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


Dec
17
answered What are the best Journals & Conferences in Quantitative Finance?
Dec
14
answered Annualized Covariance
Nov
26
awarded  Commentator
Nov
26
comment Does put-call parity hold for a compound option with underlying American option?
Call Put parity always hold in a frictionless market. In case of compound options Call-On-Put + PV(K) = Put + Put-on-put . If the parity does not hold anywhere it is presence of arbitrage opportunity and in that case under efficient market hypothesis the market quickly adjusts the price and arbitrage vanishes.
Nov
26
awarded  Critic
Nov
22
comment How to simulate stock prices using variance gamma process?
@chrisaycock Sorry I am new to answering here. Will try this in future. Apologies if it caused any problems
Nov
22
awarded  Editor
Nov
22
comment How to simulate stock prices using variance gamma process?
Sorry , totally misunderstood . Edited based on what i know about Levy's process models
Nov
22
revised How to simulate stock prices using variance gamma process?
Apologies for misunderstanding the question
Nov
22
answered How to simulate stock prices using variance gamma process?
Nov
21
comment portfolio optimization from empirical return distributions
maybe "only" was not right word.
Nov
20
answered portfolio optimization from empirical return distributions
Nov
19
comment R code for Ornstein-Uhlenbeck process
use rseek in Cran or look at pcweicfa.blogspot.co.uk/2010/08/… or nunn.rc.fas.harvard.edu/groups/pica/wiki/70613/…
Nov
16
awarded  Autobiographer
Nov
16
comment Missing factor in the factor model
There is not enough information for me to answer it but - your statement One of the factors alone accounts for an R squared of 0.3 to 0.4 for many single periods that has surprised me. Statistically it is not surprising and I need to know more about the factor and what you are modelling and your assumptions are to pin point if there is anything wrong with it If you think it is important factor than have it by all means. See the outliers and try to analyse them.
Nov
15
comment Why is the CAPM securities market line straight?
My point , you want a curve add higher powers it you can justify. Everyone knows CAPM is not sufficient Risk vs Return gauge.
Nov
15
comment Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
Both made lots of Money and gave away to charity. So I like both. I don't know if there is a way to prove who has better strategy neither I think it is possible to have some way to do so.
Nov
15
answered Why is the CAPM securities market line straight?
Aug
7
answered FpML class generation gives error
May
10
answered GJR-GARCH Model In R