Stack Exchange

Kermittfrog

Germany

Working in risk / market risk.

top accounts reputation activity subscriptions
Top Questions
Top Answers
12
Expectation of exponential of 3 correlated Brownian Motion
quant.stackexchange.com

11
Expected value and Variance of a stopped random process
quant.stackexchange.com

11
If the spread between two assets is an OU process, what processes do the two assets follow?
quant.stackexchange.com

8
Inverse Covariance Matrix Transformation from CAPM
quant.stackexchange.com

8
Complex numbers in VBA
quant.stackexchange.com

7
How to compute par yield from zero rate curve?
quant.stackexchange.com

7
Contribution of an asset's variance to portfolio variance
quant.stackexchange.com

7
utility function and CAPM in portfolio theory
quant.stackexchange.com

7
Is duration of a bond a convex function?
quant.stackexchange.com

6
Calculation of the Transition matrix for Credit rating
quant.stackexchange.com

6
Why isn't the asset with minimum variance given a 100% portfolio weight?
quant.stackexchange.com

6
Does fear or greed drive option prices?
quant.stackexchange.com

6
Effect of Implied volatility on option delta
quant.stackexchange.com

6
How to compute $E[W(T)\exp(W(T)]$
quant.stackexchange.com

5
What is actually going on in Monte-Carlo simulation for Mortgage backed securities?
quant.stackexchange.com

5
How to compute forward swap rates?
quant.stackexchange.com

5
Option on an Option
quant.stackexchange.com

5
Closed-form analytical solution for the variance of the minimum-variance portfolio?
quant.stackexchange.com

5
Derivation of mean-variance portfolio weights as closed-form analytical solution from Lagrangean equations
quant.stackexchange.com

5
Maximum skewness portfolio solution derived from its Lagrangean formulation
quant.stackexchange.com

5
Curve fitting under different regions and stitching
quant.stackexchange.com

5
Compounded returns over $n$ days
quant.stackexchange.com

5
Montecarlo pricing
quant.stackexchange.com

5
Advice for automating swap curve construction
quant.stackexchange.com

5
Terminal wealth distribution from dollar cost averaging
quant.stackexchange.com

5
Delta Hedging with a Different Underlying
quant.stackexchange.com

5
Markowitz portfolio with factor/position constraints
quant.stackexchange.com

5
Compute delta from the option price without vol input
quant.stackexchange.com

5
Covariance Matrix by Multi-Factor Model
quant.stackexchange.com

5
Covariance Between Two Frontier Portfolios
quant.stackexchange.com