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 Yearling
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Mar
31
comment What does a negative stock amount mean in a single-period, binomial market model?
Better terminology than "random account" would be "an underlying hedge account".
Mar
2
revised Basket option pricing: step by step tutorial for beginners
Link is now https only
Feb
26
comment Quantlib with python on mac?
Thanks for the clarification...I guess I had only tried it from R. Is there a good way to add the linkings to the MacPorts Python?
Feb
25
answered Quantlib with python on mac?
Feb
17
comment How is this financial product called?
Since the poster is willing to take downside as well as upside, this is the right answer. No optionality is necessary. TRS are often specified to be cancellable as the poster requests.
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