Stack Exchange

Brian B

United States

http://www.bachelierfinance.org

Worked in a lot of quant areas

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Top Questions
Top Answers
45
A simple formula for calculating implied volatility?
quant.stackexchange.com

33
How to derive the implied probability distribution from B-S volatilities?
quant.stackexchange.com

28
What causes the call and put volatility surface to differ?
quant.stackexchange.com

28
Correlation matrix from Covariance matrix
math.stackexchange.com

25
How to quickly estimate a lower bound on correlation for a large number of stocks?
quant.stackexchange.com

25
When to use Monte Carlo simulation over analytical methods for options pricing?
quant.stackexchange.com

25
Adjective for someone who doesn't react when someone insults them?
english.stackexchange.com

22
What is the best way to "fix" a covariance matrix that is not positive semi-definite?
quant.stackexchange.com

21
Are tyre repair kits a viable alternative for a spare wheel?
mechanics.stackexchange.com

18
How do you explain the volatility smile in the Black-Scholes framework?
quant.stackexchange.com

17
Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
quant.stackexchange.com

17
Switching from Matlab to Python for Quant Trading and Research
quant.stackexchange.com

17
Calculating Slopes in Numpy (or Scipy)
stackoverflow.com

16
How do you estimate the volatility of a sample when points are irregularly spaced?
quant.stackexchange.com

15
Why use swap-rates in a yield curve?
quant.stackexchange.com

15
Example of how to use PyLZMA
stackoverflow.com

14
Going to Python from R, what's the python equivalent of a data frame?
stackoverflow.com

14
Why does implied volatility show an inverse relation with strike price when examining option chains?
quant.stackexchange.com

13
How does volatility affect the price of binary options?
quant.stackexchange.com

12
Why gamma for ATM option decreases as volatility increases
quant.stackexchange.com

12
What tools are used to numerically solve differential equations in Quantitative Finance?
quant.stackexchange.com

11
Why are GARCH models used to forecast volatility if residuals are often correlated?
quant.stackexchange.com

11
Are counterfeit shares and the "short ladder attacks" purporting to use them, real?
money.stackexchange.com

11
How to get greeks using Monte-Carlo for arbitrary option?
quant.stackexchange.com

11
How to extrapolate implied volatility for out of the money options?
quant.stackexchange.com

10
Definition of Return of A Long/short Portfolio
quant.stackexchange.com

10
Is Vasicek risk neutral?
quant.stackexchange.com

9
Simple model for option premium (for covered call simulation)?
quant.stackexchange.com

9
What type of investor is willing to be short gamma?
quant.stackexchange.com

9
How to estimate probability of default from bond prices?
quant.stackexchange.com

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