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Quantitative Finance Collector is a blog on Quantitative finance analysis, financial engineering methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management. Random thoughts on financial markets and personal staff are posted at the sub personal blog.

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[Others] Algorithmic and Quantitative Trading Online Videos abiao 2017/08/17
[Paper Review] Selected Interesting Papers from MFA Conference abiao 2016/03/08
[Paper Review] Why doesn’t the choice of performance measure matter? abiao 2015/12/08
[Code » Other] Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders abiao 2015/12/07
[Paper Review] CDS Inferred Stock Volatility abiao 2015/11/13
[Paper Review] Recent developments of option pricing models abiao 2015/03/12
[Paper Review] Sell in May and Go Away: Evidence from China abiao 2014/10/27
[Code » R/Splus] Performance of Trend Factor in Chinese market abiao 2014/03/10
[Code » R/Splus] A simple strategy between A-shares and H-shares abiao 2014/02/03
[Review] Thinknum Platform abiao 2014/01/22
[Others] Bloomberg Businessweek 15% Off Coupon abiao 2014/01/04
[Paper Review] Time-Varying Fund Manager Skill abiao 2013/07/28
[Code » Matlab] European Option Price with Excess Skewness and Kurtosis abiao 2013/05/10
[Paper Review] Liquidity-Driven Dynamic Asset Allocation abiao 2013/05/01
[Paper Review] Mutual Fund's R2 as Predictor of Performance abiao 2013/02/15
[Paper Review] A Constant-Volatility Framework for Managing Tail Risk abiao 2013/01/31
[Paper Review] Worst-Case Value at Risk of Nonlinear Portfolios abiao 2013/01/21
[Others] 7 Most Popular Business Degree abiao 2013/01/07
[Others] A Guide to Cash for Gold abiao 2013/01/01
[Code] Fourth Set: Basel III counterparty credit risk - Frequently asked questions abiao 2012/12/28
[Paper Review] How to Combine Long and Short Return Histories Efficiently abiao 2012/12/19
[Others] The Road to Wealth - Top 10 Billionaires under 60 abiao 2012/12/17
[Others] A CRO guide to deal with financial amnesia abiao 2012/12/12
[Others] Thanksgiving 2012: A Famous Temple in China abiao 2012/11/22
[Paper Review] Basel III counterparty credit risk - Frequently asked questions abiao 2012/11/21
[Code » Code site] Run My Code Portal Introduction abiao 2012/11/09
[Paper Review] A Fully Integrated Liquidity and Market Risk Model abiao 2012/10/29
[Paper Review] A Stochastic Volatility Model with Random Level Shifts and its Applications to S&P 500 and NASDAQ Return Indices abiao 2012/10/11
[Paper Review] Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis abiao 2012/09/29
[Paper Review] CVA and Wrong-Way Risk abiao 2012/08/20
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