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jaamor's user avatar
jaamor's user avatar
jaamor
  • Member for 9 years, 4 months
  • Last seen more than 2 years ago
  • Cary, NC
7 votes

What good papers of short term (<30 seconds) volatility estimation

6 votes
Accepted

Arbitraging upward sloping yield curve

5 votes
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Parameters variation in fundraising financial model

4 votes

Is there any research on pyramiding techniques of entering/exiting a trend?

4 votes

What to use as portfolio diversification measure?

4 votes

Why gamma and theta have opposite signs?

4 votes

Find the order of an ARMA model (q & p )

4 votes

Deriving credit spreads or migration matrices from prob of default

3 votes
Accepted

Data on margin volumes?

3 votes
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Feature for Maching Learning(SVM) in High Frequecy Order Book?

3 votes

constrained portfolio optimization by fmincon

3 votes

How to apply the "Knapsack Problem" to minimise a portfolio's volatility?

3 votes
Accepted

Why vega increases further out in time

3 votes
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optimization with absolute constraints

3 votes

Portfolio construction

2 votes
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Minimum PD under Basel II retail asset?

2 votes

How to get list of all symbols in fred database?

2 votes
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Does a call calendar lose its entire value if underlying increases well past the strike?

2 votes

portfolio optimization with uncertain returns

2 votes

Question about historical volatility ranking

2 votes
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Calculate CVaR for a portfolio

2 votes
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What is the strike of a short put that mimics a covered call

2 votes

Variance calculation

2 votes

Data on banks’ leverage

2 votes
Accepted

What are the units of the variables appearing in a standard stochastic differential equation for a Wiener process?

2 votes

how to use known premium of options to determine premium of options with another strike?

2 votes

Overlapping Value-at-Risk Backtest Data an Issue?

1 vote

Normal vol - convention

1 vote

I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?

1 vote
Accepted

Desperate for help with simple derivative