Quantitative Finance
Igor Pozdeev
  • Member for 5 years, 1 month
  • Last seen more than a week 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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6
Asset pricing model factor need to be excess return?
Nov 9 '18
6
When modelling ARCH/GARCH effects, do we use excess returns?
Dec 3 '18
6
The positivity of the market price of risk
Jul 30 '18
5
What are the known flaws and limitations of OptionMetrics data?
Sep 17 '18
5
how are financial data with sparse and asynchronous features imputed in predictive modeling?
May 29 '18
4
Hedging with variance swaps: how to calculate the notional
Apr 28 '18
4
Have any new stylized facts of asset returns been discovered since 2001?
Apr 2 '18
3
Expected currency depreciation given sovereign default
Aug 28 '19
3
Why are vanilla OTC options are quoted in delta and vol?
May 15 '18
3
Measuring alpha (Academia vs the Industry)
Jun 1 '18
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pandas: Composition for chained methods like .resample(), .rolling() etc

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