8,144 reputation
930
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 1 hour ago

Worked in a lot of quant areas


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.
Mar
30
revised Constructing an approximation of the S&P 500 volatility smile with publicly available data
added 54 characters in body
Mar
30
answered Constructing an approximation of the S&P 500 volatility smile with publicly available data
Mar
26
comment How many data points are required to perform a fitting of GPD?
They are definitely going to get poor stability in their estimates of tail risk. Of course, the result only has to be better than what they had before which is almost certainly a low bar.
Mar
22
comment Non-SQL methods for high-frequency accounting?
Given that exchange traded option markets are slow enough for SQL databases, you can color me skeptical that you are spending brainpower on a problem that will really exist. Obviously I don't know anything about the real-options-like trading you are thinking of, so I could easily be wrong on this topic, but that's my first thought.
Mar
15
answered How do I check whether OAS value is correct?
Mar
14
answered How to think about pricing this weather call option
Mar
14
comment What does leverage cost?
The practical haircut taken by industry players is generally greater than any theoretical haircut. So, for example, if your loan costs are 1%, no one will be interested in a strategy that beats SP by 1.5%. It starts to become a matter of taste, and in my experience the ones allocating the money ultimately rest the decision on their instincts more than anything else.
Mar
12
comment Is it possible to demonstrate that one pricing model is better than another?
+1 for "Kerviel superiority criterion". (snicker)
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