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Feb
21
revised Taylor series expansion (Volatility Trading book) explanation sought
Added latex formatting
Feb
21
asked Taylor series expansion (Volatility Trading book) explanation sought
Nov
30
awarded  Yearling
Nov
28
accepted Calculating portfolio VaR for (custom) leveraged products
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?
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.
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.
Nov
20
asked Calculating portfolio VaR for (custom) leveraged products
Oct
24
awarded  Popular Question
Aug
31
awarded  Commentator
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 ;) )
Aug
31
asked Multi asset option portfolio risk management (greeks and FX exposure)
Aug
31
asked Is there any evidence that an option delta approximates ITM expiry probability?
Jul
31
accepted How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Jul
30
revised Interpreting QuantLlib implied volatility numbers
added 58 characters in body
Jul
30
asked Interpreting QuantLlib implied volatility numbers
May
27
revised Historical volatility from close prices (Haug pg 166)
deleted 229 characters in body
May
27
asked Historical volatility from close prices (Haug pg 166)
May
10
comment VaR implementation using quantlib?
+1 for the link. I'll download it and take a look at it for some ideas. As an aside, our portfolios are largely non-linear, we trade options almost exclusively, but I hope your codebase could be a useful starting point. Thanks
May
7
accepted VaR implementation using quantlib?