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bio website litvak.eu/pyfi
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visits member for 2 years, 5 months
seen Jul 9 at 20:13

Feb
4
answered Maximization of CARA utility function: unique solution with an unbounded parameter?
Feb
2
comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby?
@JoshuaUlrich with "amateur traders" I meant "non-institutional traders", i.e. not necessarily unskilled traders, sorry for being not enough precise. I agree that the question was formulated unprofessionally, and if 4 people voted to close it down, then I'm ok with it.
Feb
1
answered How to price a calendar spread option?
Feb
1
comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby?
I wouldn't see it as a complete off topic. Comparing with institutional investors, amateur traders have another working framework: they have essential transaction costs, they are more risk-averse etc. i.e. there are some theoretical questions behind to be answered (for instance, how does mean-variance portfolio strategy looks like under transaction costs restriction)
Jan
30
awarded  Teacher
Jan
30
awarded  Supporter
Jan
29
answered How to obtain true probabilities from Black-Scholes?