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Lucas Morin's user avatar
Lucas Morin's user avatar
Lucas Morin's user avatar
Lucas Morin
  • Member for 11 years
  • Last seen more than a week ago
  • France
10 votes

How to use PCA for trading

5 votes
Accepted

Trading days or calendar days for Black-Scholes parameters?

4 votes

Approximating a function with trignometric polynomials

4 votes
Accepted

Normal vs Lognormal Short Rate models

4 votes

Getting the next price of a GBM with reversion

4 votes
Accepted

How to develop your own interest rate model?

3 votes

"Equivalent" data sets despite different numbers

2 votes

SABR model inconsistent with Black Swaption Pricing

2 votes

Applicability of PCA to get historical volatilities to calibrate interest rates trees

2 votes

Resources for finding scholarly research on topics in quantitative finance?

1 vote

Grokking Stochastic Oscillator for Stocks

1 vote

How would you correct a GARCH model to deal with non mean reverting volatility?

1 vote
Accepted

Volatility of Option

1 vote

How to benchmark bonds?

1 vote

Why normalize only data for CDSs for PCA?

1 vote

Quantum Computing for Quantitative Finance

0 votes

Quantum Computing for Quantitative Finance

0 votes

Quant Interview Course

0 votes

Counterparty risk tutorials

0 votes

Break down XIRR to different segments

0 votes

How does this follow from the separating hyperplane theorem?

0 votes

expected value of the discounted payoff

-1 votes

Divergence between binomial pricing and monte carlo simulation for vanilla european call?

-4 votes

How to price an exchange option using B&S framework?