Quantitative Finance
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Igor Pozdeev
  • Member for 5 years, 5 months
  • Last seen more than a month ago
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About

I am a PhD Student interested in asset pricing, FX markets and derivatives, and use Python and Julia to make sense out of all of it. Some sense made can be found on my page (or SSRN page).

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question
6
What are the known flaws and limitations of OptionMetrics data?
Sep 17, 2018
answer
6
Asset pricing model factor need to be excess return?
Nov 9, 2018
answer
6
When modelling ARCH/GARCH effects, do we use excess returns?
Dec 3, 2018
answer
6
The positivity of the market price of risk
Jul 30, 2018
answer
5
how are financial data with sparse and asynchronous features imputed in predictive modeling?
May 29, 2018
question
4
Hedging with variance swaps: how to calculate the notional
Apr 28, 2018
answer
4
Have any new stylized facts of asset returns been discovered since 2001?
Apr 2, 2018
question
3
Expected currency depreciation given sovereign default
Aug 28, 2019
answer
3
Why are vanilla OTC options are quoted in delta and vol?
May 15, 2018
answer
3
Measuring alpha (Academia vs the Industry)
Jun 1, 2018
Top network posts
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6
pandas: Composition for chained methods like .resample(), .rolling() etc
5
How to compare frequencies/sampling rates in pandas?

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