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bio website eden.rutgers.edu/~cs869
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visits member for 2 years, 2 months
seen Apr 17 at 4:17

Working at an investment bank in New York. Formerly a financial engineering student at Rutgers; formerly a math researcher in academia (a "low-dimensional topologist").

StackOverflow is a wonderful resource and community. I've learned a great deal from it, and I hope my contributions will help others in return.

Languages of interest: C++, Java, R

Areas of interest: low latency, multithreading, machine learning


Dec
30
comment Switching from C++ to R - limitations/applications
Very complete answer!
Dec
29
comment Machine Learning on matlab 2010
How are your Matlab programs doing cross-validation on a time-series? You can't just do 10-fold CV (or whatever) as normal, since you shouldn't be training on future data and testing on past data.
Nov
25
comment Understanding the concept of Martingale pricing
"Many papers say that stock prices are best modeled using a geometric Brownian motion (GBM)" Actually I doubt many papers say this, as stock prices aren't best modeled with GBM.
Mar
18
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Alexey, I'm not sure I understand. Dynamically hedging the perpetual put would require shorting the stock for arbitrary lengths of time, would it not?
Mar
18
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Freddy, I didn't say that. I said "if".
Mar
16
comment Doesn't a perpetual option contradict the Black-Scholes framework?
That's my point though. If shorting stock for arbitrary lengths of time is not allowed, then how can you delta-hedge this perpetual option? And if you can't delta-hedge the option, how is the price you get under risk-neutral pricing argument the price?
Mar
15
comment Doesn't a perpetual option contradict the Black-Scholes framework?
Freddy, yes, I'm aware it's a theoretical construct, and my question is a theoretical one. Is that not appropriate for this site? Also, please rest easy that I am occupying the bulk of my time with other thoughts. :)
Nov
24
comment Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
Using r=0 is a great simplification that shows the real "culprit" behind the greater than 0.5 delta.