User olaker - Quantitative Finance Stack Exchange

bio	website
	location
	age
visits	member for	2 years, 3 months
	seen	13 hours ago
stats	profile views	219

	2,303 reputation	bio	website		visits	member for	2 years, 3 months
21330 badges		location			seen	13 hours ago

4

9

votes

2

answers

1

kviews

Why a self-financing replicating portfolio should always exist?

black-scholes derivatives

jan 6 '12 at 9:48 楊祝昇 973

11

8

votes

3

answers

376

views

How to test for and how to simulate price rise/fall asymmetry in the stock market

dec 29 '11 at 19:35 Brian B 5,973

2

6

votes

1

answer

1

kviews

What is a self-financing and replicating portfolio?

black-scholes derivatives replication portfolio derivation

dec 30 '11 at 13:27 strimp099 996

1

3

votes

3

answers

408

views

What are the limits of bond portfolio immunization against interest rate changes?

fixed-income interest-rates portfolio-management duration

jul 2 at 17:15 Quant Guy 7,521

2

8

votes

1

answer

117

views

Simulating property price index

monte-carlo stochastic-processes

dec 27 '11 at 17:00 Brian B 5,973

3

4

votes

0

answers

458

views

Help With Quant Modelling Software

modeling risk-models software models

aug 5 at 17:46 chrisaycock♦ 5,268

2

9

votes

1

answer

310

views

Models for measuring insurance risk exposure

risk risk-models insurance

dec 22 '11 at 14:39 Tim Johnson 41

3

1

vote

2

answers

2

kviews

What does it mean to be long gamma?

greeks gamma

feb 3 at 14:12 chrisaycock♦ 5,268

3

9

votes

0

answers

322

views

Law of an integrated CIR Process as sum of Independent Random Variables

stochastic-calculus stochastic-volatility

dec 22 '11 at 21:35 TheBridge 2,220

5

3

votes

2

answers

309

views

How to create a Stochastic Process through pre specified points?

stochastic-processes

oct 31 at 23:50 William S. Wong 300

3

5

votes

1

answer

571

views

Can momentum strategies be quantitative in nature?

quant-trading-strategies

dec 10 '11 at 23:09 Tal Fishman 6,740

4

11

votes

2

answers

608

views

What is the precision of standard deviation estimates with small samples?

statistics econometrics

jun 10 '12 at 17:47 SRKX♦ 4,699

2

6

votes

1

answer

240

views

How to reduce variance in a Cox-Ingersoll-Ross Monte Carlo simulation?

option-pricing interest-rates monte-carlo simulations

dec 5 '11 at 17:29 Brian B 5,973

3

8

votes

1

answer

796

views

How to apply the Kelly criterion when expected return may be negative?

quant-trading-strategies expected-return kelly-criterion position-sizing

dec 5 '11 at 20:33 Tal Fishman 6,740

2

3

votes

3

answers

316

views

What is the case for active management?

research portfolio-management investing

jul 26 at 15:18 Tal Fishman 6,740

2

5

votes

3

answers

435

views

How to use Itô's formula to deduce that a stochastic process is a martingale?

stochastic-processes stochastic-calculus martingale itos-lemma

may 16 at 9:50 Christian Fries 891

7

10

votes

1

answer

396

views

Any recommendations for textbooks for an undergraduate course in mathematical finance?

books mathematics learning

nov 13 '11 at 23:48 Jorge 31

1

vote

1

answer

258

views

Calculating Theta assuming other variables remain the same

options option-pricing greeks

nov 11 '11 at 13:54 Brian B 5,973

2

3

votes

2

answers

10

kviews

How to calculate unsystematic risk?

risk risk-management risk-models risk-premium

jun 21 '12 at 18:23 chrisaycock♦ 5,268

3

7

votes

0

answers

235

views

What are the major characteristics of natural gas volatility and options?

volatility

oct 14 '11 at 15:51 Brian B 5,973

3

6

votes

1

answer

357

views

How to perform basic integrations with the Ito integral?

stochastic-calculus itos-lemma

oct 13 '11 at 12:59 Brian B 5,973

6

9

votes

3

answers

820

views

How to optimally allocate capital among trading strategies?

quant-trading-strategies position-sizing kelly-criterion

oct 13 '11 at 2:05 Quant Guy 7,521

2

7

votes

2

answers

656

views

Why doesn't Black-Scholes work in discrete time?

option-pricing black-scholes theory random-variables

jan 16 '12 at 19:48 chrisaycock♦ 5,268

2

8

votes

2

answers

589

views

How does volatility affect the price of binary options?

options option-pricing volatility binary-options

may 10 at 0:32 Brian B 5,973

28

15

votes

5

answers

2

kviews

Recommendations for books to understand the math in quantitative finance papers?

soft-question books mathematics

nov 29 at 5:57 William S. Wong 300

12

11

votes

3

answers

438

views

Empirical or theoretical quant insights that have shaped your thinking?

soft-question theory

jan 29 at 4:12 kristine 176

1

6

votes

2

answers

191

views

Is it better to grade hedging strategies based on the sum of absolute or squared hedging errors?

risk hedging statistics

sep 26 '11 at 22:40 Michael RB 172

4

6

votes

3

answers

512

views

What position-sizing methods are used in futures trading?

risk-management portfolio-management position-sizing

sep 22 '11 at 22:52 babelproofreader 1,077

4

10

votes

5

answers

418

views

What benefits are there to employing agile software development methodologies for quants?

soft-question programming quants development

sep 22 '11 at 18:29 Tal Fishman 6,740

1

8

votes

2

answers

757

views

What are some examples of Compound Poisson processes in insurance?

probability stochastic-processes application

aug 17 at 19:52 Richard 1,344

olaker

139 Favorites