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visits member for 2 years, 8 months
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May
28
comment Is there any other way to measure option pricing model performance than proximity to market prices?
I do not share the same summary of the "academic approach". I do not think that academicians consider market prices as benchmark because they believe in the EMH theory. I can again only repeat that most everyone considers market prices because they function as yardstick against which everything is measures. Even my own models, if market prices do not converge to my model then my model was obviously flawed and not the market. You look to either (a) derive a model as close to market prices as possible in order to price similar assets that may not be traded using inputs that were calibrated to..
May
27
comment Is there any other way to measure option pricing model performance than proximity to market prices?
Your reflection of the common answer of "Why do we take market prices as the prices to be estimated and predicted?" is incorrect: We care about market prices because that is what we trade against. If you believe in emh then you should not ever engage in risk taking. But if you think market prices are NOT correctly valued then you still care about market prices because that is how the profit and loss is calculated against.
May
23
comment Option pricing within the Black Scholes model
is there one in existence?
May
23
comment Why is USD LIBOR used for USD denominated securities?
I am one of the users with least knowledge of curve construction, there are true experts on this site, addressing this or future curve related questions.
May
23
comment What exactly is the OIS Black VOL?
Agree with DatamineR, please see my answer to another question: quant.stackexchange.com/questions/11400/…
May
23
revised Why is USD LIBOR used for USD denominated securities?
added 22 characters in body
May
23
comment Why is USD LIBOR used for USD denominated securities?
I added my own answer, hence built my earlier comments above into my answer.
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