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Olaf

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reference-request

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2 posts edited

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Answers (23)

Votes Activity Newest

26	What are the textbooks used to teach Quantitative Trading at universities?
15	Resources for finding scholarly research on topics in quantitative finance?
11	General way to solve Partial differential equation using Feynman kac representation
8	Ito Formula for Stochastic Integral
8	Speeding up computations: when to use Quasi and standard Monte-Carlo in pricing

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Reputation (1,729)

+20	Compute the (Net) Present Value
+10	General way to solve Partial differential equation using Feynman kac representation
+10	Implied Vol vs. Calibrated Vol
+10	Option Pricing Model Calibration In Practice

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Questions (5)

Votes Activity Newest

6	How does Algorithmic Differentiation work and where can it be applied?
4	How do you deal with Inflation lag in a MC simulation?
3	How do you model yield curves for interest rates that have hardly moved?
3	Valuation of option on amortized IR swap
2	Determining swaption prices using the characteristic function

Tags (44)

33 reference-request × 2	15 resource
26 education	15 research
26 quant-trading-strategies	14 monte-carlo × 4
15 option-pricing × 5	11 calibration × 2
15 stochastic-calculus × 2	11 differential-equations

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Bookmarks (7)

Votes Activity Newest Views Added

30	Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?
16	What C++ math libraries are typically used by quants?
12	Alternative ways to understand time-varying comovement between two time-series?
12	The danger of using Principal Component Analysis (PCA) in Robust Optimization problems
10	What distribution to assume for interest rates?

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Accounts (8)

	Physics	2,831 rep	15 silver badges23 bronze badges
	Quantitative Finance	1,729 rep	12 silver badges16 bronze badges
	Stack Overflow	355 rep	1 silver badge9 bronze badges
	Mathematics	211 rep	1 silver badge8 bronze badges
	Area 51	151 rep

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Nice Answer × 3	Caucus
Citizen Patrol	Curious
Yearling × 7	Cleanup
Good Answer	Custodian

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Votes cast (143)

all time			by type
140	up		93	question
3	down		50	answer

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