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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 3 months |
| seen | 6 hours ago | |
| stats | profile views | 660 |
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9h |
comment |
Why using 3 months forward to hedge fx risk on a fund of funds portfolio? Hedging fx exposure is quite simple, relatively speaking. And it certainly has nothing whatsoever to do with virtual positions as you mentioned. Euro exposure is euro exposure no matter what. The term virtual spot position does not even exist. Its a term used by interactive brokers to delineate fx spot positions from fx exposure that arose from cash flow generating other assets. |
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11h |
comment |
Why using 3 months forward to hedge fx risk on a fund of funds portfolio? ...and why you advertise here and post completely unrelated content? Downvoted. I just do not see any value added in what you wrote. Everyone can look up the spot-forward relationship, your software has nothing to do with anything here and contract size and interactive brokers are adding even more to the reader leaving in a confused state...and your constant advertising slowly starts to get annoying...but I thought you were already told that by several moderators |
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11h |
comment |
Why using 3 months forward to hedge fx risk on a fund of funds portfolio? Nothing wrong with that approach as I said as long as there are no contingent cash flows. |
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18h |
comment |
Why Drifts are not in the Black Scholes Formula I actually am still compiling some sort of "practitioner's bible" which I have started in my spare time already years ago. Rule is to not include a single mathematical notation and to explain key quant concepts in as simple terms as possible. I can tell you that it was and still is one of the hardest things to do for me. Part of the collection of articles is why risk neutral valuations matter when we live in a world were risk premiums are all that investors care about. |
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22h |
comment |
% Return on backtest with variable positions and notional amounts entirely up to you and what particular return you try to measure. ReturnOnInvestedCapital -> use only the capital that was actually locked up in your investments (unleveraged). But be careful here, if you want to be conservative and show yourself/your clients that you understand risk then you may want to include a reserve in InvestedCapital that accounts for model risk and other unexpected events. It lowers your relative return but it is way more conservative. If you just look at return on total equity then use your whole equity base. |
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23h |
comment |
Why using 3 months forward to hedge fx risk on a fund of funds portfolio? This only works for fixed investments without any future cash flows so I agree with you. Just wanted to point out if we talk about assets that involve future cash in or outflows then forward strips are a very bad idea. Think of airlines which need to hedge against future price increases in kerosine. They are only insulated for the duration of each forward thus the exercise turns more into predicting future cash flows rather than pricing forwards. |
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1d |
comment |
% Return on backtest with variable positions and notional amounts Very simple, (1) Make sure we talk 1 base currency, if not then first convert your pnl to 1 base ccy which matches with the ccurrency of your capital base (2) you then need to decide on what you base your relative returns on: Total capital available or invested/employed capital, .... (3) you know your base ccy return, so simply divide it by what you decided in (2). |
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1d |
comment |
Where do “Forex economic calendars” get their data? Reuters, Factset, Bloomberg...there are tons of vendors that make economic news releases public, most of the tier 1 sources are proprietary and fee based services. Your listed sources pay and push out such data to the retail world in exchange for ad views. |
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1d |
comment |
Why Drifts are not in the Black Scholes Formula I love this short read you referenced, +1 alone for this one. Shows me time and again that the top researchers in this and related fields all strive for simplicity because reputation is earned by explaining stochastic calculus to an ape rather than how to peel a banana to an astronaut. |
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1d |
comment |
Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past? @ryeguy, markets are dynamic and incredibly complex, patterns are all but spurious correlation, most observations you make that already occurred in the past only are repeated by chance not because of some grand design. By the way this site is dedicated to professionals working in this industry and academicians performing research in quant finance space, both of which does not seem to apply here. Just saying you probably find a better venue to pose this particular question than here. |
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1d |
comment |
Why Drifts are not in the Black Scholes Formula Did you mean to say that in a world where we can perfectly hedge the risk premium has to be equal to the risk free rate? I am asking because the asset clearly has volatility even after changing measure to a risk neutral probability measure. In fact volatility is identical before and after. |
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1d |
revised |
Why Drifts are not in the Black Scholes Formula edited body |
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1d |
revised |
Why Drifts are not in the Black Scholes Formula edited body |
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1d |
revised |
why banks shall keep short term gap position low? edited body |
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1d |
revised |
Why Drifts are not in the Black Scholes Formula deleted 31 characters in body |
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1d |
answered | Why Drifts are not in the Black Scholes Formula |
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1d |
comment |
Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess? 3x sounds quite off, the initial guess should not get you that far away. Care to elaborate a bit on your setup. Maybe it is just a small issue. Matlab? |
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2d |
comment |
At what volume would you move the price at the opening auction? I agree with Robert, I do not understand the question. Please rephrase. |
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2d |
comment |
Collar Option - question about payoffs Shameless....... |
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2d |
answered | why banks shall keep short term gap position low? |
