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May
23
answered Why is USD LIBOR used for USD denominated securities?
May
22
comment The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?
Not really. It all depends what sensitivities you try to derive. If you look at sensitivities of certain variables to changes in the implied volatility then those hardly correlate with, for example, theta, the sensitivity of the option price to the passage of time.
May
22
comment Implied Correlation using market quotes
I deleted the above comments as I added another answer, credit to your comments.
May
22
comment Implied Correlation using market quotes
I added an answer and hence deleted the other comments.
May
22
answered Implied Correlation using market quotes
May
20
comment Which are the popular free/open-source charting controls?
The best free one I have come across in C# space is OxyPlot.
May
20
comment Is there any thing out there as a substitute for KDB?
I was not aware of that, thanks a lot for this update, +1
May
20
comment Databases for storing and querying high frequency tick-level data?
ups, just saw your answer, also recommended it in my comment to the question.
May
20
comment Databases for storing and querying high frequency tick-level data?
@Arman, check out Teafiles, also consider writing your own binary data store, or you could consider document DBs, but other than that there are not a whole lot of open-source columnar DBs out there.
May
19
comment Databases for storing and querying high frequency tick-level data?
out-of-the-box? This concept does not exist in finance, unless of course you want to "trade" bitcoins. Whatever time series store you decide to go with you will not get around doing a lot of performance analytics, tweaking, and customization. Just for your reference, KDB generally sends a host of "consultants" who stay for several days just to setup the initial database structure.
May
18
comment Black-Scholes: Why the focus on volatility?
@DonShanil, are you addressing the above to me or Andrew?
May
18
awarded  Custodian
May
18
reviewed Leave Closed Source of Quandl Open Data
May
18
reviewed No Action Needed Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation
May
17
comment Difference betweem martingale property and adapted filteration
just curious, does Steven Shreve ring a bell for you?
May
17
revised Looking for C# library that provides/contains performance analytics
added 54 characters in body
May
17
revised Looking for C# library that provides/contains performance analytics
added 5 characters in body
May
17
comment Looking for C# library that provides/contains performance analytics
Thank you very much for pointing me into the rredis direction and indirectly into how to distribute workloads using different R sessions. I have not used R for quite some time as explained in my own answer, but have to admit that especially the capability to distribute workload through multiple R sessions opens up a whole load of new opportunities. Yet, for this specific project I still decided to write my own customized solution (also explained in my own answer). But that in no way diminishes my appreciation for walking me and other users through the options available to connect with R.
May
17
accepted Looking for C# library that provides/contains performance analytics
May
17
answered Looking for C# library that provides/contains performance analytics