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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
May
14
comment Efficiently storing real-time intraday data in an application agnostic way
wiredtiger.com seems not to be a sustainable solution since they have merged with mongoDB
May
2
comment What is the current lowest possible latency for TCP communication?
Not all the layers I listed, then. Only from TCP out to TCP in. Yes you could probably do better, @PeterMel , but I do not know what latency you should take as a benchmark for this today, sorry.
May
2
comment What is the current lowest possible latency for TCP communication?
From where to where, @PeterMel ?
Mar
27
comment The use of GARCH
I try to focus my answers on market microstructure, @MattWolf , my plan is not to write tutorials on time series here... Let's hope we have another user who will contribute on this...
Mar
26
comment The use of GARCH
@MattWolf it would be great to read something like: the ARIMA on the returns will provide you this feature [biblio] but you have remaining heteroskedasticity on the residuals, use a GARCH to capture it [biblio again]. By the way, are you sure that if you generate your data by GARCH+ARIMA the parameters estimated that way will be unbiased ;{)} ?
Mar
25
comment The use of GARCH
Your answer is too short, @user2142 , it is good for a comment but if you want to post it as a question, please ellaborate.
Mar
9
comment Book on market microstructure
funny that Louis Marascio's answer on my book scored more points than my own answer, even if the later included my book... ;{)}
Feb
17
comment Portfolio optimised for diversification and regular yield. How to hedge?
ok, I hoped for something more detailed and challenging ;{(} no problem anyway
Feb
15
comment Portfolio optimised for diversification and regular yield. How to hedge?
Please be more accurate in your question. You cannot just say "look at this external page", you should summarize properly the framework to expect answers.
Dec
20
comment Is “eoddata” a good data source?
welcome @Ales, and thank you for the question. Nevertheless it could be great if you could rewrite it around "what is the best way to detect spikes", or something similar.
Dec
14
comment Where do these Orders come from and what do they mean?
you have seen this on which market / orderbook?
Nov
12
comment Black scholes OTC
Please ellaborate or post your remark as a comment.
Aug
5
comment Is it possible to model general wrong way risk via concentration risk?
@user7056 I updated my answer to list more than CVA as a consequence to GWWR