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athos
  • Member for 10 years, 4 months
  • Last seen more than a month ago
  • Singapore
142 votes
15 answers
174k views

How can I go about applying machine learning algorithms to stock markets?

  • 1,531
55 votes
7 answers
6k views

Paradoxes in quantitative finance

  • 4,890
34 votes
4 answers
16k views

Is there an intuitive explanation for the Feynman-Kac-Theorem?

27 votes
5 answers
11k views

Local Volatility vs. Stochastic Volatility

27 votes
3 answers
7k views

What are the best sources for equity quantitative research?

25 votes
2 answers
41k views

Worked examples of applying Ito's lemma

  • 26.9k
20 votes
3 answers
8k views

What is the Risk Neutral Measure?

  • 2,151
16 votes
7 answers
7k views

What C++ math libraries are typically used by quants?

15 votes
3 answers
2k views

Rate interpolation in Libor Market Model

  • 3,202
15 votes
1 answer
11k views

Baye's rule for conditional expectations (Proof review)

  • 3,337
15 votes
6 answers
7k views

Self-financing and Black-Scholes-Merton formula

  • 2,107
14 votes
2 answers
1k views

When is the LIBOR market model Markovian?

  • 4,890
12 votes
2 answers
880 views

Filtration and measure change

  • 2,107
11 votes
2 answers
4k views

Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?

  • 111
11 votes
1 answer
577 views

Alternative liquidity measures

10 votes
3 answers
20k views

How to tune Kalman filter's parameter?

  • 2,107
10 votes
3 answers
2k views

Starting mathematics reading for quants

  • 2,151
9 votes
3 answers
5k views

Usage of Brownian Bridge?

  • 2,107
8 votes
3 answers
2k views

Pricing callable range accruals on spreads

  • 3,202
8 votes
1 answer
2k views

Does pricing quant still have bright future?

  • 2,107
8 votes
2 answers
4k views

T-Forward Price on risk-neutral measure

  • 423
6 votes
1 answer
2k views

Numéraire -- couldn't understand the wiki explanation

  • 2,107
6 votes
1 answer
187 views

pricing of heat rate-linked derivative

  • 63
6 votes
2 answers
426 views

Why is the LIBOR-market model free of arbitrage?

  • 203
6 votes
1 answer
721 views

Soft American Options

  • 2,107
5 votes
2 answers
8k views

How popular is the Linear Gauss Markov (LGM) model?

  • 2,107
5 votes
1 answer
380 views

Prove $E_{\mathbb Q}[X_t | \mathscr F_u] = X_u$ given $Y_t$ is a martingale

  • 841
3 votes
2 answers
2k views

Brownian motion - first passage time

3 votes
1 answer
134 views

How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?

  • 2,107
3 votes
0 answers
473 views

Bond (yield curve) dynamics in the Forward-LIBOR-market-model

  • 203