mar 8 '12 at 14:41 Quant Guy 7,521

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484

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Kalman Filter Vs Hough Transform

untagged

mar 9 '12 at 0:46 rtybase 66

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1

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282

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Modified bisection formula for deriving implied volatility for a dividend paying american option

options implied-volatility american-options

mar 4 '12 at 15:33 onlyvix.blogspot.com 698

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470

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How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?

options implied-volatility

mar 4 '12 at 14:26 Homunculus Reticulli 399

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864

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CAPM - Beta of zero and its implications on diversification

capm

mar 10 '12 at 16:37 raoulcousins 133

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510

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Quantitative Analysis Games on Investing?

education

sep 10 at 12:47 BlueTrin 301

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1

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305

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copula-marginal algorithm

risk-management copula

mar 2 '12 at 6:06 pyCthon 458

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1

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383

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How are Expected Shortfall and Variance related?

risk statistics

feb 14 '12 at 22:01 Brian B 5,973

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444

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Maximization of CARA utility function: unique solution with an unbounded parameter?

finance economics

feb 4 '12 at 21:22 Dimitris 432

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461

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What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?

statistics forecasting mbs

feb 6 '12 at 15:33 Tal Fishman 6,740

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5

kviews

Why does the minimum variance portfolio provide good returns?

portfolio-management optimization modern-portfolio-theory covariance

mar 19 at 14:16 chrisaycock♦ 5,268

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884

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How to obtain true probabilities from Black-Scholes?

options pricing-formulae

jan 31 '12 at 8:47 Robert 309

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478

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what is the best way to calculate the probability of an equity option ending in the money?

options implied-volatility probability

jan 28 '12 at 0:06 David Harper 176

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129

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Should we apply practical constraints on the distribution of monte carlo paths?

option-pricing volatility fixed-income interest-rates monte-carlo

jan 27 '12 at 4:58 adam 36

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793

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From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

quant-trading-strategies high-frequency modeling position-sizing

mar 29 at 20:32 Ryogi 1,817

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241

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Demonstration of Ito's correction term/lemma in binomial tree

binomial-tree itos-lemma

jan 25 '12 at 17:21 vonjd 6,289

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733

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Has spectrum analysis ever been used successfully to analyse historical price data?

market-data market theory trade price

sep 25 at 23:22 purbani 21

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412

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Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?

correlation random-matrix-theory

apr 28 '12 at 13:56 Bob Jansen 1,133

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522

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How to use macroeconomic indicators for long/short trading strategies?

quant-trading-strategies indicator

jan 22 '12 at 10:51 SRKX♦ 4,699

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417

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What benchmark/index to use for backtesting a portfolio of stock options?

options backtesting option-strategies benchmark

jan 14 '12 at 23:38 JonnyBoats 196

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431

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One dimensional analog of cleansing a correlation matrix via random matrix theory

volatility correlation-matrix random-matrix-theory

jan 11 '12 at 23:22 Ryogi 1,817

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417

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Can you fully hedge an option in the presence of counterparty risk?

options hedging counterparty-risk

jan 8 '12 at 5:27 Feral Oink 241

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486

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How can higher co-moments be applied to portfolio optimization in an asset allocation context?

optimization asset-allocation modern-portfolio-theory

sep 7 at 2:53 purbani 21

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1

kviews

How do you mix quantitative asset allocation with qualitative views?

asset-allocation

dec 14 at 1:06 betonviews 1

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131

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Are there quantitative models which can guide one's choice of target risk?

risk research asset-allocation funds

jan 3 '12 at 19:09 SRKX♦ 4,699

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421

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How do you remove expected returns from asset allocation strategies?

asset-allocation

dec 22 at 18:46 Bryce 314

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727

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What are some of the major quantitative approaches to tactical asset allocation?

research asset-allocation tactical-asset-allocation

jun 12 '12 at 18:58 Quant Guy 7,521

olaker

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