Reputation
9,444
Next tag badge:
98/100 score
20/20 answers
Badges
12 37
Newest
 Yearling
Impact
~259k people reached

Nov
5
revised Sobol numbers in monte Carlo simulation
added 220 characters in body
Nov
5
answered Sobol numbers in monte Carlo simulation
Nov
5
answered Is it possible to detect a belief that a security will peak and then decline by analyzing American options pricing?
Nov
5
comment Delta Volatility Surface Usage to value the option
This question is rather unclear; I cannot tell what it's really asking.
Oct
30
awarded  implied-volatility
Oct
27
comment Boundary conditions: Dirichlet vs Neumann
I had to look up Robin boundary conditions just now. I have never seen them used in finance (and I've seen a hell of a lot of PDE solvers in my day). It's definitely valid, but you would have to quantify what you mean by a "better" approximation before trying to judge its potential advantages. The disadvantages are obvious: (1) another degree of freedom (relative weight) to hassle with in the PDE solver and (2) combined complexity of both Dirichlet and Neumann terms. Overall, I'm skeptical about its value.
Oct
27
answered Boundary conditions: Dirichlet vs Neumann
Oct
22
comment pricing american calls on non dividend paying stocks
Who is this "we", kemosabe?
Oct
21
answered Applying interest rate models for volaility rate
Oct
20
comment Callable bond pricing
I am not referring to this particular bond, but rather to the fact that when these cases pop up it is usually because the company is a sufficiently good credit that they could cal the outstanding bond away and issue a new one in its place at a somewhat lower interest rate, thereby saving themselves some money.
Oct
19
answered What is wrong with this argument?
Oct
19
answered Callable bond pricing
Oct
16
answered Can CreditGrades CDS Pricing Model be used for financial firms?
Oct
14
answered Why is Vega meaningful only for options which have single-signed gammas
Oct
14
comment How to find the fx lookback floating/fixed strike options prices?
These are exotics. I don't think even a Bloomberg feed would help you find prices. Instead, you will need to find a friend at an investment bank and convince them to let you use some data. For volatilities you could use vol surfaces of vanilla options.
Oct
14
comment How to hedge an ETF position with a basket of its underlying components
Here's an interesting fact: not even the ETF administrators necessarily have the "right" portfolio. This is particularly common for corporate bond ETFs. Due to liquidity concerns its just too hard to have the same mix of bonds from the tracked index, so they publish a list of more-or-less equivalent bonds they will accept as components substitutes in creation/redemption trades.
Oct
6
revised When are ES E-mini future options issued?
added 11 characters in body
Oct
5
answered When are ES E-mini future options issued?
Oct
5
comment Why does it take so many lines of code to price even the simplest of options with QuantLib
This response nails it. QuantLib is not an option pricing calculator, but rather a framework mean to work in the context of bigger, more sophisticated systems.
Oct
2
answered How to calculate conversion parity for convertible bond?