Reputation
9,454
Next tag badge:
98/100 score
20/20 answers
Badges
12 37
Newest
 Yearling
Impact
~260k people reached

Feb
8
awarded  Yearling
Jan
14
answered Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?
Jan
8
comment Fastest solver possible for portfolio optimization
You might consider concentrating on the objective function calculations. Matlab is good with vectorizing things, but sometimes an inefficient loop hides in there somewhere. Your problem is easy enough to put in C, just to make sure.
Jan
7
comment Geometric Brownian Motion - increasing simulations or smaller step size
There is no discretization error
Jan
6
comment Geometric Brownian Motion - increasing simulations or smaller step size
Your equations above are completely wrong, including because they do not scale the exponential term by $S$. You should use the strong solution instead.
Jan
4
revised Geometric Brownian Motion - increasing simulations or smaller step size
expand telescope
Jan
4
answered Geometric Brownian Motion - increasing simulations or smaller step size
Dec
18
comment Monte Carlo VaR assuming logistic distribution
How are you calibrating your marginal logistic distribution, and how are you specifying and calibrating their cointegration?
Dec
18
revised Path Dependent Options - Which choice of model?
high speed
Dec
18
answered Path Dependent Options - Which choice of model?
Dec
18
revised Why does implied volatility show an inverse relation with strike price when examining option chains?
add equations
Dec
7
revised Why do volatility and correlation increase in times of crisis?
Clean notation
Dec
7
revised Sobol numbers in monte Carlo simulation
extra explanation
Nov
30
revised Why do volatility and correlation increase in times of crisis?
improve intro
Nov
29
revised Why do volatility and correlation increase in times of crisis?
clean up notation
Nov
27
revised Why do volatility and correlation increase in times of crisis?
fix variable, better explain
Nov
27
answered Why do volatility and correlation increase in times of crisis?
Nov
20
comment Is marginal probability of default the same as conditional probability of default?
As a minor quibble, there is good reason to prefer a different definition of the hazard rate as the generalized derivative of the cumulative default probability, consistent with measure theory in general.
Nov
16
comment Implied volatility of a complex options position
Sometimes people take the implied vol of a complex position like this to see what "vol" a market-maker is charging them for a package.
Nov
16
answered Stopping Monte Carlo simulation once certain convergence level is reached