SRKX's user avatar
SRKX's user avatar
SRKX's user avatar
SRKX
  • Member for 13 years
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34 votes

What is the difference between Option Adjusted Spread (OAS) and Z-spread?

30 votes
Accepted

How to simulate stock prices with a Geometric Brownian Motion?

21 votes
Accepted

How to construct a Risk-Parity portfolio?

21 votes
Accepted

Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?

20 votes

What is Ito's lemma used for in quantitative finance?

19 votes
Accepted

Is the stock price process a martingale or a Markov process?

15 votes

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

13 votes
Accepted

What is a "coherent" risk measure?

12 votes

How are cryptography and speech recognition technology applied to forecasting financial markets?

11 votes

Stock Price Behavior and GARCH

10 votes

What .NET library can I use to solve optimization problems?

10 votes

Risk Neutral Probability

9 votes
Accepted

A question on Ito

9 votes
Accepted

How to account for transaction costs in a simulated market environment?

8 votes

Financial Mathematics - Martingales example

8 votes
Accepted

Easiest and most accessible derivation of Black-Scholes formula

8 votes

Why does the minimum variance portfolio provide good returns?

8 votes
Accepted

Is Behavioral Finance relevant to quants?

8 votes

What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?

8 votes
Accepted

Simulation of GBM

8 votes

What do the terms in-sample and out-of-sample estimates mean in MVO?

7 votes

Call vs. Put Option

7 votes
Accepted

How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?

7 votes

What are some quantitative method behind etf vs cash arbitrage?

7 votes

How GARCH/ARCH models are useful to check the volatility?

7 votes

How much capital do I need to create a competitive automated trading strategy?

7 votes
Accepted

How to make the final Interpretation of PCA?

7 votes
Accepted

Function that best describes intensity of human/(group of humans) emotions?

7 votes
Accepted

Fastest solver possible for portfolio optimization

7 votes
Accepted

Is Value At Risk additive?

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