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| bio | website | codeperfect.biz |
|---|---|---|
| location | London, United Kingdom | |
| age | 29 | |
| visits | member for | 1 year, 8 months |
| seen | 19 hours ago | |
| stats | profile views | 81 |
Student - Quant Finance
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Apr 29 |
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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 |
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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 |
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Black Scholes Formula for Collar Option @edouard Collar is Long Put , short call , long underlying. |
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Apr 15 |
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Greeks of Basket Yes portfolio greeks are eaqul to sum of greeks of underlined. |
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Apr 8 |
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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 |
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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 |
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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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Jan 8 |
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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 |
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What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process? Any comments for downvote ?! |
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Jan 5 |
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Yield of a risky bond let us continue this discussion in chat |
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Jan 5 |
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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 |
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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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Nov 26 |
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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. |
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Nov 22 |
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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 |
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Nov 22 |
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How to simulate stock prices using variance gamma process? Sorry , totally misunderstood . Edited based on what i know about Levy's process models |
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Nov 21 |
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portfolio optimization from empirical return distributions maybe "only" was not right word. |
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Nov 19 |
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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/… |
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Nov 16 |
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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. |
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Nov 15 |
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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. |
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Nov 15 |
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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. |
