346 reputation
110
bio website codeperfect.biz
location London, United Kingdom
age 31
visits member for 3 years, 1 month
seen Oct 14 at 20:23

Student - Quant Finance


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
Jan
13
reviewed Leave Open Annualized Covariance
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
Jan
7
comment What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
Any comments for downvote ?!
Jan
6
answered What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
Jan
5
revised Yield of a risky bond
Incorrect Answer
Jan
5
comment Yield of a risky bond
let us continue this discussion in chat
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.
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.
Jan
4
answered Yield of a risky bond
Jan
2
revised What are the best Journals & Conferences in Quantitative Finance?
Moved the link to a hyperlink
Jan
2
suggested suggested edit on What are the best Journals & Conferences in Quantitative Finance?
Dec
25
awarded  Yearling