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visits member for 3 years, 10 months
seen Nov 15 at 20:05

Jul
28
comment What's the difference between volatility and variance?
do you know what you are talking about or just answering randomly ?
Jul
18
awarded  Yearling
Apr
9
answered Trading spot volatility
Apr
9
comment fair price for a call option
if I buy, 0 is fair. if I sell, historical vol of 2008 is fair.
Apr
9
comment Derivation of a ML estimator
I was in the same situation ;) As a cure, I recently swallowed Horn, Matrix Analysis up to the middle of the book. The other reference is Golub Matrix computation, did not try it. I think Linear Algebra is never a let down. it's a friend for life, never a waste to master. You can try to jump to the relevant section of block manipulation (in chapter of Horn) and work any concept backward, I think it is very self contained.
Apr
9
comment Derivation of a ML estimator
what you added is a special case with block diagonal matrix. I know it's painful, but you should take a few days to get into the comfort zone, this basic linear algebra will help you long time
Apr
9
comment Derivation of a ML estimator
read about block inversion/rank one update, and apply... :) Look at the Horn Johnson or Golub
Apr
9
comment Derivation of a ML estimator
This is basic linear algebra, notably block matrix inversion, and more specifically rank one update.
Apr
9
answered hedging with known volatility
Mar
20
comment Call option on a Mutual Fund
Afaiu if you can be delta neutral (replication), it is warranted to use it for pricing.... Beside you can in principle at least always short by transparency...
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?
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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?
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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?