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quant_dev
  • Member for 13 years, 7 months
  • Last seen more than 3 years ago
18 votes
3 answers
3k views

How to detect regime change when estimating asset correlation from historical time series?

16 votes
3 answers
3k views

Rate interpolation in Libor Market Model

14 votes
2 answers
1k views

Can you fully hedge an option in the presence of counterparty risk?

13 votes
3 answers
8k views

Quanto CDS modeling

13 votes
1 answer
453 views

Cost function for hedging portfolio

13 votes
3 answers
26k views

What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?

11 votes
2 answers
934 views

VaR for portfolio of funds

9 votes
1 answer
3k views

How do I estimate the parameters of an MA(q) process?

9 votes
1 answer
773 views

Correlation skew mapping

8 votes
2 answers
792 views

Stochastic recovery rates

8 votes
3 answers
2k views

Pricing callable range accruals on spreads

7 votes
1 answer
314 views

Modeling liquidity effect on option prices

5 votes
1 answer
1k views

What is a Structurer?

5 votes
1 answer
2k views

Trade execution in HFT - role of quants

3 votes
1 answer
1k views

Risk-free rate for ex-post evaluation of investment strategy

3 votes
1 answer
213 views

Risk-neutral models for rights issues