quantitative-finance
41 entries in Optimization & Operations Research.
- Black-ScholesClosed-form European pricingcanonquantitative-finance
- Binomial options pricingCox-Ross-Rubinstein latticecanonquantitative-finance
- Trinomial tree pricingstandalonespecialistquantitative-finance
- Monte Carlo option pricingAntithetic variatescanonquantitative-finance
- Longstaff-SchwartzLeast-squares continuationstandardquantitative-finance
- Finite difference pricingCrank-Nicolson schemestandardquantitative-finance
- Fourier option pricingCarr-Madan FFTspecialistquantitative-finance
- COS methodFourier-cosine expansionspecialistquantitative-finance
- Heston modelStochastic volatilityspecialistquantitative-finance
- SABR modelStochastic-alpha-beta-rhospecialistquantitative-finance
- Local volatilityDupire equationspecialistquantitative-finance
- Implied volatility solvingNewton on Black-Scholesstandardquantitative-finance
- Greeks computationPathwise derivativesstandardquantitative-finance
- Greeks computationLikelihood-ratio methodspecialistquantitative-finance
- Bjerksund-Stenslandstandalonespecialistquantitative-finance
- Mean-variance optimizationMarkowitz frontiercanonquantitative-finance
- Black-LittermanBayesian view blendingstandardquantitative-finance
- Risk parityEqual risk contributionstandardquantitative-finance
- Hierarchical risk parityCluster-based allocationspecialistquantitative-finance
- Kelly portfolioLog-growth maximizationstandardquantitative-finance
- Minimum-variance portfoliostandalonestandardquantitative-finance
- CVaR optimizationRockafellar-Uryasev linearizationspecialistquantitative-finance
- Value at riskHistorical simulationcanonquantitative-finance
- Value at riskVariance-covariance methodstandardquantitative-finance
- Monte Carlo VaRstandalonestandardquantitative-finance
- Expected shortfallstandalonestandardquantitative-finance
- GARCH volatility forecastMaximum-likelihood fitstandardquantitative-finance
- EWMA volatilityRiskMetrics decaystandardquantitative-finance
- Cointegration testEngle-Granger residualsstandardquantitative-finance
- Johansen teststandalonespecialistquantitative-finance
- Ornstein-Uhlenbeck estimationMean-reversion fittingspecialistquantitative-finance
- Pairs trading signalZ-score thresholdstandardquantitative-finance
- Almgren-ChrissOptimal execution schedulespecialistquantitative-finance
- VWAP executionVolume-profile slicingstandardquantitative-finance
- Avellaneda-StoikovInventory-aware quotingspecialistquantitative-finance
- Yield curve bootstrappingstandalonestandardquantitative-finance
- Nelson-SiegelParametric curve fittingspecialistquantitative-finance
- Hull-White modelMean-reverting short ratespecialistquantitative-finance
- Vasicek modelstandalonespecialistquantitative-finance
- Credit default modelingMerton structural modelspecialistquantitative-finance
- Copula dependence modelingGaussian copulaspecialistquantitative-finance