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264

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Kurtosis in GARCH

garch kurtosis

Oct 2 '18 at 14:54 Matthew Gunn 5,454

votes

answers

819

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Is it possible to deal with non-normal distribution in Black-Litterman model?

portfolio-optimization distribution black-litterman

Feb 3 '16 at 17:55 Alejandro Andrade 354

votes

answer

views

Struggling with tau in Black-Litterman

finance portfolio-optimization optimization finance-mathematics black-litterman

Jul 25 '18 at 19:32 Tim Wilding 1,226

votes

answer

322

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Black Litterman: Is it possible to have multiple views (from different sources) on the same asset?

portfolio-management modern-portfolio-theory portfolio-optimization factor-models black-litterman

Mar 6 '19 at 1:25 Alex C 8,766

votes

answer

12k

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Duration of a floating rate note

fixed-income programming

Jul 13 '19 at 12:43 wormeer 3

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answers

views

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

equities research

May 28 '17 at 21:56 Franck Dernoncourt 507

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answer

views

How are Brownian Bridges used in derivatives pricing in practice?

option-pricing monte-carlo brownian-motion simulations

Nov 17 '17 at 22:31 Yian Pap 511

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answer

473

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Do Perpetual American Options have closed form functions to compute the Greeks?

options american-options greeks

Nov 20 at 20:25 Kevin 10.7k

votes

answers

193

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Contribution of an asset's variance to portfolio variance

portfolio-optimization modern-portfolio-theory mean-variance derivation

Nov 15 at 22:45 develarist 2,653

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answers

views

sharp ratio/sortino ratio for options portfolio

sharpe-ratio option-strategies

May 14 '19 at 20:38 Tom Bennett 231

votes

answers

110

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Lower bound for Bermudan Option Price

option-pricing american-options bermudan

Feb 5 '20 at 17:40 siou0107 1,925

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answer

views

How to trade interest rate futures calendar spread?

fixed-income futures valuation spread

Nov 1 '16 at 17:12 Helin 9,952

votes

answers

204

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Dividend paying asset, why can't be taken as numéraire?

risk-neutral-measure numerairechange

Sep 13 '18 at 15:53 user30614 187

votes

answer

240

views

Pricing bonds of float coupon rate by stochastic interest rate

bond

Jan 18 '16 at 20:00 Gordon 19.1k

vote

answer

239

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What is the other type of impact of dividends on the stock price in this formula?

options option-pricing equities black-scholes dividends

Apr 28 '17 at 14:12 Quantuple 13k

vote

answer

100

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When a stochastic volatility model is calibrated?

stochastic-volatility

Jan 20 '19 at 15:03 Community♦ 1

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Kurtosis in GARCH

Is it possible to deal with non-normal distribution in Black-Litterman model?

Struggling with tau in Black-Litterman

Black Litterman: Is it possible to have multiple views (from different sources) on the same asset?

Duration of a floating rate note

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

How are Brownian Bridges used in derivatives pricing in practice?

Do Perpetual American Options have closed form functions to compute the Greeks?

Contribution of an asset's variance to portfolio variance

sharp ratio/sortino ratio for options portfolio

Lower bound for Bermudan Option Price

How to trade interest rate futures calendar spread?

Dividend paying asset, why can't be taken as numéraire?

Pricing bonds of float coupon rate by stochastic interest rate

What is the other type of impact of dividends on the stock price in this formula?

When a stochastic volatility model is calibrated?