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vonjd
  • Member for 13 years, 1 month
  • Last seen more than a week ago
10 votes
2 answers
3k views

How to calculate the most realistic historical option prices with additional publicly available parameters

9 votes
3 answers
2k views

Demonstration of Ito's correction term/lemma in binomial tree

9 votes
4 answers
1k views

Software for decomposing payoff diagrams into plain vanilla products

8 votes
5 answers
1k views

Indicators and research for stress-based investment strategies

8 votes
1 answer
1k views

Connections between random walk and heat equation (Material for ~)

8 votes
2 answers
634 views

Most natural generalization of covariance/correlation to model dependence of extreme events

8 votes
1 answer
968 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

8 votes
3 answers
305 views

New ways of communicating risk

8 votes
4 answers
570 views

How to fundamentally value cryptocurrencies?

7 votes
2 answers
489 views

Quant teams predicting the World Cup

7 votes
2 answers
519 views

Gain/loss-asymmetry in artificial financial markets?

7 votes
1 answer
481 views

Examples of investable factors via factor funds/ETFs

7 votes
2 answers
3k views

Constructing an approximation of the S&P 500 volatility smile with publicly available data

7 votes
3 answers
795 views

Debunking risk premium via "hedging" argument? (or why even in the real world $\mu$ should equal $r$)

7 votes
2 answers
431 views

Is there something like opportunistic "superstitious" trading?

6 votes
2 answers
955 views

What is model-free finance?

5 votes
2 answers
1k views

Ito vs. Stratonovich: Why is it the exact midpoint that renders Ito-correction zero?

4 votes
2 answers
559 views

Best practice for international Fama-French analysis

4 votes
0 answers
161 views

Finding optimal calendar spreads and diagonals

4 votes
2 answers
281 views

Do high dividend yield stocks generally outperform the market?

4 votes
0 answers
128 views

Long-term proportion of convex and concave strategies in artificial financial markets

4 votes
2 answers
353 views

Black Scholes: How does it help to transform uncertainty and still not be able to calculate a fair price?

4 votes
1 answer
465 views

How did bans on short-selling affect the derivatives markets?

3 votes
1 answer
398 views

Overview of software companies in the industry

3 votes
2 answers
722 views

When gains are made: Overnight or during trading hours? What is the connection to volatility?

3 votes
1 answer
673 views

Measuring and proxies for leverage in the financial system

3 votes
2 answers
450 views

Tools/R-code to create gain/loss-asymmetry plots

2 votes
0 answers
132 views

References about market neutral portfolios that isolate unsystematic risk

2 votes
1 answer
210 views

Finding robust regions of multidimensional parameter combinations in trading strategies

2 votes
1 answer
2k views

Why were Fama/French Momentum Factors discontinued in 2016?