User olaker - Quantitative Finance Stack Exchange

bio	website
	location
	age
visits	member for	2 years, 3 months
	seen	30 mins ago
stats	profile views	219

	2,303 reputation	bio	website		visits	member for	2 years, 3 months
21330 badges		location			seen	30 mins ago

7

votes

2

answers

1

kviews

How we can forecast stock prices using chaos theory?

sep 12 '11 at 15:07 Tal Fishman 6,740

1

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

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

8

23

votes

4

answers

917

views

Are there any new Option pricing models?

black-scholes option-pricing

2d ago chrisaycock♦ 5,250

5

10

votes

3

answers

897

views

George Soros models

models

dec 12 at 18:42 SRKX♦ 4,729

3

7

votes

3

answers

890

views

How to obtain true probabilities from Black-Scholes?

options pricing-formulae

jan 31 '12 at 8:47 Robert 309

6

10

votes

2

answers

887

views

Is there a standard model for market impact?

market-impact models

feb 8 '11 at 14:20 gappy 1,988

2

6

votes

1

answer

866

views

CAPM - Beta of zero and its implications on diversification

capm

mar 10 '12 at 16:37 raoulcousins 133

2

votes

3

answers

839

views

Why are exotic options most popular in FX?

option-pricing fx modeling exotics

aug 15 '11 at 15:34 Tal Fishman 6,740

4

10

votes

2

answers

837

views

Value-at-Risk of the sum of two dependent lognormal random variables

risk-management

jan 27 '12 at 6:08 Feral Oink 241

6

9

votes

3

answers

823

views

How to optimally allocate capital among trading strategies?

quant-trading-strategies position-sizing kelly-criterion

oct 13 '11 at 2:05 Quant Guy 7,531

3

8

votes

1

answer

799

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

11

14

votes

2

answers

793

views

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 1,827

1

8

votes

2

answers

758

views

What are some examples of Compound Poisson processes in insurance?

probability stochastic-processes application

aug 17 at 19:52 Richard 1,344

11

8

votes

7

answers

737

views

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

8

4

votes

3

answers

728

views

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 7,531

4

7

votes

5

answers

702

views

What functional form describes the implied volatility curve?

implied-volatility

feb 7 '12 at 22:43 Robert 309

2

4

votes

5

answers

700

views

How to improve the Black-Scholes framework?

black-scholes stochastic-processes

feb 16 at 19:24 chrisaycock♦ 5,250

4

6

votes

3

answers

694

views

Why is the Drawdown measure not used for portfolio optimization?

risk optimization asset-allocation

jul 9 at 19:12 Marc Shivers 424

2

10

votes

3

answers

687

views

Solving Path Integral Problem in Quantitative Finance using Computer

stochastic-calculus

sep 30 at 1:43 Anna Lear♦ 101

2

10

votes

3

answers

682

views

Rate interpolation in Libor Market Model

interest-rates lmm

dec 20 '11 at 20:16 Tal Fishman 6,740

6

8

votes

3

answers

666

views

Alternate money management strategies to Kelly?

portfolio-management money-management

jul 2 '11 at 9:28 Juan M. Almodóvar 163

6

5

votes

2

answers

666

views

Optimality of Kelly criterion in non-normal environment

quant-trading-strategies kelly-criterion

dec 3 at 15:54 John 1,626

2

7

votes

2

answers

662

views

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

option-pricing black-scholes theory random-variables

jan 16 '12 at 19:48 chrisaycock♦ 5,250

4

7

votes

3

answers

648

views

DSP: stationary non-periodic signal: what's the best causal technique?

arma

sep 17 '11 at 16:48 Igor 31

2

14

votes

3

answers

614

views

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

4

11

votes

2

answers

609

views

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

statistics econometrics

jun 10 '12 at 17:47 SRKX♦ 4,729

2

8

votes

2

answers

594

views

How does volatility affect the price of binary options?

options option-pricing volatility binary-options

may 10 at 0:32 Brian B 6,003

6

10

votes

2

answers

573

views

How does one analyze diversification if stock prices follow a Cauchy distribution?

diversification

aug 7 '11 at 14:08 Tal Fishman 6,740

3

5

votes

1

answer

572

views

Can momentum strategies be quantitative in nature?

quant-trading-strategies

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

olaker

140 Favorites