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visits member for 2 years, 9 months
seen Jun 21 '12 at 9:33

May
18
comment Time series of PCA - Sign change in factor loadings
Good point. Thanks
May
15
comment What's the best way to test/validate an interest rate lattice model
I think this question is still too general. There are 1 factor models, 2 factor models, 3 factor models, gaussian models, lognormal models, square root models, with mean reversion, without mean reversion, with stoch vols, etcetera ... In my opinion there is no general answer to your question as it is
May
14
comment What's the best way to test/validate an interest rate lattice model
How many factors are you looking at? What do you mean by performance? Speed? Accuracy? Hedging performance?
May
9
comment Is the binomial model wrong?
Cool, good luck with your trolling then :)
May
8
comment How to build a mean reverting basket?
What you are talking about is known as Cointegration. Just look for it
May
3
comment VaR implementation using quantlib?
Apologies for the mistake
Apr
12
comment What are some research articles on using principle components to generate alpha?
If you are a fan of Meucci, you have surely read this one papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905
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
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
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.