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SRKX's user avatar
SRKX's user avatar
SRKX
  • Member for 13 years, 3 months
  • Last seen more than a month ago
34 votes

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

31 votes
Accepted

How to simulate stock prices with a Geometric Brownian Motion?

22 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

11 votes

Risk Neutral Probability

10 votes

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

9 votes
Accepted

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

9 votes
Accepted

A question on Ito

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?

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?

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

Call vs. Put Option

7 votes
Accepted

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

7 votes
Accepted

Is Value At Risk additive?

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