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SRKX
  • Member for 13 years, 2 months
  • Last seen more than a week ago
2 votes

How to compute simple and log portfolio returns?

8 votes
Accepted

Simulation of GBM

1 vote

Is there a python package/function that returns the trading time between two timestamps?

11 votes

Stock Price Behavior and GARCH

1 vote

Reference that states that the price of an option is not the expected present value of the payoffs under Black and Scholes?

0 votes

Are there opportunities in the market for low volume hobbyist algorithmic traders?

0 votes

How to derive the Black Scholes partial differential equation from a stock log-normal distribution?

1 vote
Accepted

How to normalize various indicators into one column?

1 vote

How to derive the prices of downstream products from raw commodity prices?

1 vote
Accepted

How are OHLC bars made from bid, ask, and last trade prices?

2 votes

How can I identify a zero beta portfolio?

1 vote

In portfolio theory, has volatility a logical place as an asset class?

4 votes

Should the Sharpe ratio of a portfolio change when it is leveraged?

3 votes
Accepted

How to define the $f$ function to apply Ito's lemma?

2 votes
Accepted

What is the value this "special" forward contract at maturity?

7 votes
Accepted

Is Value At Risk additive?

1 vote
Accepted

How to build a market-neutral portfolio using CVXPY?

15 votes

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

5 votes
Accepted

Is futures contracts data only reported for business days?

0 votes
Accepted

Can I split my backtesting into multiple consecutive sub-periods?

1 vote
Accepted

Can the net portfolio's beta be different from the sum of long and short betas of the portfolio?

5 votes
Accepted

How to create a synthetic put?

3 votes

How is the Chooser Option's value computed in this example?

5 votes

How to price an option allowing to change a call into a put?

2 votes

What does this options' data mean?

1 vote

What are the canonical books on optimization methods?

4 votes
Accepted

Why don't real-world probabilities affect the price of a call in a 1-step binomial model?

3 votes
Accepted

How to calculate weight of two stocks without knowing their correlation?

0 votes

How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?

5 votes

Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?

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