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TheBridge
  • Member for 13 years, 3 months
  • Last seen more than a month ago
  • Paris, France
27 votes

Paradoxes in quantitative finance

20 votes

What concepts are the most dangerous ones in quantitative finance work?

19 votes
Accepted

Local Volatility vs. Stochastic Volatility

15 votes
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What is Ito's lemma used for in quantitative finance?

14 votes

What is the difference between the methods for calculating VaR?

12 votes
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What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?

12 votes
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How to extrapolate implied volatility for out of the money options?

11 votes

How to use Itô's formula to deduce that a stochastic process is a martingale?

11 votes
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Monte carlo methods for vanilla european options and Ito's lemma.

9 votes

How useful is Markov chain Monte Carlo for quantitative finance?

9 votes

What is a stationary process?

8 votes
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What approaches are there for stress testing a portfolio?

8 votes

Are there any new Option pricing models?

8 votes

What is a martingale?

8 votes

Skew arbitrage: How can you realize the skewness of the underlying?

7 votes
Accepted

What is a cubature scheme?

7 votes
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The application of quantitative finance in sports betting

7 votes

Cross Currency Swap Pricing in nowadays environment

6 votes
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Rate interpolation in Libor Market Model

6 votes
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How do practitioners use the Malliavin calculus (if at all)?

6 votes
Accepted

How to compute the Value-at-Risk of the sum of two dependent lognormal random variables?

6 votes

What programming languages are most commonly used in quantitative finance?

6 votes

At what point does someone using technical analysis become a Quant?

5 votes
Accepted

Simulating conditional expectations

5 votes

Are BSDE's used in practice?

4 votes
Accepted

Non-arbitrage theory and existence of a risk premium

4 votes

Monte Carlo simulating Cox-Ingersoll-Ross process

4 votes

What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?

4 votes

Reference on Markov chain Monte Carlo method for option pricing?

4 votes

What is the forward rate for a Black-Karasinski interest rate model?