506 reputation
416
bio website nan
location nan
age 24
visits member for 2 years, 8 months
seen May 26 at 6:15

Jul
2
awarded  Curious
Dec
8
awarded  Yearling
Nov
21
comment Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
your right sorry was late and i miss read the question
Nov
19
comment Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
What about Peter Carrs FFT option pricing?
Nov
19
comment At what point does someone using technical analysis become a Quant?
A trader doesn't necessarily have to be a Quant.
Nov
15
comment Analysing FX Data
What you want to look at are interest rates or libor rates not the price of gold.
Oct
25
comment Does HFT make sense in a pro-rata market?
E-mini futures?
Oct
24
comment evaluation of volatility models using loss functions
the Diebold & Mariano tests look very interesting thanks
Oct
24
revised evaluation of volatility models using loss functions
added 96 characters in body
Oct
24
comment evaluation of volatility models using loss functions
I've dug deeper and it seems $R^2log$ maybe something interesting
Oct
24
comment evaluation of volatility models using loss functions
Mincer-Zarnowitz is the standard for evaluating out of sample , how ever the $R^2$ based evaluation isn't suitable for comparison among different volatility forecast models. example, good $R^2$ and poor biased forecast..
Oct
23
revised evaluation of volatility models using loss functions
added 100 characters in body; edited title
Oct
23
comment evaluation of volatility models using loss functions
@Jase I guess the wording makes it seem similar, but this is more specific i'll update
Oct
23
asked evaluation of volatility models using loss functions
Oct
4
comment Can you hedge a derivative with a CASH|spot product or does it have to be another derivative instrument
Assuming you can find a buyer then yes
Sep
22
comment Backtesting - can you buy/sell at open and closing prices?
its a race, first come first serve good luck!
Sep
20
comment FIX- what exactly do repeating groups represent?
give an example of what you mean by "repeating groups"
Sep
6
comment How to price a bond at specified dates in QuantLib
theres no shortcuts, make a wrapper function to simply it for your needs....
Sep
1
comment What are the pros and cons of applying for a patent on a financial model or trading system?
@chrisaycock scholar.google.com/…
Aug
25
comment Example code for “Gauge Invariance, Geometry and Arbitrage” paper
no one will write a code for you unless you pay them....