Kermittfrog

Member for 5 years, 11 months
Last seen this week

Germany

Summary

Reputation

6,415

6.4k
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31

2020
2021
2022
2023

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45/100 score

25/20 answers

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9

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34/80

Strunk & White

Answers

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Score Activity Newest

11

Expectation of exponential of 3 correlated Brownian Motion

Dec 13, 2020

10

Expected value and Variance of a stopped random process

Sep 18, 2021

10

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

May 25, 2022

8

Inverse Covariance Matrix Transformation from CAPM

Oct 15, 2020

8

Complex numbers in VBA

Dec 2, 2020

Questions

View all 7 questions

Score Activity Newest Views

11

LIBOR replacement in client products and prospective pricing

Sep 2, 2021

5

Bootstrap with QuantLib: Fair Swap or zero NPV

Jun 30, 2020

4

„Backtesting“ of a Credit VaR Model

Oct 7, 2020

3

How to simulate interest rate index fixings?

Jul 1, 2021

1

Understanding the cost involved in collateralization of existing OTC business

Dec 10, 2022

Tags

View all 219 tags

portfolio-optimization

71

Score

22

posts

stochastic-processes

47

Score

11

posts

modern-portfolio-theory

46

Score

11

posts

options

45

Score

25

posts

mean-variance

45

Score

14

posts

Reputation

+10

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

+45

What is the unit of DTS (and why)?

+10

Complex numbers in VBA

+10

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

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Jan 9, 2021

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Mar 11, 2022
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Jun 26, 2021
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Oct 3, 2021

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Nov 12, 2021
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Nov 3, 2020
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Sep 10, 2021

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Votes cast

527

upvotes

65

downvotes

171

question votes

421

answer votes

4

this month