lcrmorin

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20 Questions

Votes Activity Newest Views

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857

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Quantum Computing for Quantitative Finance

Mar 25 '20 at 8:42 Bob Jansen♦ 6,791

votes

answers

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Malliavin Calculus

stochastic-calculus malliavin-calculus

Dec 17 '14 at 8:03 Drew 841

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answers

279

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American Swaption Heding with Malliavin Calculus

hedging american-options swaption malliavin-calculus

Jul 8 '14 at 22:41 user25064 1,019

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answer

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Multi Fractals Models

stochastic-calculus models

Jun 30 '13 at 3:13 CommunityBot 1

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Data Synchronization

trends

Jun 11 '13 at 10:38 CommunityBot 1

votes

answer

345

views

(Re) normalisation of random variable in Monte-Carlo simulations

monte-carlo random-variables

Apr 28 '15 at 17:51 AFK 3,746

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385

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Machine learning for non optimal behaviour

machine-learning american-options swaption

Aug 13 '14 at 8:08 CommunityBot 1

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Is there any theoretical basis for the usage of the Golden ratio / Fibonacci numbers in technical indicators?

technical-analysis

May 31 at 2:23 Dave Skender 111

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145

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Art market specificities

market price market-model

Aug 25 '14 at 13:07 lcrmorin 1,109

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answer

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American Swaption Pricing with Monte-Carlo method

option-pricing black-scholes monte-carlo swaption black-scholes-pde

Jun 28 '14 at 0:18 CommunityBot 1

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476

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American Swaption Pricing with PDE discretization

option-pricing american-options swaption black-scholes-pde

Apr 16 '14 at 19:25 CommunityBot 1

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answers

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Optimising returns weighted by Sharpe ratio in the context of Supervised Learning

optimization sharpe-ratio machine-learning

Dec 30 at 7:33 lcrmorin 1,109

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answer

892

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The ETF trick - E-mini S&P 500 Futures

etf spread spx

Feb 15 '20 at 3:22 Chris 1,578

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answer

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Price compounding: Swap versus Governments Bonds

interest-rates interest-rate-swap compounding

Dec 23 '17 at 7:01 Attack68♦ 7,714

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117

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Las vegas method?

monte-carlo american

Mar 11 '16 at 17:35 lcrmorin 1,109

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interbank market rates - missing data

interbank-rates

Dec 28 '14 at 16:10 chjortlund 670

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451

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Forward rates formulae

interest-rates forward bond short-rate

Jul 8 '14 at 12:40 KaapstadKwant 144

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Interpolation of volatility curve for Swaption

volatility swaption black

May 28 '14 at 16:59 lcrmorin 1,109

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answer

304

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Forward rates diffusion

black-scholes interest-rates forward

May 26 '14 at 12:29 Probilitator 3,297

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How to price zero coupon bonds with short term rates model?

fixed-income bond short-rate

Jun 16 '14 at 16:22 CommunityBot 1

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20 Questions

Quantum Computing for Quantitative Finance

Malliavin Calculus

American Swaption Heding with Malliavin Calculus

Multi Fractals Models

Data Synchronization

(Re) normalisation of random variable in Monte-Carlo simulations

Machine learning for non optimal behaviour

Is there any theoretical basis for the usage of the Golden ratio / Fibonacci numbers in technical indicators?

Art market specificities

American Swaption Pricing with Monte-Carlo method

American Swaption Pricing with PDE discretization

Optimising returns weighted by Sharpe ratio in the context of Supervised Learning

The ETF trick - E-mini S&P 500 Futures

Price compounding: Swap versus Governments Bonds

Las vegas method?

interbank market rates - missing data

Forward rates formulae

Interpolation of volatility curve for Swaption

Forward rates diffusion

How to price zero coupon bonds with short term rates model?