Alexey Kalmykov's user avatar
Alexey Kalmykov's user avatar
Alexey Kalmykov's user avatar
Alexey Kalmykov
  • Member for 13 years
  • Last seen more than a month ago
13 votes
Accepted

R code for Ornstein-Uhlenbeck process

8 votes

How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)

8 votes
Accepted

Exotic option pricing

8 votes

Black-Scholes fastest computation method

7 votes

Implied Volatility from American options (binomial)

6 votes
Accepted

Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?

6 votes
Accepted

Topological methods in finance

6 votes

portfolio optimization from empirical return distributions

6 votes
Accepted

Treasury Bond Yield Curves in R

6 votes
Accepted

Connections between random walk and heat equation (Material for ~)

6 votes
Accepted

Why is delta-hedging of ATM options near expiry difficult to do?

5 votes
Accepted

Copula models and the distribution of the sum of random variables without Monte Carlo

5 votes

Recover full tick data from missing tick data

5 votes

How to obtain true probabilities from Black-Scholes?

5 votes

Maximization of CARA utility function: unique solution with an unbounded parameter?

5 votes
Accepted

What is the expected return I should use for the momentum strategy in MV optimization framework?

5 votes

Magnitude of Transaction Cost for Institutional Investors

4 votes

main arbitrage & statistical arbitrage concepts

4 votes

Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR

4 votes

What is augmented data when simulating stochastic differential equations using Gibbs Sampler?

4 votes

Exercising an American call option early

4 votes

Which brokers offer a .NET stock trading API?

4 votes

Portfolio optimisation with VaR or CVaR constraints using linear programming

3 votes
Accepted

Quantitative risk model for an open real estate mutual fund in Europe

3 votes
Accepted

Comparing Cash Equivalent of risky portfolios

3 votes

Does put-call parity hold for a compound option with underlying American option?

3 votes

How to run an asset replication regression?

3 votes

Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?

2 votes

Demonstration of Ito's correction term/lemma in binomial tree

2 votes

Is there a charting API which allows to replicate Bloomberg chart tool features?