335 reputation
18
bio website codeperfect.biz
location London, United Kingdom
age 30
visits member for 2 years, 10 months
seen 2 days ago

Student - Quant Finance


Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
"Use one instead of other because both are small" . This is not the reason unfortunately
Apr
14
awarded  Student
Apr
14
comment Sampling problem in portfolio optimization
yes exactly this is what I want to achieve
Apr
14
comment Sampling problem in portfolio optimization
Updated the questions . No of bonds are 1000. (not 1000k) . I have already done the filtering you mentioned in A . if we reduce it to 10 bonds even then I want to sample either 1,2,..all 10 bonds such as the constraints and objective is satisfied. Thus I can reduce my problem size but I am stuck with best sampling process to avoid brute force all combinations.
Apr
14
revised Sampling problem in portfolio optimization
number of sec
Apr
14
asked Sampling problem in portfolio optimization
May
29
revised Statistical models for exchange rates?
links moved to hyperlink text for readability
May
29
answered What is the difference between a recovery swap and a CDS?
May
29
suggested suggested edit on Statistical models for exchange rates?
Apr
29
answered Black Scholes Formula for Collar Option
Apr
29
comment Black Scholes Formula for Collar Option
@SRXX will do when I reach home. Not a good day at work so far
Apr
29
comment Black Scholes Formula for Collar Option
@Geraldine - You need to break the collar down into Calls + Puts + Underlying Asset and price each. BS will give you price for calls and puts.
Apr
29
comment Black Scholes Formula for Collar Option
@edouard Collar is Long Put , short call , long underlying.
Apr
15
answered Greeks of Basket
Apr
15
comment Greeks of Basket
Yes portfolio greeks are eaqul to sum of greeks of underlined.
Apr
8
comment Stochastic modeling of stock price process
@SRKX Well, GBM is not really widely accepted anymore for most of sophisticated investors". Can you shed some light on what is and how are sophisticated investors classified in your definition
Apr
4
comment Stochastic modelling of derivatives on dividends
@Richard ATM I dont have time to do anymore on this. I will wait for someone to cook the solution
Apr
4
comment Stochastic modelling of derivatives on dividends
@Richard as long as you can synthically replicate the other securities the meathod should work.
Apr
3
answered Stochastic modelling of derivatives on dividends
Jan
13
awarded  Custodian