7,996 reputation
930
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 6 months
seen 23 hours ago

Worked in a lot of quant areas


Mar
9
answered SKEW and VIX relations?
Mar
8
comment Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?
en.wikipedia.org/wiki/Index_arbitrage
Mar
8
comment Kalman Filter Vs Hough Transform
Leave it open...the lack of answers indicates none of the usual crowd knows, but that doesn't preclude somebody coming along with useful information in the future.
Mar
5
comment Simulating the joint dynamics of a stock and an option
Fixed a couple errors in the original answer.
Mar
5
revised Simulating the joint dynamics of a stock and an option
deleted 2 characters in body
Mar
4
revised Simulating the joint dynamics of a stock and an option
spelling correction, TeX formatting
Mar
1
revised Simulating the joint dynamics of a stock and an option
Fix BS prob density and a couple typos
Mar
1
comment Simulating the joint dynamics of a stock and an option
Not a big one -- I just thought I recalled the scipy version is Lobatto.
Feb
29
answered Simulating the joint dynamics of a stock and an option
Feb
29
comment Simulating the joint dynamics of a stock and an option
Just to be clear, are you assuming there exists an options pricing function BSM(S,t,{params}) or are options prices also supposed to come from the Monte Carlo simulation?
Feb
16
comment ATM volatility versus OTM volatility and directional standard deviation
Many of the questions on implied vol on this site discuss the issue.
Feb
16
awarded  Nice Answer
Feb
15
comment How are Expected Shortfall and Variance related?
It still depends on how you do it but the assumption will fail only in fairly pathological cases (i.e. cases where your weighting effectively replicates the high-kurtosis effects cited above).
Feb
14
answered How are Expected Shortfall and Variance related?
Feb
10
comment What's the connection between implied vol curve of SPX and SPY?
They will be about the same but beware of the differing borrow rates.
Feb
10
answered Price volatility instead of return volatility for spread option parameter
Feb
10
comment How to remove the risk element from a set of fixed rate mortgage offerings?
Risk-free rate curves in western countries do generally increase with tenor, though not all the time. (When they don't it is called an "inversion"). From the mortgage issuer point of view there is not any rate risk due to the ability to hedge in teh swaps market, so rate risk does not come into the calculation of mortgage rates -- it is wholly priced into the curve. Somewhere down the line, of course, someone does take the short-to-long rate risk, and there is a volatility and associated premium there that tilts the curve up.
Feb
8
revised How to remove the risk element from a set of fixed rate mortgage offerings?
added 41 characters in body
Feb
8
answered How to remove the risk element from a set of fixed rate mortgage offerings?
Feb
8
awarded  Yearling