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23181
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location Aschaffenburg, Germany
age 45
visits member for 4 years, 1 month
seen 1 hour ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


Mar
25
comment Why the Black-Scholes formula can be used in the real world?
I think your answer would be even better if you made the difference between "price" and "value" more precise. Otherwise some people could be confused.
Mar
25
comment Why the Black-Scholes formula can be used in the real world?
@MattWolf: Thank you and yes, of course you are right. I added "all else being equal" to the sentence which should make it more precise. What do you think?
Mar
23
comment Why the Black-Scholes formula can be used in the real world?
Having reread my answer I still think it is unfair that it is now rated as "-1" because it addresses the point the OP asked - but I am biased of course.
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@AFK: 1 I don't like your tone, it seems inappropriate and overly aggressive. This should be a professional technical discussion and not some religious debate. 2 The OP asks a very basic question from which we might conclude that his/her background is not prepared to understand sentences like "a hedge under Risk-neutral probability works almost surely" thrown at him/her. This is what I meant by "the answer is unclear. 3 You implied that you downvoted my answer because I downvoted another answer. This is an act of revenge which is generally frowned upon here. I flagged your comment accordingly.
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@AFK: The question was why you could use risk neutral pricing for derivatives in a world that is not risk neutral. I answered that. Did you only read my first paragraph? (btw way I mention "measure" there!) Because "double counting" is vague I wrote a few paragraphs of explanation!
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@Downvoter: Why did you downvote my answer?
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
I think this answer is unclear and doesn't address the question.
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
A very warm welcome to Quant.SE and thank you for your question.
Mar
16
comment Innovative ways of visualizing financial data
+1: threejs is really impressive! I would encourage you to create a new question on your idea about visualizing interacting traders in a network. Perhaps somebody has already done something along those lines.
Mar
14
comment Tools/R code for predicting Dragon-Kings
A very warm welcome to Quant.SE and thank you for your interesting answer!
Mar
9
comment Is CAPM a failure?
Is there anything else we could do for you? Otherwise it would be great if you could accept one of the answers - Thank you :-)
Mar
9
comment Why is Brownian motion merely 'almost surely' continuous?
Is there anything else we could do for you? Otherwise it would be great if you could accept one of the answers - Thank you :-)
Mar
9
comment How to approximate the time to mean reversion for implied volatility
Is there anything else I could do for you?
Mar
9
comment If an option went down in value, how much is due to theta decay and how much due to fall in IV
Did my answer help you?
Mar
2
comment Convert a call spread to a butterfly to mitigate risk
Many of your questions are really about different plays on the option greeks - I think you should really read the references I gave you first and most of your questions will be answered!
Mar
1
comment Why volatility trading is touted as an institutional trade and not a retail trade
Could you give a source?
Feb
27
comment Technical Indicators reference
A very warm welcome to Quant.SE and thank you for your question :-)
Feb
27
comment Demonstration of Ito's correction term/lemma in binomial tree
@Mark Joshi: Would you like to take a stab at it? I would love to see your answer here!
Feb
26
comment correlation for portfolio of stocks
...edited my answer according to your additional request of how to do it in python - hope this helps :-)
Feb
26
comment correlation for portfolio of stocks
A very warm welcome to Quant.SE and thank you for your question :-)