meta user
network profile
| bio | website | bachelierfinance.org |
|---|---|---|
| location | United States | |
| age | 44 | |
| visits | member for | 2 years, 3 months |
| seen | 13 hours ago | |
| stats | profile views | 472 |
Worked in a lot of quant areas
|
Apr 26 |
comment |
How to annualize Expected Shortfall? Oops that is Goldberg...here is an SSRN link papers.ssrn.com/sol3/papers.cfm?abstract_id=1341363 |
|
Apr 18 |
answered | What type of investor is willing to be short gamma? |
|
Apr 14 |
answered | Library to solve optimization problems |
|
Apr 14 |
answered | Formal proof for risk-neutral pricing formula |
|
Apr 7 |
comment |
How to annualize Expected Shortfall? Not for this exact problem, but Goldstein at Barra research has published some whitepapers on fat-tailed distributions for expected shortfall. |
|
Apr 6 |
answered | Black-Scholes No Dividends assumption |
|
Apr 6 |
answered | How to annualize Expected Shortfall? |
|
Mar 29 |
answered | Few questions on Binomial-Lattice Option Valuation |
|
Mar 28 |
revised |
Cost function for hedging portfolio fix spelling |
|
Mar 25 |
answered | Cost function for hedging portfolio |
|
Mar 10 |
answered | Varswap Basis - What is it in practice? |
|
Mar 10 |
comment |
Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures Bloomberg is my typical source, though Reuters, FactSet and many other systems have it. For interest rates, it is common to use LIBOR for about a year and the swap curve thereafter. I suggest contacting your data service rep for the tickers. |
|
Mar 8 |
answered | Enhancing Monte-Carlo convergence (crude method) |
|
Mar 8 |
revised |
Picking from two correlated distributions Add rho_max variable, rephrase process |
|
Mar 8 |
revised |
Picking from two correlated distributions sentence clarifying use of rho |
|
Mar 8 |
comment |
Switching from Matlab to Python for Quant Trading and Research Java for numerical analysis / quantitative research is pretty much a horrorshow. You'll find yourself writing 10x as many lines. The bugs may not quite scale with that but it's safe to say you will see maybe 2x the bugs. |
|
Mar 7 |
answered | Picking from two correlated distributions |
|
Mar 7 |
answered | Switching from Matlab to Python for Quant Trading and Research |
|
Mar 2 |
comment |
illiquid american options pricing To be honest, you see "sophisticated" market players using the scenario approach even with options on liquid underlyings.How can that possibly be right? Well, consider that these are typically people who take positions in equity, which is entirely contrary to the assumption in contingent claims theory that equity is fairly priced. If they feel the equity is priced inefficiently, then why not the options as well? So, the answer to your question is still: scenario analysis. |
|
Mar 1 |
answered | illiquid american options pricing |
