339 reputation
18
bio website codeperfect.biz
location London, United Kingdom
age 30
visits member for 2 years, 7 months
seen 38 mins ago

Student - Quant Finance


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
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
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.
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
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.
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
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
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
21
comment portfolio optimization from empirical return distributions
maybe "only" was not right word.
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
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.