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Hans-Peter Schrei's user avatar
Hans-Peter Schrei's user avatar
Hans-Peter Schrei's user avatar
Hans-Peter Schrei
  • Member for 10 years, 10 months
  • Last seen this week
11 votes

Markowitz Eigenvalues & PCA

7 votes

What is the point of mental arithmetic tests?

6 votes

Flow Traders' arithmetic test

6 votes
Accepted

Parameters in Nelson-Siegel model and Nelson-Siegel-Svensson model

5 votes
Accepted

How to compare algorithmic trading strategy risk/reward performance?

4 votes
Accepted

Solve for spot price given delta

4 votes
Accepted

Trade price and settlement price

4 votes

On first and last zeros before t in a Brownian Motion

4 votes
Accepted

Is there a API to obtain real-time forex data in seconds?

3 votes

Does skew flatten with a decline in volatility?

3 votes

Finding latest market price of market portfolio according to No Arbitrage

3 votes
Accepted

The optimization problem of the equal risk contribution portfolio

3 votes
Accepted

Understanding volatility of volatility in realized roughness

3 votes

Intuition behind calendar spread max loss

3 votes

Intuition behind Fama-French factors

3 votes
Accepted

Filtering smallest eigenvalues

3 votes

Portfolio optimization on a subset of assets

3 votes

Comparing debt issuance across currencies

3 votes

Formula 1.2 in book "Volatility Trading" by Euan Sinclair

2 votes
Accepted

Factor loadings in Nelson-Siegel model

2 votes

Fama-French factor model: why mimicking portfolios?

2 votes

shrinking covariance matrix for assets coming from different asset class

2 votes

Estimate Open, High and Low prices from bid, ask and close prices

2 votes
Accepted

Derivation of optimal portfolio weights using Risk Budgeting approach

2 votes

MBS benchmarking

2 votes
Accepted

Leverage and Drawdown

2 votes

Does QuantLib have a DayCount convention that supports India financial year calculations?

2 votes

What is Day One Profit and why is it a matter/important?

1 vote

Sources of quant finance / finance puzzles

1 vote
Accepted

How to calculate expected value for an underlying contract and expected value for an option?