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May
21
comment Is R being replaced by Python at quant desks?
yes, that is another trend I am seeing, for time series analysis a lot of academic courses nowadays seem to have switched from R to Python as teaching and demonstration tool. I am not generalizing but a lot of students with Master's degrees I recently interviewed seem to have a much better grasp at Python than R. But one thing that makes me not yet want to fully embrace Python is: What libraries are exactly out there that assist in time series analysis, derivatives pricing, modeling, applying machine learning techniques aside the generalized Pandas, SciPy, ... packages?
May
21
comment Is R being replaced by Python at quant desks?
@DirkEddelbuettel, most of those are version updates, plus I understand and respect you are taking the other side of that bet (though I never offered a bet but voiced an impression). You are heavily invested in R and therefore I get why you have a different impression. Would be nice if you could write up a short answer to state what you use R for and why you think it is a better tool for you than Python.
May
21
comment Is R being replaced by Python at quant desks?
I stand by my own estimate but I did not intend to flame or cause discontent. Sorry if that above number rattled some cages. I just hear a lot of new quant projects get started in Python rather than R which got me thinking and caused me asking this question. R has the strength of an existing library repository but the growth momentum seems to be on the Python side.
May
19
comment Is R being replaced by Python at quant desks?
I agree the available packages that pertain to stats, math, and financial math are quite numerous in R. Though the current rate of new packages that target the above areas seems to be a lot higher in Python than R these days. I got the impression that R might be obsolete in 3-4 years due to so much that is done or ported over to Python right now and that is what caused me to ask this question, to gauge whether others share those observations. Thanks for your input on this.
Apr
4
comment How to optimally hedge construction loans with interest rate swaps?
I always found the world of finance to be a lot smaller than ever thought ;-)
Apr
2
comment How to optimally hedge construction loans with interest rate swaps?
Is this homework or a case study assigned in school? I could bet I have come across a very similar story before.
Apr
2
comment Value a structured note with Black-Scholes
No worries. By the way I meant terminal index not stock price.
Apr
1
comment Value a structured note with Black-Scholes
No, the terminal stock price. Come on, a little work on your own does not harm you, and it supports the original intend of doing work at home (homework).
Apr
1
comment Implied Volatility Calculation
This question has been asked before: quant.stackexchange.com/questions/7761/…. Use Newton Raphson to solve for the implied volatility.
Apr
1
comment Value a structured note with Black-Scholes
@PLui, I edited my answer and added point "B". This should be plenty enough to get you to the answer.
Mar
31
comment Value a structured note with Black-Scholes
Plui, to answer your question knowledge of what drives the price of the index is essential. Unless of course this is a homework or take home exam and the lecturer asked you to assume that the payoff can be modeled via BS.
Mar
31
comment Value a structured note with Black-Scholes
@MarkJoshi, I guess I am confused then how 1000 + 2.5*(Index(T)-1100) can be the same as 2.5(Index(T)-1100). From PLui's confirmation the payout when S(T)>1100 seems to be the former payoff. Secondly I disagree with you that this can generally be valued using BS. How would you assert this is possible if you do not even know what the Index is about and whether the Index price evolution can be modeled with an identical stochastic process than what BS implies? For what its worth the index could be an interest rate.
Mar
31
comment Value a structured note with Black-Scholes
@MarkJoshi, when you say "you'll get something close to 1000", do you mean the price of the note should be close to 1000? I do not follow the rational if that is the case because unless you know the "risk free rate", dividends (or other yields, after all it is an index not a stock) as well as the volatility it would be hard to tell, imho. Also, should the payoff (if ST > 1100) not be 1000 + 2.5*(ST-1100)?
Mar
31
comment Value a structured note with Black-Scholes
Can you please first confirm that the payoff function is correct?
Mar
27
comment The use of GARCH
@lehalle, sure that would be nice to have, maybe you could write up an answer that includes all that? I am sure the community will attach a fair value to your answer and also assess a relative fair value to this answer as well.
Mar
26
comment Impact of Implied skew variations on future prices
As the paper correctly pointed out, conventional skew measures are often influenced by the volatility level and kurtosis. You can start with a simple OLS and also try what a weighted least-squares approach. You may also want to look at lead-lag effects.
Mar
25
comment How to account for correlation between strategies when they are added linearly?
well then make adjustments as I suggested in the first part of my answer; adjust weights up and downward based on pairwise correlations between strategy returns, though I would also take into account the correlation between return variations. I will edit my answer to provide more specific recommendations.
Mar
25
comment How to account for correlation between strategies when they are added linearly?
I do not fully understand your comment. M-V optimization does exactly that. It takes the return volatility of each asset into account and optimizes the weights as function of return volatility.
Mar
25
comment The use of GARCH
@lehalle, does it not directly address the question and answer it with which steps to take?
Mar
25
comment Proof oriented introductory text?
I think Shreve's 2 books are an excellent read but it would help to have some rudimentary background in measure theory. But I think all the books you recommended are pretty good. I would add to the list Rebonato's Volatility and Correlation which focuses mostly on interest rate derivatives. It is also fairly technical though less so than Shreve's books. +1