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SRKX
  • Member for 13 years, 4 months
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1 vote
0 answers
64 views

How to compute Bonds volatility from Duration and DTS?

1 vote
1 answer
234 views

How to estimate the price of a European call when the underlying is not tradable?

11 votes
1 answer
1k views

How to use a change of numeraire to price this option?

4 votes
1 answer
308 views

What is the correlation between these two functions of GBMs?

1 vote
1 answer
85 views

How to effectively hedge a Fixed-Term deal in a foreign currency?

4 votes
1 answer
166 views

How to infer correlation?

8 votes
4 answers
1k views

How to price a futures spread option?

3 votes
3 answers
726 views

Convergence of GBM mean after simulation?

3 votes
1 answer
237 views

What is wrong in this GBM simulation?

4 votes
4 answers
420 views

How to deal with extreme cases in normal random numbers generation?

1 vote
0 answers
125 views

How to show that the risk contribution function is or is not injective?

11 votes
1 answer
7k views

What is exactly Euler's decomposition?

4 votes
1 answer
233 views

What is the analytic value of an asset's risk contribution, if $n=2$?

6 votes
3 answers
2k views

How to implement a long-term trade on oil?

3 votes
4 answers
1k views

How much does a Grid Computing software cost?

3 votes
1 answer
374 views

How to enumerate all the possible portfolios with a given target volatility?

7 votes
3 answers
531 views

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

4 votes
1 answer
468 views

Whare are the common Global Asset Allocation indices?

6 votes
2 answers
6k views

Which objective function should I choose to minimize tracking error?

7 votes
1 answer
4k views

What happens if a custodian bank defaults?

6 votes
3 answers
622 views

How do you handle Calendars in a .NET quant system?

3 votes
1 answer
1k views

How to compute portfolio weights from multivariate regression results?

13 votes
4 answers
2k views

What commercial financial libraries are available to outsource implementation risk?

19 votes
5 answers
8k views

Why is the Drawdown measure not used for portfolio optimization?

8 votes
2 answers
405 views

How do I statistically differentiate a series of prices from a series of returns?

10 votes
1 answer
4k views

What are the steps to perform properly a risk factor analysis on a portfolio?

11 votes
3 answers
2k views

Which greeks do you need to hedge if you want to implement an implied-volatility security?

9 votes
3 answers
329 views

How to measure investors' "experienced" volatility?

6 votes
3 answers
2k views

What are the applications of cointegration?

8 votes
5 answers
4k views

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