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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Price of Brent versus West Texas Intermediate

risk futures

mar 5 '11 at 16:51 Tangurena 402

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

6

9

votes

1

answer

522

views

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

quant-trading-strategies indicator

jan 22 '12 at 10:51 SRKX♦ 4,709

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

7

11

votes

1

answer

511

views

Quantitative Analysis Games on Investing?

education

sep 10 at 12:47 BlueTrin 301

5

10

votes

5

answers

488

views

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

8

votes

1

answer

485

views

Kalman Filter Vs Hough Transform

untagged

mar 9 '12 at 0:46 rtybase 66

1

0

votes

1

answer

483

views

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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11

votes

2

answers

478

views

Transparent quant products with real track record

option-strategies quant-trading-strategies

feb 11 '11 at 10:03 Joshua Chance 780

4

17

votes

2

answers

474

views

How are distributions for tail risk measures estimated in practice?

risk probability estimation var expected-return

sep 22 '11 at 22:07 Feral Oink 241

1

2

votes

2

answers

474

views

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

2

6

votes

1

answer

462

views

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

3

4

votes

0

answers

459

views

Help With Quant Modelling Software

modeling risk-models software models

aug 5 at 17:46 chrisaycock♦ 5,290

5

7

votes

1

answer

458

views

application of lie groups in finance

mathematics

jul 14 at 6:03 lehalle 1,703

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

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7

votes

2

answers

456

views

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

1

2

votes

4

answers

449

views

Call vs. Put Option

options option-pricing put-call-parity

4h ago Veeken 182

3

9

votes

3

answers

445

views

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

finance economics

feb 4 '12 at 21:22 Dimitris 432

1

5

votes

3

answers

444

views

Black-Scholes No Dividends assumption

option-pricing black-scholes

apr 6 '11 at 19:02 Brian B 5,993

2

5

votes

3

answers

441

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 901

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 186

1

2

votes

1

answer

436

views

Drawdown calculation for strategies

risk drawdown

aug 20 at 1:15 Matt Wolf 5,689

6

9

votes

1

answer

431

views

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 1,827

4

7

votes

2

answers

429

views

Applications of Fourier theory in trading

trading high-frequency fourier-transform

feb 26 at 15:36 Matt Wolf 5,689

4

5

votes

3

answers

425

views

How do you remove expected returns from asset allocation strategies?

asset-allocation

dec 22 at 18:46 Bryce 314

4

12

votes

2

answers

421

views

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

2

5

votes

2

answers

421

views

What are the major models for energy derivatives, particularly electricity derivatives?

options derivatives

may 1 '11 at 21:44 fabien 146

4

10

votes

5

answers

419

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

3

11

votes

2

answers

417

views

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

6

7

votes

3

answers

414

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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 1,134

olaker

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