network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 5 months |
| seen | Apr 4 at 1:10 | |
| stats | profile views | 55 |
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May 8 |
awarded | Notable Question |
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Feb 24 |
accepted | Taylor series expansion (Volatility Trading book) explanation sought |
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Feb 24 |
comment |
Taylor series expansion (Volatility Trading book) explanation sought Ok, I finally got it phew. Thanks |
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Feb 23 |
comment |
Taylor series expansion (Volatility Trading book) explanation sought Thanks. +1 for the effort. I now get the first part of the derivation. I am trying to understand the theta derivation (i.e. derivation wrt time), and how that leads to the final equation presented in 1.3 |
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Feb 21 |
revised |
Taylor series expansion (Volatility Trading book) explanation sought Added latex formatting |
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Feb 21 |
asked | Taylor series expansion (Volatility Trading book) explanation sought |
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Nov 30 |
awarded | Yearling |
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Nov 28 |
accepted | Calculating portfolio VaR for (custom) leveraged products |
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Nov 22 |
comment |
Calculating portfolio VaR for (custom) leveraged products Thanks for the link. The assets I am trading are equity, equity indices, commodities and forex. I suspect that for equity (and equity indices), I can model returns using a GBM model?. Regarding implementing f(x), I'm not sure I understand what you mean - could you please clarify what further information you require? |
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Nov 22 |
comment |
Calculating portfolio VaR for (custom) leveraged products Thanks for the answer. I could do with a little more detail however. In particular, I am not sure which model to use to generate future returns - a suggestion would be helpful. Additionally, I am not sure how to implement f(x). Please clarify. |
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Nov 20 |
comment |
Calculating portfolio VaR for (custom) leveraged products @BobJansen: My MC fu is a bit rusty. Could you outline the main steps involved if I decide to go the MC route?. I may implement the functionality in a C++ shared library, which I would then use via Excel. |
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Nov 20 |
asked | Calculating portfolio VaR for (custom) leveraged products |
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Oct 24 |
awarded | Popular Question |
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Aug 31 |
awarded | Commentator |
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Aug 31 |
comment |
Is there any evidence that an option delta approximates ITM expiry probability? Thanks for the clarification. I do recall my maths professor talking about the change of numaire under a R.N measure. Divergence between theory and practise again - I guess a lot of straddle traders are sitting on a time bomb :/. As an aside, its could you explain the first integral? I have not encountered it before. I can understand integrating asset price from K to +inf but it is not clear why you are 'weighting' the probabilities by 1. Also, I don't see how this gives us the delta (sorry, been a while since I took calculus ;) ) |
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Aug 31 |
asked | Multi asset option portfolio risk management (greeks and FX exposure) |
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Aug 31 |
asked | Is there any evidence that an option delta approximates ITM expiry probability? |
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Jul 31 |
accepted | How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices? |
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Jul 30 |
revised |
Interpreting QuantLlib implied volatility numbers added 58 characters in body |
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Jul 30 |
asked | Interpreting QuantLlib implied volatility numbers |
