User SRKX

1 vote

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

answered Jul 20, 2017 at 3:49

1 vote

What are the properties of the Expected Shortall measure when split in multiple time periods?

answered Oct 17, 2014 at 3:18

1 vote

Rate of Return Required on Buying Stocks with Loan

answered Nov 5, 2013 at 14:53

1 vote

Estimate weekly, yearly quantities from finite samples

answered Jul 28, 2013 at 14:22

1 vote

Accepted

How to compute a sector's volatility within a portfolio?

answered Aug 18, 2013 at 9:32

1 vote

Risk Neutral Evaluation - Exchange/Spread Options

answered Sep 4, 2013 at 16:04

1 vote

Accepted

Logarithmic returns for realized variance?

answered Feb 28, 2013 at 13:17

1 vote

What is the clean price and dirty price of a risky bond?

answered Jan 12, 2013 at 11:53

1 vote

Volatility Estimation

answered Jun 13, 2013 at 14:49

1 vote

What is wrong in my non-linear estimation sample code?

answered Oct 20, 2015 at 1:23

1 vote

Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?

answered Oct 7, 2015 at 5:28

1 vote

Accepted

How are netting sets determined for CVA calculation?

answered Aug 26, 2015 at 1:20

1 vote

Is this process predictable or not?

answered Dec 15, 2014 at 3:45

1 vote

Is there a broad currency index just like there is an equity market index?

answered Nov 27, 2014 at 1:13

1 vote

Variability in the Expected Shortfall estimator

answered Oct 28, 2014 at 2:30

1 vote

What are the canonical books on optimization methods?

answered Jan 1, 2016 at 9:29

1 vote

Accepted

How to build a market-neutral portfolio using CVXPY?

answered Nov 9, 2016 at 2:57

1 vote

Accepted

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

answered Jul 3, 2016 at 1:02

1 vote

Accepted

Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

answered Feb 13, 2012 at 8:35

1 vote

Accepted

Are there quantitative models which can guide one's choice of target risk?

answered Jan 3, 2012 at 19:09

1 vote

Why the interest rate for put-call parity is not constant?

answered Oct 5, 2012 at 15:59

1 vote

Economic contagion to individual stocks (ideas for analysis)

answered Sep 30, 2012 at 14:29

1 vote

How to improve the Black-Scholes framework?

answered Dec 2, 2012 at 22:33

1 vote

Accepted

What precision do I need to calculate implied volatility?

answered Apr 24, 2012 at 20:32

1 vote

Encyclopedia of Statistical Tests

answered Sep 26, 2012 at 11:38

0 votes

Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else

answered Dec 13, 2012 at 0:14

0 votes

Black Scholes and Monte Carlo implementations in Java

answered Sep 14, 2011 at 19:49

0 votes

Where can I find a database of ALL ETFs, sorted by age?

answered Sep 1, 2011 at 8:38

0 votes

Accepted

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

answered Jul 6, 2016 at 6:20

0 votes

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

answered Nov 4, 2015 at 2:08

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156 Answers

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

What are the properties of the Expected Shortall measure when split in multiple time periods?

Rate of Return Required on Buying Stocks with Loan

Estimate weekly, yearly quantities from finite samples

How to compute a sector's volatility within a portfolio?

Risk Neutral Evaluation - Exchange/Spread Options

Logarithmic returns for realized variance?

What is the clean price and dirty price of a risky bond?

Volatility Estimation

What is wrong in my non-linear estimation sample code?

Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?

How are netting sets determined for CVA calculation?

Is this process predictable or not?

Is there a broad currency index just like there is an equity market index?

Variability in the Expected Shortfall estimator

What are the canonical books on optimization methods?

How to build a market-neutral portfolio using CVXPY?

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

Can I perform an asset allocation optimization if assets are perfectly uncorrelated?

Are there quantitative models which can guide one's choice of target risk?

Why the interest rate for put-call parity is not constant?

Economic contagion to individual stocks (ideas for analysis)

How to improve the Black-Scholes framework?

What precision do I need to calculate implied volatility?

Encyclopedia of Statistical Tests

Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else

Black Scholes and Monte Carlo implementations in Java

Where can I find a database of ALL ETFs, sorted by age?

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

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