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| bio | website | bachelierfinance.org |
|---|---|---|
| location | United States | |
| age | 44 | |
| visits | member for | 2 years, 3 months |
| seen | 34 mins ago | |
| stats | profile views | 477 |
Worked in a lot of quant areas
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5h |
awarded | Enlightened |
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6h |
awarded | Nice Answer |
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May 16 |
answered | Threshold calculation for buying a mean-reverting asset |
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May 16 |
comment |
Threshold calculation for buying a mean-reverting asset The references provided address the question as asked precisely, with the important caveat that they don't discuss the finite time restriction. |
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May 10 |
comment |
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? You probably won't get any answers unless you post complete source code and data on dropbox or something. Even then, it's a roll of the dice. |
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May 10 |
revised |
backtesting options strategies in R added 2 characters in body |
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May 10 |
answered | backtesting options strategies in R |
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May 10 |
comment |
Comparing Investments: Selling land vs. starting a business I don't really see this as a quant finance question. Note that borrow costs are almost certainly relevant. |
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May 10 |
comment |
How does volatility affect the price of binary options? @Veeken: thank you for pointing out the error. By "flat skew in the options-trading sense" I mean that an options trader would perceive option implied vols to be the same across strikes if the option prices were generated by the BS model. In the sense of distributional moments, you are quite correct that the 3rd moment (skew) is negative for this model. It is an unfortunate collision of terminology between traders and mathematicians that the same word is used both ways. |
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May 10 |
revised |
How does volatility affect the price of binary options? fixed maximum, added picture |
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May 9 |
awarded | Enlightened |
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May 9 |
awarded | Nice Answer |
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May 8 |
comment |
Relationship between European, American options volatility When volatility (or anything) exhibits jumps then it is no longer the Black-Scholes model. One can still prove some things about families of models but that's much harder. |
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May 8 |
comment |
How does volatility affect the price of binary options? @Veeken: Once can construct models where put payoffs go to 1, but they are not the Black-Scholes model, which has "flat" skew in the options-trading sense. |
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May 7 |
awarded | Custodian |
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May 7 |
comment |
Hedging credit risk using Put equity options tried a different link |
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May 7 |
revised |
Hedging credit risk using Put equity options fix link |
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May 7 |
reviewed | Reject suggested edit on Hedging credit risk using Put equity options |
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May 7 |
revised |
Hedging credit risk using Put equity options usage switch |
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May 7 |
answered | Hedging credit risk using Put equity options |
