Ami44's user avatar
Ami44's user avatar
Ami44's user avatar
Ami44
  • Member for 6 years, 4 months
  • Last seen more than 1 year ago
  • Germany
5 votes
Accepted

Uncollateralised trades in Libor transition

4 votes

Converting 30day annualized vol to 2day annualized vol

4 votes
Accepted

6 month curve from 3 month forward rate agreements

2 votes

Options Arbitrage strategy

2 votes

Are Insurance and Risk premium totally different?

2 votes

Terminal node probabilities for a trinomial tree

2 votes
Accepted

What is a good choice of threshold for Value at Risk?

2 votes
Accepted

optimize gas storage schedule based on forward prices

2 votes
Accepted

Duration calculation with negative cashflows

2 votes
Accepted

Day count convention confusion

2 votes

Portfolio risk analysis in Options & Mixed portfolios

2 votes
Accepted

Why do some exchanges require clearing participants to post margins for cash products?

2 votes

Option on Loan rate

2 votes
Accepted

Tenor basis spreads 1mv3m vs 3mv6m

2 votes
Accepted

1-year Var calculated from 1 year volatility

1 vote

It is possible to carry out the Component VaR decomposition through non parametric methodologies?

1 vote
Accepted

Clarifications about the "quotations" of Treasury Bills and Treasury Bonds

1 vote
Accepted

Extreme Value Theory: GPD application to returns, not losses (PnL)?

1 vote
Accepted

How to predict VaR changes on a DoD basis?

1 vote

Understanding the Weights of an Optimal (Mean-Variance) Portfolio

1 vote

Theoretical price of bond : utility

1 vote

What value should the risk free monthly return rate be (Sharpe ratio calculation)?

1 vote
Accepted

Clarification on the Black-Derman-Toy model regarding measuring time and notation

1 vote
Accepted

From continuous compounding to simple compounding - convexity adjustment

0 votes

How to calculate return on investment for an adjustment to a complex options position?

0 votes

Calculating FRA rates

0 votes

Proof of optimal exercise time theorem for American derivative security in N-period binomial asset-pricing model

0 votes

Pricing foreign currency bonds - which approach is more theoretically "sound"?

0 votes

Cash Flow Hedge Accounting