575 reputation
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location Frankfurt
age
visits member for 2 years, 9 months
seen 4 hours ago

Oct
25
answered Historical data resources for Indian market
Oct
25
answered Understanding how to calculate tracking error
Oct
20
awarded  Tumbleweed
Oct
13
asked Price of a composite option
Aug
22
reviewed No Action Needed Markit PMI vs ISM PMI
Jul
25
comment Opposite of Tail-Risk Hedge (Established Vocabulary)
Thanks for your ideas so far. It seems some clarification is necessary: The focus should lie on protective puts near the money, as opposed to far out of the money, which only hedges tail risk. For now, I'm using the term "near-the-money hedge". One could also imagine other instruments, e.g. cds payer swaptions, to implement it.
Jul
22
asked Opposite of Tail-Risk Hedge (Established Vocabulary)
Jun
4
answered Determining optimal trading signals (buy/sell) from past data
Jan
30
awarded  Yearling
Jan
27
comment How are the Hamilton–Jacobi–Bellman equations used to solve optimal control problems?
Bjoerk - Arbitrage Theory in Continuous Time describes this extensively in Chapter 19.
Oct
1
awarded  Custodian
Oct
1
reviewed No Action Needed Exercising an American call option early
Sep
25
comment Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?
I see no reason you shouldn't be able to apply it to any market, provided you have the data. However it is up to you to test your results; we do not provide help for developing trading strategies.
Sep
23
reviewed Reviewed Why is the Put-Call Symmetry model dependent?
Sep
22
comment Is there a contradiciton between option prices being martingales and the use of options for speculation?
possible duplicate of How does the "risk-neutral pricing framework" work?
Sep
22
reviewed No Action Needed Robust Returns-Based Style Analysis
Sep
22
reviewed Reviewed Backtesting - can you buy/sell at open and closing prices?
Sep
22
revised Backtesting - can you buy/sell at open and closing prices?
Improved formatting (escaped dollar strings)
Sep
18
answered Definition of “tenor” argument in QuantLib's Schedule class object
Sep
18
reviewed No Action Needed Are there any other standard rates term structure decomposition than PCA?