richardh

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finance PhD student

	3,025 reputation	bio	website		visits	member for	2 years, 3 months
519 badges		location			seen	May 13 at 13:25

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Apr 17	answered	Are two identical time series cointegrated?
Apr 15	answered	Mean reverting Indicator
Apr 7	reviewed	Approve suggested edit on What are the popular methodologies to minimize data snooping?
Apr 5	comment	What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? For those not in the know, what is the acronym CVA? :)
Apr 5	answered	data on historical stock price of bankrupt companies
Apr 5	comment	An equation for European options @Gortaur -- Good call. That should be clearer. If you know that you will have a better valuation $V_{\tau}$ at time $\tau$, then make that valuation now at time $t$.
Apr 5	revised	An equation for European options clarify second equation
Apr 5	revised	penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ my last attempt at fixing
Apr 5	comment	penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ @Gortaur -- +1, I think you're right! Maybe she can take a pic and we can tweak. We can always revert if I've lost something.
Apr 5	revised	penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ edited body
Apr 5	comment	penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ @amber -- It seems this was cut-and-pasted from some homework? Please check that I've typeset correctly. Without some more info, I can't make this out.
Apr 5	revised	penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ still trying to fix math type
Apr 5	reviewed	Approve suggested edit on penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
Apr 5	comment	George Soros models I think most would refer to Soros's "reflexivity" as "mean reversion". I think his point is that there are frictions that delay mean reversion (i.e., the market can bear some mis-pricing before reverting back to the correct level).
Apr 5	answered	An equation for European options
Mar 30	answered	Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Mar 30	comment	How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? I would suggest a college-level course on statistics. 18.05 on MIT's OCW would be a great start. ocw.mit.edu/courses/#mathematics This would clear up your "how many trials" question and really help overall. I think stats is super important to drawing the right conclusions from things that we see.
Mar 25	comment	Covariance for arbitrarily large portfolios FWIW, portfolio variance is $\omega' V \omega$, where $\omega$ is a vector of portfolio weights such that $\sum_i \omega_i = 1$ and $V$ is the variance-covariance matrix for the assets in the portfolio.
Mar 25	comment	What is the “delta” option quoting convention about? @Kinderchocolate -- I guess it's poorly worded. What I mean is that if you own one share (delta = 1) and buy two 50 delta puts (delta = 2 * -0.5), then your net delta is zero.
Mar 24	comment	What are binomial trees and how are they used? This is a bit too broad. We are really pushing for focused questions that are deeper than wikipedia. Please check out Wikipedia and Hull's book on options, futures, and other derivatives, and let us know what if that motivates any more questions.