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Quantitative Finance
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pmr
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6 Questions

Score Activity Newest Views
9 votes
3 answers
10k views

What is the best alternative of Quantlib library

  • fixed-income
  • programming
  • quant-trading-strategies
  • risk-management
  • quantlib
asked Oct 16, 2013 at 9:02
4 votes
1 answer
2k views

Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)

  • monte-carlo
  • distribution
  • value-at-risk
asked Apr 6, 2013 at 4:48
3 votes
1 answer
161 views

VaR calculation accuracy/comparison/effectiveness through different R packages

  • r
  • risk-management
  • value-at-risk
  • distribution
  • cvar
asked Jun 21, 2015 at 6:56
3 votes
1 answer
984 views

What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?

  • portfolio-management
  • sharpe-ratio
  • normal-distribution
asked Sep 23, 2013 at 14:45
2 votes
1 answer
2k views

How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?

  • value-at-risk
asked Aug 3, 2013 at 12:45
0 votes
1 answer
225 views

Binary Option valuation problem in R using RQuantLib; also result validation aspect

  • option-pricing
  • r
  • quantlib
  • python
  • binary-options
asked Sep 22, 2015 at 20:13
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