8,144 reputation
930
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 7 mins ago

Worked in a lot of quant areas


May
12
comment Pricing binary options with kernel density estimation
If you price options off the real-world probabilities like that, you are going to lose your shirt.
May
12
answered How to price long dated options most efficiently?
May
3
answered how market makers set the time factor to calculate option greeks on the expiration day?
May
2
asked Pre- Versus post-2008 Crisis Rates Modeling
May
1
comment Topological methods in finance
Interesting premise: a market metric based on Jones polynomial! I wonder if its behavior differs much from standard correlation metrics. Based on your username, the paper is your own -- it would be polite to mention that in your answer.
Apr
26
answered Constant term in linear regresion
Apr
25
comment A question about pricing convertible bond with two different underlying assets
You'll get a better-quality answer if you are more specific about the terms and conditions (T&C) of the bond. In particular, if the holder chooses to convert, is the mixture of assets the conversion happens into determined by the holder, the issuer, or a formula?
Apr
25
revised When can a derivative be considered to be path dependant?
Add reference for Asian options
Apr
24
revised When can a derivative be considered to be path dependant?
formatting
Apr
21
answered When can a derivative be considered to be path dependant?
Apr
21
awarded  Taxonomist
Apr
17
revised Usage of Brownian Bridge?
added 107 characters in body
Apr
17
comment Usage of Brownian Bridge?
For scrambling, a good place to start would be Hinckernell's Quasi-Monte Carlo methods and their randomizations.
Apr
16
comment American Swaption Pricing with Monte-Carlo method
Use trees or other PDE discretization. Though you say they are "difficult" they are the right approach.
Apr
16
comment American Swaption Pricing with Monte-Carlo method
American exercise is precisely when you want to avoid using Monte Carlo.
Apr
16
answered Usage of Brownian Bridge?
Apr
9
comment Are power contracts traded on any stock market?
Power contracts were always the domain of the theoreticians. I never saw one go through our exotics desk (though our software would have supported it, because it was so darn easy to put in the library).
Apr
4
comment Efficient numerical approaches for pricing American Options with multiple sources of noise
I consider Tavella and Randall to be the best place to learn finite difference techniques for finance.
Apr
4
comment How to compare different volatility measures?
You need to define what you mean by best and explain more precisely to get an germane answer.
Apr
4
answered Efficient numerical approaches for pricing American Options with multiple sources of noise