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14 votes
2 answers
22k views

GARCH model and prediction

14 votes
2 answers
9k views

How to calibrate a volatility surface using SVI

12 votes
1 answer
212 views

portfolio optimization averaging weights, what are benefits?

10 votes
3 answers
597 views

clarification to use collocation methods to get arbitrage free sabr

9 votes
1 answer
4k views

Greeks of a swaption using Brigo

8 votes
1 answer
1k views

derivation of the hedging error in a black scholes setup

8 votes
1 answer
477 views

SVI negative rates

8 votes
2 answers
4k views

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

7 votes
4 answers
3k views

Volatility skew and how to capture it?

6 votes
2 answers
702 views

tail dependency for portfolio optimization

5 votes
2 answers
2k views

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

5 votes
2 answers
1k views

swaption model for forward swap rate

5 votes
3 answers
1k views

multiperiod optimization using R

5 votes
2 answers
516 views

quantiative risk measure how they are implemented in R and their use

4 votes
1 answer
1k views

derivation of heston pde in gatheral

3 votes
0 answers
1k views

what is the definition of resetting tenor and time to maturity tenor in libor rates

3 votes
0 answers
388 views

how to apply a simple copula model

3 votes
0 answers
73 views

FTAP in the model independent case, paper by Schachermayer

3 votes
2 answers
200 views

Approximation of different volatilities

3 votes
2 answers
257 views

expected change in value of a derivative in a multicurve framework

3 votes
1 answer
509 views

Derivation of Magrabe formula

3 votes
1 answer
589 views

Different ways of portfolio optimization

3 votes
1 answer
221 views

Why is this utility function not picking up its penalty?

2 votes
2 answers
211 views

How does the market derive market implied rates hike via swaps?

2 votes
1 answer
867 views

reference question about portfolio optimization

1 vote
1 answer
69 views

MPT and the connection to asset prices / initial capital

1 vote
1 answer
4k views

examples of c++ code with application to quant finance [closed]

1 vote
1 answer
672 views

Arrow-Debreu Price in "The Volatility Smile and its implied Tree"

1 vote
3 answers
495 views

Why is the hedging cost using forwards $\frac{F-S}{S}$ and how is this related to Carry?

0 votes
1 answer
1k views

Implied repo rate calculation from Fabozzi