334 reputation
18
bio website codeperfect.biz
location London, United Kingdom
age 31
visits member for 2 years, 11 months
seen 22 hours ago

Student - Quant Finance


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
May
10
comment Is the binomial model wrong?
If price of underlined changes , does it change Option Price ? Yes rt. So without looking at Binomial or Black Scholes or "my own model" dv/ds != 0 . So if thats the case then going backwards what you defined as detla hedge for Binomial model is incorrect.
Jan
30
awarded  Supporter
Sep
15
awarded  Teacher
Sep
15
answered Is F# used in trading systems?