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| bio | website | bachelierfinance.org |
|---|---|---|
| location | United States | |
| age | 44 | |
| visits | member for | 2 years, 3 months |
| seen | 14 hours ago | |
| stats | profile views | 475 |
Worked in a lot of quant areas
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May 7 |
revised |
How does volatility affect the price of binary options? added 2 characters in body |
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May 7 |
revised |
Is vega of Black-Scholes European type option always positive? deleted 2 characters in body |
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May 6 |
answered | Is vega of Black-Scholes European type option always positive? |
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May 3 |
revised |
Call vs. Put Option Fixed eqn |
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Apr 25 |
comment |
Trading days or calendar days for Black-Scholes parameters? Don't forget that historical estimates of volatility are, in general, smaller than market-implied volatilities. |
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Apr 17 |
answered | Implied Volatility Calculation |
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Apr 17 |
revised |
Implied Volatility Calculation imply --> supply |
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Apr 16 |
awarded | option-pricing |
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Apr 11 |
answered | Statistics of difference between two GBMs |
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Apr 9 |
comment |
Foward-start option pricing Is this homework? |
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Mar 21 |
answered | Credit risk data |
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Feb 24 |
comment |
Why FX Vanilla Options are quoted in volatility In addition to OTC options, there exist a few other markets where quoting conventions are in terms of a (standard) model rather than on true price. High-grade corporate CDS and bonds are quoted in spread terms, CDX are quoted in bond-like price terms, tranche protection in implied correlation terms, and convertible bonds in price/delta/underlying terms. And for exchange-traded contracts, we have eurodollar futures which are quoted as an affine transformation of LIBOR. |
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Feb 11 |
awarded | Nice Question |
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Feb 8 |
awarded | Yearling |
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Feb 5 |
answered | Intangible assets as underlying for Futures contracts |
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Jan 23 |
comment |
Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset? They're sometimes called "power contracts" and though I've known them to be coded into the pricing libraries of at least 2 big investment banks, I've never seen one on the books. |
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Jan 22 |
revised |
Other means of calibrating Heston models added 133 characters in body |
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Jan 22 |
answered | Other means of calibrating Heston models |
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Jan 13 |
comment |
What data transformations to use in regression of credit spreads on equity prices? I agree with Freddy here. There's too much going on to expect any kind of reasonable predictive outcome from VAR or GARCH. |
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Jan 13 |
answered | What data transformations to use in regression of credit spreads on equity prices? |
