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 Curious
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May
16
comment Pricing call option
Seems you are using the binomial option pricing method, for which I get the same answer (assuming discrete discounting of 1 year).
Apr
3
comment How to optimally hedge construction loans with interest rate swaps?
Would the similar story have come from another finance director looking to hedge their construction loan interest rate risk? It's a big world out there ... that's certainly possible.
Apr
1
asked How to optimally hedge construction loans with interest rate swaps?
Feb
16
accepted Bootstrapping zero-rates from AUD swap rates
Feb
16
asked Bootstrapping zero-rates from AUD swap rates
Jul
2
awarded  Curious
Feb
16
awarded  Commentator
Feb
16
comment Is there any academic material regarding robust optimization with fixed transaction costs?
That Kolm presentation has a nice bit on SOCP optimization with fixed transaction costs. Thank you.
Feb
16
accepted Is there any academic material regarding robust optimization with fixed transaction costs?
Feb
9
comment Is there any academic material regarding robust optimization with fixed transaction costs?
Saw that paper ... believe it deals with linear transaction costs.
Feb
9
revised Is there any academic material regarding robust optimization with fixed transaction costs?
deleted 2 characters in body
Feb
9
comment Is there any academic material regarding robust optimization with fixed transaction costs?
Silly on my part ... meant combinatorial decision variables.
Feb
9
revised Is there any academic material regarding robust optimization with fixed transaction costs?
constants -> constraints
Feb
9
asked Is there any academic material regarding robust optimization with fixed transaction costs?
May
3
revised BSYM for historical tickers
added 373 characters in body
May
3
comment BSYM for historical tickers
Sorry, perhaps my question is phrased poorly. I'm wondering why there isn't a record showing that for some period of time, Vivendi used 'V'. And what is the unique identifier of that security? In other words, does the current "Equity_Common_Stock_1_20130502.txt" have survivorship issues? Or do I just have to trust that what Bloomberg currently has listed as "VIVHY" is the same security as that which used to be listed under "V" (which I don't think is right, btw)?
May
3
asked BSYM for historical tickers
Apr
27
comment Why do expected return models and risk models use different factors?
I get that, but does that mean that the "factor alignment problem" discussed by Axioma and MSCI Barra doesn't exist? Or that they are driven by something other than the two models having different factors?
Apr
27
comment Why do expected return models and risk models use different factors?
Would my alpha model need to include at least all the factors included in the risk model? If not, wouldn't the alpha model's alpha improperly include a piece of beta (as defined in the risk model)?
Apr
23
comment Industry factors without GICS
Even if I use PCA to generate an accurate risk model, won't there be times where I want a more easily interpreted model (see this Q&A when doing performance reporting, for example)?