User Elekko - Quantitative Finance Stack Exchange

Elekko

Member for 7 years, 10 months
Last seen more than 3 years ago

14 Questions

Score Activity Newest Views

6 votes

2 answers

1k views

Importance Sampling for pricing options with longstaff and schwartz

asked Jun 13, 2016 at 22:56

5 votes

3 answers

568 views

Can call options be priced with Least-Squares Monte Carlo?

asked Mar 27, 2016 at 0:03

4 votes

3 answers

896 views

Volatility and Counterparty risk for FX Forward

asked Mar 12, 2017 at 1:18

3 votes

3 answers

2k views

Compiling QuantLib example

asked Feb 26, 2016 at 1:22

3 votes

1 answer

603 views

Importance Sampling for Least Square Monte Carlo [duplicate]

asked Jun 1, 2016 at 0:35

3 votes

2 answers

1k views

Mathematical definitioln of Potential Future Exposure

asked Jan 25, 2016 at 0:58

2 votes

4 answers

2k views

Quantlib with python on mac?

asked Feb 24, 2016 at 21:39

1 vote

2 answers

367 views

Simulate drifted geometric brownian motion under new measure

asked May 29, 2016 at 22:09

1 vote

0 answers

105 views

Determining the investment strategy

asked Nov 9, 2015 at 15:21

1 vote

2 answers

300 views

Value-at-Risk "hiding risk in the tail" and diversification?

asked Dec 30, 2015 at 1:46

1 vote

1 answer

3k views

Calculate VaR for a liabilty taking a exponential distribution?

asked Jan 6, 2016 at 20:27

1 vote

1 answer

3k views

Is Value-at-Risk translation invariant?

asked Jan 13, 2016 at 1:05

1 vote

2 answers

158 views

Finding optimal drift, importance sampling, least square monte carlo

asked Jun 28, 2016 at 0:06

0 votes

1 answer

1k views

Convex risk measure and a coherent risk measure?

asked Dec 30, 2015 at 13:51