Quantitative Finance
Igor Pozdeev's user avatar
Igor Pozdeev's user avatar
Igor Pozdeev's user avatar
Igor Pozdeev
  • Member for 6 years, 11 months
  • Last seen more than a month ago
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20 Answers

Score Activity Newest
6 votes
Accepted

The positivity of the market price of risk

6 votes
Accepted

Asset pricing model factor need to be excess return?

6 votes
Accepted

When modelling ARCH/GARCH effects, do we use excess returns?

5 votes
Accepted

how are financial data with sparse and asynchronous features imputed in predictive modeling?

4 votes

Have any new stylized facts of asset returns been discovered since 2001?

3 votes

Measuring alpha (Academia vs the Industry)

3 votes
Accepted

How to quantify the Variance Risk Premium (VRP) with probability density functions?

3 votes

Why are vanilla OTC options are quoted in delta and vol?

2 votes
Accepted

Can someone explain the 6 alternative volatility measures?

2 votes

Event study : multi-country and multi-events study (CARs - cumulated abnormal returns)

2 votes

Sharpe Ratio with Stochastic Interest Rate?

2 votes

Why in Fama-French factor model relative market capitalization and book-to-market aren't used directly for predicting return rate?

2 votes

Why is the volatility smile so important

2 votes

Can GARCH volatility simulations generally be applied to return-modelling models?

2 votes
Accepted

weird stationary pattern in LDO.MI's stock price

1 vote

What is a good way to interpret covariance under risk neutral measure?

1 vote

What are the impacts of the discontinuation of benchmark Interest Rates?

1 vote
Accepted

Proxy for daily risk-free return in CAPM

0 votes

Geometric Brownian motion - Volatility Interpretation (in the drift term)

0 votes

How to Calculate (month by month) what hikes are priced into OIS?

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