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user12348
  • Member for 9 years, 10 months
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8 votes
2 answers
836 views

Does GARCH derived variance explain the autocorrelation in a time series?

6 votes
2 answers
3k views

When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?

4 votes
2 answers
2k views

BInary Option implied volaltility

4 votes
1 answer
2k views

What features does q /KDB provide for HFT use?

4 votes
4 answers
9k views

Why does the valuation of the floating leg of a swap only use the next payment?

4 votes
2 answers
1k views

If floating leg in an arrears swap is paid on the date then valuing them is like predicting future

3 votes
1 answer
255 views

What is mathematically rigorous way to estimate floating swap cash flow in the future?

3 votes
1 answer
264 views

After PCA on original factors, how to tell which original factors are dominant?

2 votes
1 answer
2k views

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

2 votes
1 answer
3k views

Given a correlation martrix, calculate portfolio's correlation with its assets

2 votes
1 answer
70 views

What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?

2 votes
1 answer
320 views

How to projectP&L or drawdowns on pair trading , trading and portfolios? [closed]

1 vote
0 answers
107 views

Effect of kernel smoothing on correlation