8,379 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 10 months
seen 2 hours ago

Worked in a lot of quant areas


May
4
answered Why use swap-rates in a yield curve?
Apr
27
comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
You can get numbers from the classical Merton structural model using Bloomberg. In both theory and practice the hedge ratio is highly dependent on leverage so you will get results even poorer than the usual dismal ones for equity/credit if you do not take that into account.
Apr
27
comment How to get greeks using Monte-Carlo for arbitrary option?
A novel method. It appears mathematically equivalent to finite differences. Also worth noting is that all samples need to remain in memory, at least if I read this stuff right. It would be informative to see code applied to a nontrivial estimator function.
Apr
27
comment How to get greeks using Monte-Carlo for arbitrary option?
That vibrato Monte Carlo thesis is very interesting.
Apr
26
comment definition for “the viscosity” in financial market data series
You can measure whatever you want...there is no standard definition of viscosity in financial mathematics. Most stochastic modelers would take it to mean terms involving $\nabla^2 V$ in the associated Feynman-Kac PDE, which is clearly very different from the simple heuristics you have in mind here.
Apr
25
revised How to get greeks using Monte-Carlo for arbitrary option?
add not beng able to control $M$
Apr
24
answered How to get greeks using Monte-Carlo for arbitrary option?
Apr
20
comment application of lie groups in finance
Well, we do use $\mathbb{R}^n$ all the time.
Apr
20
comment Analytical relationship between a covariance matrix and cross-sectional dispersion
Interesting question. I wonder if there really exists a convenient expression for it. I would say you should try playing with the 3-variable version in Mathematica and work to $N$ variables only if you succeed in getting an acceptably simple expression in 3 variables. You may need to switch to variance, and use convecity corrections to adapt that to standard deviation.
Apr
12
revised calculating arbitrage-free ranges based off outright, spread, and fly prices
add flag
Apr
11
comment A few questions about signs of the Greek letters
Well consider just the zero-vol value of an in-the-money option. Here $C=e^{-rT}(S_0 e^{rT} - K)^+$ or $S_0 - e^{-rT}K$ and so the rho is simply $T e^{-rT} K$, very positive. Basically, the increase in forward value has overwhelmed the decrease due to discounting. Pathological setting of parameters may give negative rho in some cases, but this is the gist of why rho of calls is generally positive.
Apr
10
answered calculating arbitrage-free ranges based off outright, spread, and fly prices
Apr
10
answered A few questions about signs of the Greek letters
Apr
10
answered Does put-call parity hold for a compound option with underlying American option?
Apr
10
revised Constructing an approximation of the S&P 500 volatility smile with publicly available data
VVIX reference
Apr
10
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
@vonjd: VVIX is more like the varvol (or vol of vol) parameter found in stochastic volatility models. What onlyvix provides here is a common parameterization of the skew curve with convenient simplicity. See this question for more on that.
Apr
10
comment statistical arbitrage option overlay strategies / volatility trading
The straddle strategy would be relatively easy to put into your optimizer. Each straddle sold becomes an asset whose PL over the period is equal to the straddle price at initial market implied vol, minus the straddle price at realized vol. Reasonably skillful hedging will then make that PL realizable.
Apr
3
answered Parameter estimation using martingale measures - include real world data?
Apr
2
answered looking for regulations regarding stock symbol reuse in the US
Mar
30
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
Updated with link to prices. It's not historic, but obviously you can download and form your own historic series.