User user915 - Quantitative Finance Stack Exchange

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	109 reputation	bio	website		visits	member for	1 year, 11 months
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Market Value of a CDS

pricing-formulae cds

jul 28 '11 at 17:39 Owe Jessen 591

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378

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Can anyone give me a practical example of pricing and calculating IV on equity index options? (i.e. using real market data)

sep 23 '11 at 15:49 Tal Fishman 6,740

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325

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Choice of prior as a shrinkage target in portfolio construction?

risk optimization risk-models variance

oct 19 '11 at 17:39 Tal Fishman 6,740

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3

kviews

Are public historical time series available for ratings of sovereign debt?

data time-series credit-ratings

may 10 at 15:17 user5306 11

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votes

1

answer

154

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Options: Vertical LEAPS

option-strategies derivatives

nov 12 '11 at 12:21 CQM 552

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2

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Utility to download historical Implied Volatility data from Interactive Brokers?

interactive-brokers

may 3 '12 at 8:26 mepuzza 256

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1

answer

148

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Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?

correlation implied-volatility

aug 15 '11 at 15:39 Brian B 5,973

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votes

2

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825

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GJR-GARCH Model In R

volatility trading programming r garch

may 10 '12 at 16:39 Karol Piczak 999

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2

answers

264

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How is someone's Sharpe ratio recorded and communicated?

sharpe-ratio

may 8 '12 at 21:33 Quant Guy 7,521

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votes

3

answers

550

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Markowitz mean-variance optimization as “error maximization”

optimization mean-variance

dec 26 at 17:43 vonjd 6,289

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1

answer

233

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FX option history

fx history

jul 5 '11 at 14:43 SRKX♦ 4,699

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401

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Trading a synthetic replication of the VVIX (volatility of VIX)

volatility vix

dec 23 at 5:56 Andrew 385

1

2

votes

2

answers

273

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constructing a minimum variance portfolio

portfolio-management

oct 5 at 17:22 chrisaycock♦ 5,268

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1

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352

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Modelling VIX Futures for risk management

portfolio-management risk-management risk-models vix

feb 12 at 6:35 ITGuy 1

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1

answer

354

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How would you hedge this structure?

hedging

nov 24 at 9:03 Community♦ 1

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1

answer

206

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How to automate the margin requirements for Eurex markets?

derivatives market eurex

jul 13 at 13:37 Tal Fishman 6,740

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1

answer

2

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Risk Parity portfolio construction

risk-management asset-allocation

mar 28 '12 at 19:59 Bob Jansen 1,133

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2

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340

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One bar look-ahead backtesting

backtesting fx trading-systems

apr 10 '12 at 9:21 Phil H 768

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2

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0

answers

220

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vix futures vega per contract and tvix vega per share

vix spx

feb 20 '12 at 22:36 John 11

5

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2

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268

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How to calculate cumulative loss from two factors that have negative correlation?

correlation

feb 11 '12 at 9:02 Suminda Sirinath Salpitikorala 371

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3

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447

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Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

portfolio-management optimization asset-allocation

feb 13 '12 at 20:16 Marc Shivers 424

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1

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363

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How to compute portfolio weights from multivariate regression results?

asset-allocation regression

jul 19 at 14:32 Tal Fishman 6,740

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1

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159

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T-note returns from T-note yields … derivation of Damodaran's formula

fixed-income returns

aug 13 at 3:44 Joel 26

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0

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110

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Getting the actual distribution of a stock price at time T using implied volatility

implied-volatility equities distribution

oct 18 '11 at 11:02 Ricky Bobby 101

user915

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