8,379 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 10 months
seen 11 hours ago

Worked in a lot of quant areas


Jun
27
comment Self-financing and Black-Scholes-Merton formula
Good document, though as a practical matter PSOR is not a good algorithm to solve the LCP.
Jun
27
answered Self-financing and Black-Scholes-Merton formula
Jun
16
answered What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?
Jun
11
awarded  Nice Answer
May
27
comment Introducing credit risk to an already implemented interest rate model
You've basically already got it, though in most cases one assumes a deterministic term structure of credit spread, rather than making a stochastic model for it.
May
24
revised Create optimal portfolio by Treynor and Jensens Alpha
min variance
May
21
awarded  Custodian
May
21
reviewed No Action Needed Databases for storing and querying high frequency tick-level data?
May
21
reviewed Close Forex Fundamental Data Sources
May
20
comment Create optimal portfolio by Treynor and Jensens Alpha
If you make your metric Sharpe-like, by including a measure of distributional width in the denominator, then there is of course a reward. If that measure is standard deviation, then the mathematics even works out to be nearly identical to Markowitz.
May
20
answered Create optimal portfolio by Treynor and Jensens Alpha
May
13
comment Are Futures exactly Delta One?
Matt's usage of the term <i>forward delta</i> is important here. RRG (and Swab Jat) seem to be forgetting that delta has a denominator. That is to say, when we speak of the delta of a contract, we sometimes need to be explicit about what security that delta refers to (this is particularly obvious for exotics like basket options).
May
13
revised How to price long dated options most efficiently?
typo fix
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?