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Jun
12
comment Calculating the rate of return over a year then the data for a year before does not exist
Very simple, you calculate the absolute return over the two data points and then convert to an annualized rate...done.
Jun
11
comment Black-Scholes under stochastic interest rates
is this homework or an assignment?
Jun
11
comment Distribution of Black Scholes call option price at time 0<t <T
is this homework or an assignment?
Jun
11
comment Why using the swap curve as riskfree rate and no longer gov bonds?
Nice answer, additional comment to OP: The answer of the interviewer is actually imprecise and I would expect from the interviewer to state that the OIS curve is used. There are a gazillion "swap curves" out there. Obviously for your next interviews if such question comes up again you can also ask back what the interviewer means with "swap curve". 2 things can happen: a) Interviewer appreciates your curiosity and (rightly) deems asking for more details important, b) he/she feels challenged in which case you might consider whether you want to work for someone who takes issue with curiosity.
Jun
10
comment Is R being replaced by Python at quant desks?
Thanks, vonjd, I took a quick look but am frankly not a big fan of generalized comparison reviews because it does not address specific needs (for obvious reasons).
Jun
9
revised How to short an option?
added 131 characters in body
Jun
9
comment How to short an option?
I do not like to hijack this comment section. Please check out some basic text on exchange traded options as your assumptions are quite incorrect.
Jun
9
comment How to short an option?
Yes why not? Of course it depends on certain requirements. For example US citizens (possibly even residents) may not be permitted to trade specific options contracts.
Jun
9
comment How to short an option?
There is no standard vs non standard. Options are options, whether written on corn or toys or a stock index. You can short an option, one of which you do not hold long inventory at any exchange that lists options contracts (subject to certain exchange regulations such as margin requirements). Please see my answer
Jun
9
comment How to short an option?
@emcor, what do you exactly mean with "issued by large financial institutions". Options are either exchange traded in which case there is no financial institution that "issues" options contracts or you are referring to otc options. Can you please clarify?
Jun
9
answered How to short an option?
Jun
8
comment Is R being replaced by Python at quant desks?
...performance that matches or exceeds what can be done purely in Python. For example, any statistical or numerical techniques that cannot be vectorized require me to essentially maintain a C++ code base to beat code operations in Python. Similar applies to visualizations: Most dynamic visualizations or visuals that allow me to pan/zoom or otherwise manipulate rendering during run-time requires knowledge of .js and/or D3.js. Python on the other hand allows me to more easily interface with existing visualization libraries I already peruse. But as said, I have not yet come to a final conclusion
Jun
8
comment Is R being replaced by Python at quant desks?
@vonjd, no I have not yet made a decision. But I am much better informed thanks to some of the answers and my spending more time with packages such as data.table and rcpp. It does not change my impression of bits and pieces being "glued together" in R in order to run more performant computations (Rcpp is in effect a bridge to run compiled C++ code and data.tables is a highly indexed data structure which should not be compared with solutions that make no use of indexing). My main concern at this point is that I will end up with code bases in multiple languages to achieve ...
Jun
3
accepted Is R being replaced by Python at quant desks?
May
30
comment Is R being replaced by Python at quant desks?
I am spending some time with Rcpp this weekend. Thanks for the pointer.
May
30
comment Is R being replaced by Python at quant desks?
And hence we look for ways in either R or Python to migrate part of our design and pricing framework to. I tremendously benefitted from this discussion already and you make lots of very good and above all informed points. Thanks a lot for adding so much value.
May
30
comment Is R being replaced by Python at quant desks?
Agree fully that each requires different approaches and poses different requirements in general. However in the end of the day I and my team still needs to get our work done in our framework of choice. For visualization, for example, we peruse a C# Frontend that we equipped with massive parallelization capabilities, customizability, and the ability to make use of hardware based technologies. For parallel and async computing we also interface with different technologies which is precisely why we look for a framework that boasts strong capabilities in interfacing with other components.
May
29
comment Is R being replaced by Python at quant desks?
what I need to better understand is the computational efficiency of the actual statistical and numerical procedures. Your data tables can be as fast as they want but if the actual visualization of time series in R gets on its knees when you throw a million or so data points at it then you have your bottle neck right there. Same goes for MC pricing. Is that clearer?
May
29
comment Is R being replaced by Python at quant desks?
as well as pricing derivatives via Monte Carlo, PCA, or more mathematically involved PDE solvers on the other end of the spectrum. I get the point that indexed data tables allow for fast access to chunks of data but this only serves the starting point of any analytical or numerical exercise...
May
29
comment Is R being replaced by Python at quant desks?
I thought I was very specific about my requirements in the question I originally asked. Just because some of the requirements require large data quantities and others do not should not be confused with me not knowing what I want. I look for a development and analytical testing architectural change that needs to cover both, the analysis and visualization of vast amounts of time series based data and options order book data on any end of the spectrum