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Quantitative Finance
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Lisa Ann
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3 Answers

Score Activity Newest
4 votes
Accepted

Automatic fixing of missing floating rate in QuantLib's addFixing()

  • fixed-income
  • quantlib
  • floating-rate
  • libor
answered Sep 19, 2013 at 21:25
2 votes
Accepted

Counterintuitive time varying Beta with Kalman filter

  • time-series
  • r
  • correlation
  • beta
  • kalman
answered Jul 10, 2013 at 19:15
0 votes

Mean-variance optimization - objective function formation with factor models

  • portfolio-optimization
  • factor-models
  • mean-variance
answered Jan 13 at 20:17
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