Quantitative Finance

Revival

 Revival
Answer more than 30 days after a question was asked as first answer scoring 2 or more. This badge can be awarded multiple times.
Awarded 979 times.
Pulling portfolio from bloomberg
Awarded Oct 26, 2020 at 21:27
Fixing mean reversion parameter in the 1F HW model
Awarded Oct 24, 2020 at 19:12
Use of PIT vs TTC PD in a Merton one-factor model
Awarded Oct 20, 2020 at 14:01
EAD = Drawn amount + Undrawn amount * CCF?
Awarded Oct 19, 2020 at 11:34
issue with benchmarks in "standard securities calculation methods"
Awarded Oct 18, 2020 at 9:50
Stale prices: Greek government bond yields
Awarded Oct 13, 2020 at 8:48
Gil-Palaez Inversion Formula in Black Scholes world
Awarded Oct 12, 2020 at 21:05
Calculating bond forward rate/price
Awarded Oct 11, 2020 at 12:06
Map CUSIP to CIK
Awarded Oct 8, 2020 at 23:48
What is the purpose of short rate models?
Awarded Oct 7, 2020 at 10:15
CVaR is concave risk measure or convex?
Awarded Oct 7, 2020 at 9:11
Why are equity futures so disconnected to the underlying index? Example
Awarded Sep 19, 2020 at 6:27
Interpretation and units of a covariance element in portfolio risk
Awarded Sep 18, 2020 at 16:45
References for Counterparty Credit Risk, especially derivatives exposure
Awarded Sep 17, 2020 at 8:35
What are the advantages of $EVaR$ over $CVaR$?
Awarded Sep 17, 2020 at 7:04
Interpretation of Johansen cointegration test in R
Awarded Sep 5, 2020 at 5:10
High correlation will help detect spurious regression over cointegration?
Awarded Sep 5, 2020 at 5:10
Is every filtration a natural filtration of some stochastic process?
Awarded Sep 3, 2020 at 5:56
Using QuantLib Python to value FX options using stochastic volatility
Awarded Sep 2, 2020 at 1:01
What can I do with AIG+
Awarded Sep 1, 2020 at 2:52
Volatility Forecasting of VIX
Awarded Aug 27, 2020 at 16:32
What is the distribution of Brownian Bridge over a given time interval?
Awarded Aug 27, 2020 at 13:33
Which Nikkei225 futures contract to take?
Awarded Aug 21, 2020 at 5:11
stochastic programming book recommendations
Awarded Aug 20, 2020 at 23:17
Financial instrument code crossreference
Awarded Aug 20, 2020 at 23:17
generating (or tracking) the DJUBS commodity index
Awarded Aug 20, 2020 at 2:21
how to construct a diversified portfolio based on correlation
Awarded Aug 17, 2020 at 7:10
Optimizing a portfolio whose risk is target expected shortfall
Awarded Aug 14, 2020 at 12:26
Bid-Ask spread in Roll's model: Negative autocovariance of returns and informational content
Awarded Aug 12, 2020 at 8:30
Conditions for implied volatility to attain a minimum (or maximum) value
Awarded Aug 8, 2020 at 6:11
Mixed local-stochastic volatility model in Quantlib
Awarded Aug 5, 2020 at 14:07
Best practice when computing beta coefficient
Awarded Aug 3, 2020 at 9:10
Compute allocation given long-short portfolio weights
Awarded Aug 3, 2020 at 3:31
Forecasting volatility farther ahead with autoregressive machine learning
Awarded Aug 1, 2020 at 13:46
Where to download Earnings Conference Call transcripts?
Awarded Jul 28, 2020 at 1:05
Simulation of Heston process Quantlib-Python
Awarded Jul 27, 2020 at 8:02
Heston volatility surface in Python QuantLib
Awarded Jul 25, 2020 at 5:02
Textbooks on algorithmic trading
Awarded Jul 24, 2020 at 19:06
What is the name (Greek) for sensitivity of an option's Theta to the Time to maturity?
Awarded Jul 17, 2020 at 16:42
Shrink covariance or correlation matrix
Awarded Jul 16, 2020 at 17:51
Help evaluating covariance integral when deriving vasiceks model
Awarded Jul 11, 2020 at 15:12
How to identify market makers in an orderbook?
Awarded Jul 11, 2020 at 8:50
Any one know how to implement the Heston and Rouwenhorst country-sector effects regression in R?
Awarded Jul 10, 2020 at 22:45
Soft: Interpretation Fractional BM in finance
Awarded Jul 8, 2020 at 10:17
How to get know when CUSIP is changed
Awarded Jul 5, 2020 at 22:34
How does a Stock Exchange Provider implement a Stop-Loss Order?
Awarded Jul 5, 2020 at 18:07
Hedging vega risk with varswaps
Awarded Jul 3, 2020 at 22:10
What is the point of volatility curve fitting?
Awarded Jul 1, 2020 at 12:42
Which of Terry Tao's co-authors on compressed sensing consulted for Renaissance Technologies?
Awarded Jun 25, 2020 at 12:46
How can we compute the daily drop in gross basis?
Awarded Jun 22, 2020 at 17:33
Discount factor in Hull-White model
Awarded Jun 22, 2020 at 8:15
Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns
Awarded Jun 22, 2020 at 8:15
Difference between the Basel IRB and the Vasicek formula
Awarded Jun 21, 2020 at 20:42
Why meta-labeling is is robust?
Awarded Jun 20, 2020 at 21:31
CRSP common stock only
Awarded Jun 16, 2020 at 17:02
Monte Carlo method vs PDE in option pricing
Awarded Jun 10, 2020 at 4:40
Architecture of a global pricing library with immutable payoffs
Awarded Jun 9, 2020 at 13:27
Expected Value of Mean-Reverting Jump Process
Awarded Jun 8, 2020 at 7:27
Factor selection for predicting fund returns
Awarded Jun 7, 2020 at 12:06
Cleaning of high-frequency data
Awarded May 31, 2020 at 13:04
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