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

jul 2 at 17:15 Quant Guy 7,521

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7

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410

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Proving Random Walk Hypothesis in Stock Market

random-walk

feb 10 '11 at 5:39 Pete 520

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1

answer

396

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

books mathematics learning

nov 13 '11 at 23:48 Jorge 31

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2

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391

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Interpretation of Macaulay Duration

fixed-income duration

dec 10 at 3:08 Matt Wolf 5,689

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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 5,993

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377

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

time-series statistics simulations stochastic-processes

dec 29 '11 at 19:35 Brian B 5,993

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373

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What exactly is the annualized forward premium?

options derivatives put-call-parity

sep 22 '11 at 17:16 Tal Fishman 6,740

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1

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371

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QuantLib and exact numerical simulation

numerical-methods quantlib

jul 8 '11 at 7:55 Luigi Ballabio 326

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1

answer

358

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How to perform basic integrations with the Ito integral?

stochastic-calculus itos-lemma

oct 13 '11 at 12:59 Brian B 5,993

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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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338

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How to shift amongst asset classes in response to relative value views?

portfolio-management asset-allocation tactical-asset-allocation

sep 14 '11 at 0:02 ProbablePattern 329

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1

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337

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Extensions of Black-Scholes model

black-scholes option-pricing volatility

feb 8 '11 at 11:32 Arjen Kruithof 463

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337

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Should the average investor hold commodities as part of a broadly diversified portfolio?

research portfolio-management commodities diversification asset-allocation

dec 22 at 18:50 Bryce 314

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2

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329

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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

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0

answers

323

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

stochastic-calculus stochastic-volatility

dec 22 '11 at 21:35 TheBridge 2,225

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323

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What is the best method to compute project volatility in Real Option Valuation?

options real volatility

may 6 '11 at 1:33 glyphard 2,448

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3

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316

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What is the case for active management?

research portfolio-management investing

jul 26 at 15:18 Tal Fishman 6,740

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1

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312

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Models for measuring insurance risk exposure

risk risk-models insurance

dec 22 '11 at 14:39 Tim Johnson 41

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3

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2

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309

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How to create a Stochastic Process through pre specified points?

stochastic-processes

oct 31 at 23:50 William S. Wong 300

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9

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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 460

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8

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1

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292

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What are the main differences in Jump Volatility and Local Volatility

volatility black-scholes local-volatility

feb 14 '11 at 15:23 Brian B 5,993

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2

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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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4

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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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3

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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

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1

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262

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An equation for European options

option-pricing differential-equations

apr 5 '11 at 16:50 richardh♦ 3,025

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1

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258

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Calculating Theta assuming other variables remain the same

options option-pricing greeks

nov 11 '11 at 13:54 Brian B 5,993

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3

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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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3

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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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1

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242

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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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1

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241

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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 5,993

olaker

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