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BigONotation
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5 Questions

Score Activity Newest Views
18 votes
3 answers
18k views

Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

  • monte-carlo
  • value-at-risk
  • portfolio
asked Jun 8, 2014 at 18:07
12 votes
4 answers
5k views

Why does it take so many lines of code to price even the simplest of options with QuantLib

  • options
  • pricing
  • quantlib
asked Oct 5, 2015 at 8:49
7 votes
1 answer
5k views

When pricing options, which day counting conventions should be used to calculate time to maturity?

  • option-pricing
asked Jan 22, 2017 at 21:55
1 vote
1 answer
529 views

How to calculate the VaR of a portfolio containing Stocks and ETFs?

  • value-at-risk
asked Jan 30, 2017 at 21:28
0 votes
1 answer
2k views

Is it OK to consider the expected return is zero for stocks when calculating VaR over a short horizon?

  • value-at-risk
  • expected-return
asked Sep 19, 2015 at 22:45
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