282 reputation
15
bio website
location
age
visits member for 2 years, 8 months
seen Jun 21 '12 at 9:33

Apr
10
answered What are some useful approximations to the Black-Scholes formula?
Mar
23
comment Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?
In physics we have an initial condition, such as the initial distribution of particles in a system and then we measure quantities related to the system as time flows forward. In finance we have a terminal condition, the payoff and we calculate quantities related to the payoff (value, delta, etc.) at earlier times. Unfortunately diffusion equations do not have the time reversal symmetry of say Newton's equations, so we can't just say, let's pretend that time flows backward and make an analogy between physics and finance. That was my point.
Mar
22
answered Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?
Mar
21
answered Non-SQL methods for high-frequency accounting?
Mar
20
answered Time series of PCA - Sign change in factor loadings
Mar
19
awarded  Teacher
Mar
16
comment Historical Level 2 Data (Market Depth)
The data you download from interactive brokers is standardized, you have a set of requests and you can only ask those requests, so in that sense the data I download is always sufficient (cause it's all there is, nothing more nothing less). What can be insufficient is which underlyings (i.e. contracts) you need for your strategy, they might not be in the set of contracts you have been downloading so far, that's true.
Mar
15
answered Vanna - any practical uses for risk or pnl attribution purposes?
Mar
15
comment Vanna - any practical uses for risk or pnl attribution purposes?
Option price is a function of risk factors, suppose we have just one risk factor, the spot price.
Mar
15
answered Historical Level 2 Data (Market Depth)
Mar
8
answered Vanna - any practical uses for risk or pnl attribution purposes?