Victor P

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353 reputation
110
bio website
location Santiago, Chile
age 31
visits member for 1 year, 1 month
seen 2 days ago
stats profile views 45

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Oct
9
 awarded  Custodian
Oct
9
 reviewed Leave Open Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Oct
9
 reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Oct
9
 asked Trading a synthetic replication of the VVIX (volatility of VIX)
Oct
9
 awarded  Editor
Oct
9
 revised Trading a synthetic replication of the VIX index
Used Larry William's Highest(...) function instead of max(...) that can lead to confusion.
Oct
9
 suggested suggested edit on Trading a synthetic replication of the VIX index
Oct
5
 accepted Why the interest rate for put-call parity is not constant?
Oct
5
 comment Why the interest rate for put-call parity is not constant?
Thanks Strange. I was not considering dividends at all.
Oct
5
 asked Why the interest rate for put-call parity is not constant?
Oct
5
 accepted How should I include the bid-ask spread as a transaction cost in a backtest?
Oct
5
 accepted When to use Monte Carlo simulation over analytical methods for options pricing?
Oct
2
 asked When to use Monte Carlo simulation over analytical methods for options pricing?
Jun
10
 asked How should I include the bid-ask spread as a transaction cost in a backtest?
Jun
10
 accepted Two prices pass the cointegration test but there is a trend. How to check stationarity?
Jun
10
 accepted Choosing the time-frame to test for cointegration
Jun
10
 accepted How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Jun
9
 asked How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
May
16
 awarded  Scholar
May
16
 accepted How to build a mean reverting basket?
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