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visits member for 3 years, 6 months
seen May 5 at 4:24

Jul
14
awarded  Notable Question
Jul
2
awarded  Curious
May
5
comment What is the main reasons to use Miltersen & Schartz (1998) model for commodity futures options
Note that it is a very widely cited paper, not a crazy model coming from nowhere
May
2
asked What is the main reasons to use Miltersen & Schartz (1998) model for commodity futures options
Apr
4
revised How to compare different volatility measures?
otherwise it would be off topic
Apr
3
comment What are some different methods for calculating hedge ratios for multiple leg spreads?
Do you mean "hedge ratio"?
Apr
3
comment Why is delta-hedging of ATM options near expiry difficult to do?
Why is this closed? There is a scientific explanation to this question, as the delta of ATM options close to expiry becomes binary.
Apr
3
answered How can I use PCA to determine spread ratios for multiple legs?
Apr
3
comment What are some different methods for calculating hedge ratios for multiple leg spreads?
which "ratios" do you mean?
Apr
3
revised what is the vol in the BS formula?
added 65 characters in body
Apr
3
asked what is the vol in the BS formula?
Feb
1
awarded  Yearling
May
26
awarded  Popular Question
May
13
awarded  Popular Question
Feb
1
awarded  Yearling
Sep
19
awarded  Popular Question
Aug
15
awarded  Nice Question
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
Thank you very much, this is very insightful
Aug
14
accepted portfolio optimisation with VaR (or CVaR) constraints
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
it seems that even though CVXOPT is open source, it only contains interfaces to the solvers in MOSEK, which is not open source.