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| bio | website | codeperfect.biz |
|---|---|---|
| location | London, United Kingdom | |
| age | 29 | |
| visits | member for | 1 year, 8 months |
| seen | yesterday | |
| stats | profile views | 81 |
Student - Quant Finance
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Apr 29 |
answered | Black Scholes Formula for Collar Option |
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Apr 29 |
comment |
Black Scholes Formula for Collar Option @SRXX will do when I reach home. Not a good day at work so far |
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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. |
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Apr 29 |
comment |
Black Scholes Formula for Collar Option @edouard Collar is Long Put , short call , long underlying. |
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Apr 15 |
answered | Greeks of Basket |
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Apr 15 |
comment |
Greeks of Basket Yes portfolio greeks are eaqul to sum of greeks of underlined. |
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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 |
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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 |
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Apr 4 |
comment |
Stochastic modelling of derivatives on dividends @Richard as long as you can synthically replicate the other securities the meathod should work. |
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Apr 3 |
answered | Stochastic modelling of derivatives on dividends |
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Jan 13 |
awarded | Custodian |
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Jan 13 |
reviewed | Leave Open Annualized Covariance |
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Jan 8 |
comment |
How to fit ARMA+GARCH Model In R? the link here has auto.arima() doumentation cran.r-project.org/web/packages/forecast/forecast.pdf |
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Jan 7 |
comment |
What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process? Any comments for downvote ?! |
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Jan 6 |
answered | What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process? |
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Jan 5 |
revised |
Yield of a risky bond Incorrect Answer |
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Jan 5 |
comment |
Yield of a risky bond let us continue this discussion in chat |
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Jan 5 |
comment |
Yield of a risky bond @freddy I am not objecting existence of models that produce yield curve. When I need to get yield and I have price I use what I mentioned above. When I need to construct one I used the "MODELS" you are mentioning depending on which one suits my requirement. The questions what YEILD of RISKY bond as mentioned in accepted answer I mentioned that yield does not carry notion of risk I too mentioned "No matter what is the risk profile of the issuer the yield is computed as". This is not about yield curve construction. |
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Jan 5 |
comment |
Yield of a risky bond @freddy If you have yield then you can get price by discounting coupon rate. But how do you construct the yield curve ? You use a intrest rate model. That is what I mentioned. |
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Jan 4 |
answered | Yield of a risky bond |
