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Feb
2
comment Impact on bid/offer due to volume/size of trades placed
Sorry but I dont know what you mean by "market microstructure research" . Also edited the question to demostrate that the question is not asking "if there will be effect" in spreads due to large volume trade or announcement effect but "What" will be approx change.
Jan
21
comment What are the parameters of the function PORTVAR in Matlab?
@SRKX understood
Jan
21
comment What are the parameters of the function PORTVAR in Matlab?
@SRKK , It was same as the comments by John . the use of cov function is already mentioned there so I thought it was redundant
Nov
26
comment How to estimate CVA by valuing a CDS of the counterparty?
"I don't know how to set up the CDS deal " what do you mean by this. Setup where. I suggest you read somliterature on this. Spreads can give estimate of def. prob but you need to know recovery rate, the undelying derivatives Cashflows (for expected Exposure).
Nov
18
comment Relation between IV and SD
Please write Implied Vol(IV) and Standard Deviation(SD) at least once in the question. Having too many acronyms is quite off putting.
Oct
29
comment SABR calibration: simple explanation and implementation
@StudentT .. and resources as well. The first link will give "simple explanation" . If you have a better one please post as answer
Oct
6
comment Portfolio Turnover Constraint
I have to unmark my own answer. I dont think it is a good solution. Reading through few papars on how to implment this propely. Will update if I complete.
Oct
2
comment Portfolio Turnover Constraint
the constrain is what I am trying to implement. I will try fmincon and update
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
"Use one instead of other because both are small" . This is not the reason unfortunately
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 ?!