3,523 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 5 months
seen yesterday

Mathematician, 12 years in automotive, aerospace and defense industry, 9 years in financial markets.


Sep
14
reviewed No Action Needed Asian option numerical pricing method generates a negative time value
Aug
31
reviewed No Action Needed When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?
Aug
31
reviewed Needs Improvement Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Aug
31
reviewed Satisfactory Opposite of Tail-Risk Hedge (Established Vocabulary)
Aug
31
reviewed Needs Improvement How to find optimal look back in quant trading models
Aug
31
reviewed Needs Improvement Heat/Diffusion Equation
Aug
31
reviewed Needs Improvement CVA number used by Finance Team
Aug
31
reviewed Needs Improvement Fitting stochastic variance distributions to index return data
Aug
31
reviewed Needs Improvement 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
Aug
31
reviewed Satisfactory Looking for Research Paper on Creation of Currency Baskets
Aug
31
reviewed Needs Improvement Option based portfolio insurance in practice
Aug
31
reviewed Satisfactory Non-linear Dynamical Systems and Quantitave Finance
Aug
29
reviewed Reviewed Does Implied Volatility always exist?
Aug
29
reviewed No Action Needed VIX intraday data
Aug
29
reviewed No Action Needed Where can I find a correlation matrix between the revenues of different industries?
Jun
24
reviewed No Action Needed Implied Probability of Default from Bond Prices
Jun
24
reviewed No Action Needed Implied Probability of Default from Bond Prices
Jun
3
reviewed No Action Needed Why non-stationary data cannot be analyzed?
May
21
reviewed No Action Needed List of Stocks by Sector
May
11
reviewed No Action Needed In a mis-matched trade who profits?