379 reputation
33
bio website fermatslastspreadsheet.com
location London
age 42
visits member for 2 years, 9 months
seen Aug 6 at 19:49

Working in quantitative finance: started in fixed-income exotics trading, became a quant, ventured into structuring, back as a quant.

Have a look at my blog!


Sep
22
awarded  Necromancer
Jan
19
awarded  Yearling
Sep
7
revised What are some useful approximations to the Black-Scholes formula?
Minor re-ordering of a paragraph.
May
28
revised What are some useful approximations to the Black-Scholes formula?
small typo correction
May
27
revised What are some useful approximations to the Black-Scholes formula?
small typo correction
May
25
revised What are some useful approximations to the Black-Scholes formula?
small typo correction
May
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awarded  Necromancer
May
23
revised What are some useful approximations to the Black-Scholes formula?
deleted 13 characters in body
Apr
9
revised What are some useful approximations to the Black-Scholes formula?
add link to blog
Apr
8
answered What are some useful approximations to the Black-Scholes formula?
Mar
13
answered Is it possible to demonstrate that one pricing model is better than another?
Feb
7
answered What functional form describes the implied volatility curve?
Feb
7
comment What are some useful approximations to the Black-Scholes formula?
Good answer. I wonder if there are any approximations for options that are not at the money? My simple approach would be to assume a delta of 50% for the ATM call option and imply a price for the non ATM option as Option = ATM Price + 0.5*(Strike - Forward). Anyone got anything better?
Feb
7
comment What are the key risks to the quantitative strategy development process?
Nice post Paul, very wise words! I think you should add a link to your article on swap spreads, as a real example showing how you carried out an analysis for a trading idea. I really enjoyed reading it and have learnt a lot, and others will too I am sure.
Feb
7
revised Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
small typo correction
Jan
31
revised How to obtain true probabilities from Black-Scholes?
corrected a couple of spelling mistakes
Jan
31
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
@TalFishman Both of your points are fair, but your summary of my answer is not. I do not propose that we `give up'. Au contraire, I would encourage the quant community to get out there and talk to their traders; we quants generally don't know enough about what traders do (there are questions in quant.stackexchange that express this frustration). Once we get a better understanding, let's put it down in mathematics.
Jan
30
answered Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Jan
30
answered How to obtain true probabilities from Black-Scholes?
Jan
30
revised Looking for a recommendation for a real life volatily trading book.
corrected a couple of spelling mistakes