nicolas

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	361 reputation	bio	website		visits	member for	2 years, 3 months
16 badges		location			seen	Dec 28 '12 at 17:24

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Jun 30	answered	Local Volatility vs. Stochastic Volatility
Mar 28	comment	Non-SQL methods for high-frequency accounting? @stevegt it sounds interesting. I am convinced there are many venues missing to make things we use everyday tradable and allow for smoother life and/or fun. the fact that you are in the valley makes me think it relates to one idea I had ;)
Mar 26	comment	Non-SQL methods for high-frequency accounting? Hi I realize it is not directly linked to the question, but you should realize that real option are just corporate bs, and to my knowledge don't serve any actual purpose beside sustaining said bsters. Indeed, a fundamental flaw of them is that if you are long own option, you are short a put on all your competitors move. Now first of all that is never mentioned. And 2nd of all, I don't see htf you can delta hedge such option, so tion pricing has no say in that. That being said the metaphor might be useful to convey some idea to potential customers of your platform
Mar 13	comment	How to quickly estimate a lower bound on correlation for a large number of stocks? i think it has a name, sometimes, like "law of the triangle" or something similar. look at fx volatility, it has exactly the same problem all the times, since you correlate currency pairs, those consistency conditions appear naturally
Mar 11	revised	Is it possible to demonstrate that one pricing model is better than another? added 141 characters in body
Mar 11	comment	Is it possible to demonstrate that one pricing model is better than another? @athos yeah the last two ones are a joke. But actually, semi serious. the name is a joke, but some people might appreciate the concept. that's why you have cops like risk department, who is sometimes allowed to make its work, and regulators, who, if they knew what to do and where to look, might be doing theirs too.
Mar 11	answered	Is it possible to demonstrate that one pricing model is better than another?
Mar 7	revised	Vanna - any practical uses for risk or pnl attribution purposes? added 1 characters in body
Mar 3	comment	Vanna - any practical uses for risk or pnl attribution purposes? And what do you think risk reversal is made of if not vanilla ?
Mar 3	answered	Vanna - any practical uses for risk or pnl attribution purposes?
Mar 3	comment	Vanna - any practical uses for risk or pnl attribution purposes? how does that relate to the question ?
Mar 2	comment	What are the risk factors in analysing strategies? @user508 you are amazing
Mar 2	comment	What are the risk factors in analysing strategies? very interesting. In the langage of this presentation, I was then referring to isolating risk factors, contained within the mean random path performance diferential.
Feb 29	awarded	Critic
Feb 29	comment	How to interpolate gaps in a time series using closely related time series? I disagree with that. if you have more information, because you are runnning your calibration after the date, you should include it. causality is only essential for running trading strategy, but is not relevant for calibrating.
Feb 1	awarded	Yearling
Jan 27	comment	What's the difference between volatility and variance? So what is the difference from your pov ?
Jan 27	comment	What's the difference between volatility and variance? @strimp099 yes, variance is additive, and is an easier, less error prone way of manipulating additive quantities. but then standard deviation is square root additive. and then standard deviation is multiplicative. bottom line is, the difference is technical, not conceptual.
Jul 16	comment	Lib for Arbitrage-Free Smoothing of Implied Volatility Surface? it is difficult.... and noisy. but totally doable actually. you just need to project onto a parametric set which by construction is arbitrage free (thats one way to do it). but hey his question is answered, no ?
Jul 16	comment	Lib for Arbitrage-Free Smoothing of Implied Volatility Surface? I dont mean to convey the idea that local vol arb does not exist. only that each theory has its limit. for the less gifted among you, as a mechanical engineer, I wont use formula for equilibrium when there is a air density which is less than a certain level. then it becomes particle physics. neither would one apply classical mechanics to explain laser. I wont use equilibrium formula for out of equilibrium phenomena. each theory has a domain of definition, and local vol arbitrage too. if your tools cant deal with that you should change your tools, and not the vol surface.