User user12348

8 votes

Are the sin, cos, tan functions used in some financial calculations?

answered May 10, 2014 at 23:26

8 votes

What is PCA and how does it relate to eigenvectors and eigenvalues?

answered May 22, 2014 at 2:57

6 votes

GARCH(1,1) good fit found, how to predict one day volatility ahead?

answered Apr 23, 2014 at 6:29

5 votes

Accepted

GARCH model and prediction

answered Apr 22, 2014 at 23:32

5 votes

BInary Option implied volaltility

answered Jun 13, 2014 at 19:26

4 votes

CDS Spreads and Equity Volatility

answered Jun 15, 2014 at 19:02

4 votes

Accepted

Monte Carlo for MultiFactor Ornstein Uhlenbeck

answered May 24, 2014 at 23:46

4 votes

Bloomberg alternatives for fixed income data

answered May 25, 2014 at 21:21

4 votes

Why are factor models so popular for risk analysis of portfolios?

answered May 7, 2014 at 14:11

4 votes

Accepted

Ornstein versus AR(1) for modeling stationary data

answered Apr 24, 2014 at 15:29

3 votes

Relationship between Large Cap and Small Cap Volatility

answered May 22, 2014 at 4:14

3 votes

Why is convexity adjustment applied to swap price for a nonstandard swap, in simple terms?

answered Nov 9, 2015 at 2:34

3 votes

Accepted

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

answered Oct 25, 2015 at 23:56

2 votes

Calculate correlation between two sub portfolios and the combined portfolio

answered May 13, 2014 at 8:55

2 votes

What is Prompt Date Structure?

answered May 16, 2014 at 4:36

2 votes

Modeling Financial Time Series

answered May 24, 2014 at 16:03

2 votes

Accepted

Variance of Multi-Dimensional OU process

answered May 24, 2014 at 16:40

2 votes

How to treat large (5K-10K) non-positive-definite (particularly near-singular) covariance matrices for Cholesky decomposition?

answered May 11, 2014 at 1:13

2 votes

How can I calculate Value at Risk?

answered May 1, 2014 at 16:37

1 vote

Volatility arbitrage - how is the profit extracted?

answered Apr 24, 2014 at 18:01

1 vote

Why do I have a statistically significant slope regressing R(t) on R(t-1)

answered Apr 28, 2014 at 23:40

1 vote

Position Sizing For Ratio Pairs Trade

answered Apr 30, 2014 at 5:29

1 vote

Accepted

Square-root-of-time and autocorrelation

answered May 11, 2014 at 5:26

1 vote

Accepted

Need weighted global stock index data (components / weights)

answered May 11, 2014 at 21:35

1 vote

Simulating state space model with AR(1) dynamics

answered Jun 3, 2014 at 5:15

1 vote

cointegration applied to Portfolio Construction & Risk management

answered Jun 21, 2014 at 20:58

1 vote

Is the market really Normal. Is Implied Volatility Historically Correct?

answered Jul 9, 2014 at 3:15

1 vote

Does an implied volatility always exist for a binary option?

answered Jun 13, 2014 at 20:03

1 vote

Accepted

What are pre and post stress capital?

answered Oct 26, 2015 at 0:43

1 vote

Accepted

Where can I find data source for structural models?

answered Oct 26, 2015 at 1:40

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34 Answers

Are the sin, cos, tan functions used in some financial calculations?

What is PCA and how does it relate to eigenvectors and eigenvalues?

GARCH(1,1) good fit found, how to predict one day volatility ahead?

GARCH model and prediction

BInary Option implied volaltility

CDS Spreads and Equity Volatility

Monte Carlo for MultiFactor Ornstein Uhlenbeck

Bloomberg alternatives for fixed income data

Why are factor models so popular for risk analysis of portfolios?

Ornstein versus AR(1) for modeling stationary data

Relationship between Large Cap and Small Cap Volatility

Why is convexity adjustment applied to swap price for a nonstandard swap, in simple terms?

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

Calculate correlation between two sub portfolios and the combined portfolio

What is Prompt Date Structure?

Modeling Financial Time Series

Variance of Multi-Dimensional OU process

How to treat large (5K-10K) non-positive-definite (particularly near-singular) covariance matrices for Cholesky decomposition?

How can I calculate Value at Risk?

Volatility arbitrage - how is the profit extracted?

Why do I have a statistically significant slope regressing R(t) on R(t-1)

Position Sizing For Ratio Pairs Trade

Square-root-of-time and autocorrelation

Need weighted global stock index data (components / weights)

Simulating state space model with AR(1) dynamics

cointegration applied to Portfolio Construction & Risk management

Is the market really Normal. Is Implied Volatility Historically Correct?

Does an implied volatility always exist for a binary option?

What are pre and post stress capital?

Where can I find data source for structural models?