Quantitative Finance
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Kermittfrog
  • Member for 5 years, 11 months
  • Last seen this week
  • Germany
Profile Activity

195 Answers

Score Activity Newest
11 votes
Accepted

Expectation of exponential of 3 correlated Brownian Motion

10 votes
Accepted

Expected value and Variance of a stopped random process

10 votes

If the spread between two assets is an OU process, what processes do the two assets follow?

8 votes
Accepted

Inverse Covariance Matrix Transformation from CAPM

8 votes
Accepted

Complex numbers in VBA

7 votes

Contribution of an asset's variance to portfolio variance

7 votes

How to compute par yield from zero rate curve?

7 votes

Is duration of a bond a convex function?

7 votes
Accepted

utility function and CAPM in portfolio theory

6 votes
Accepted

Why isn't the asset with minimum variance given a 100% portfolio weight?

6 votes

Does fear or greed drive option prices?

6 votes

Effect of Implied volatility on option delta

5 votes

Compounded returns over $n$ days

5 votes

Curve fitting under different regions and stitching

5 votes

How to compute $E[W(T)\exp(W(T)]$

5 votes
Accepted

Montecarlo pricing

5 votes

Advice for automating swap curve construction

5 votes
Accepted

Terminal wealth distribution from dollar cost averaging

5 votes
Accepted

Maximum skewness portfolio solution derived from its Lagrangean formulation

5 votes
Accepted

Closed-form analytical solution for the variance of the minimum-variance portfolio?

5 votes
Accepted

Derivation of mean-variance portfolio weights as closed-form analytical solution from Lagrangean equations

5 votes
Accepted

Calculation of the Transition matrix for Credit rating

5 votes
Accepted

How to compute forward swap rates?

5 votes
Accepted

What is actually going on in Monte-Carlo simulation for Mortgage backed securities?

5 votes

Covariance Matrix by Multi-Factor Model

5 votes

Covariance Between Two Frontier Portfolios

4 votes
Accepted

Variance of the log returns in jump diffusion with time-varying jump sizes

4 votes
Accepted

Is it possible to construct an efficient frontier without the mean?

4 votes
Accepted

Simulating Iterated Brownian Motions

4 votes
Accepted

Can I use spot rates bootstrapped from a swap curve to price a bond?

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