Reputation
4,841
Next privilege 5,000 Rep.
Access to site analytics
Badges
11 39
Newest
 Revival
Impact
~160k people reached

Dec
9
comment Solving inequality constraint
I'm voting to close this question as off-topic because I m not sure it this a financial question, but a programming one
Nov
20
comment open problems in mathematical finance
I think we can keep the question here
Nov
11
comment How to calculate unsystematic risk?
just a point, your 'unsystematic' risk is usually termed 'idiosyncratic' risk.
Nov
11
comment How difficult/easy it is to migrate from CME FAST to CME MDP3.0?
I'm voting to close this question as off-topic because it is not related to quant finance but to IT
Nov
11
comment Order ID or Broker information from TAQ or Limit Order book?
no, you have to implement an algorithm assuming for instance that as far as the timestamps are "close enough" and prices compatibles, it is part of a large marketable order consuming several resting orders in the book. It the market is fragmented it is more difficult...
Oct
18
comment How are we underestimating liquidity risk?
Fully agreed @bushmanov, I wanted to make sure there is not in the discussion an implicit view like "liquidity cannot be modelled". It is not true at all. Of course (as usual with models) you have stationarity issues.
Oct
12
comment Cost of revenue vs SG&A
I'm voting to close this question as off-topic because it is not quant finance
Oct
10
comment Execution quality for illiquid securities
Could you give examples of securities you have in mind?
Sep
10
comment why is there a cancel/replace message in FIX?
Welcome to quant.exchange Amsh, +1 for your answer
Jul
9
comment Where to get long time historical intraday data?
While this link may answer the question, it is better to include the essential parts of the answer here and provide the link for reference. Link-only answers can become invalid if the linked page changes.
Jul
9
comment Where to get long time historical intraday data?
Please post this kind of answer as a comment or be more versatile.
Jul
9
comment Orderbook Arbitrage
@emcor I am not sure gaming has to be over estimated (see the update of my answer)
Jul
8
comment Orderbook Arbitrage
@emcor : price manipulation is not allowed, regulators are monitoring orderbooks to detect this. If you nevertheless want to protect yourself against it, it is not that hard to monitor the midprices and quantities at first limits to avoid to be gamed.
Jun
17
comment Importance Sampling - where to center the sampling distribution?
I would recommend this paper arxiv.org/abs/math/0702473 . It makes a link between importance sampling and large deviations, and give some applications to finance.
Jun
3
comment Free data on swap options
You should put such an answer as a comment, please convert it
May
31
comment Calibration Merton Jump-Diffusion
Generically, you can fit any model numerically. No need a closed form. Usually when a model is widely used, there are known good practices. And in this case I do not know them. In your case (in dimension one), it seems tractable numerically.
May
31
comment Calibration Merton Jump-Diffusion
Ok, it means you try to fit a Leland-like model, adding a jump component. And the jump part prevent you from having closed form results. Why not considering numerical solutions?
May
31
comment Calibration Merton Jump-Diffusion
Just to be sure I understand your question: what is V?
May
31
comment Calibration Merton Jump-Diffusion
Could you please develop the last part of your question: "The problem of course is there doesn't exist an analytical formula for the survival probability function". It will help people to answer, and may be yourself to better understand your problem.
May
18
comment Application of Control Theory in Quantitative Finance
Most firms make the difference between the "operator" (trader, portfolio manager), the "engineer" (the "quant" who designs the models) and the "IT" (who takes care of the implementation). You have to look after "quant" positions, or "quantitative analyst", or "financial engineer" (sometimes they are called "structurers" in some derivatives small teams) @markroche