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Feb
12
asked Correlation skew mapping
Feb
11
comment Free data on swap options
If you're not academia, then I think it's almost hopeless to get them for free.
Feb
11
answered Free data on swap options
Feb
11
answered What does it mean to modify the factor loadings of a credit risk model?
Feb
11
answered Video lectures and presentations on quantitative finance
Feb
11
comment Probability of touching
Shreve (in "Stochastic calculus for finance") does talk about calculating the distribution of the stopping time for Brownian motion. See chapter 4 or 5.
Feb
11
comment on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
Not downloadable :(
Feb
11
comment on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
No, you don't need to assume that volatility is constant. I agree though that when strikes are far between, double differentiation approach is impossible.
Feb
10
awarded  Scholar
Feb
10
accepted What is a Structurer?
Feb
10
answered on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
Feb
10
comment What is a martingale?
"you can think that all information is in the current price, I think this more comparable to Markov Property" -- I think rather that EMH is saying that the price is an adapted process -- Markov or not.
Feb
10
comment What is a martingale?
Added some more.
Feb
10
revised What is a martingale?
added 250 characters in body
Feb
10
comment What is a Structurer?
Then why "What is a Quant" is acceptable?
Feb
9
awarded  Student
Feb
9
asked What is a Structurer?
Feb
9
comment What is a Quant
I would change "develops" to "develops, implements, tests and maintains". Otherwise, I think it's the best definition. Short and to the point.
Feb
9
comment What is a Quant
75% of the time, a quant is a well-paid programmer.
Feb
9
comment What is a Quant
I think this is explaining a vague term by an even more vague term. Is a structurer a financial engineer too? what about the quant traders?