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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?
Oct
1
comment How to get around flat likelihood function when calibrating GBM parameters?
normpdf should be fine. It might even be better-optimized by the Matlab virtual machine.
Sep
30
comment Raw (level) variable is significant while log return is not significant
Good question...updated.
Sep
30
revised Raw (level) variable is significant while log return is not significant
broader explanation
Sep
30
answered Raw (level) variable is significant while log return is not significant
Sep
29
answered Immunization: Whats the best way to hedge my short interest rate exposure?
Sep
24
awarded  Necromancer
Sep
11
comment Get institutional holdings of stocks programmatically
Those institutional holdings are reported to the SEC, I believe. Therefore it seems likely somebody has it available in a nice format, but like you I don't know who.
Sep
9
answered Estimating an appropriate haircut for illiquid stocks
Sep
1
answered Adjusting index betas for spread DV01
Sep
1
answered Sharpe Ratio for strategies with different rebalancing period
Aug
31
comment Approximate asian geometric option with Heston
The skew of stochastic vol increments is quite, high, making Euler scheme prices inaccurate...though you have 6 digits of precision on your MC price estimate, it is likely that the true price is significantly different.
Aug
31
comment Approximate asian geometric option with Heston
Can you post your Monte Carlo code, too? If you are using Euler discretization that could be a problem.
Aug
24
awarded  black-scholes
Aug
18
answered Analytical soluton to the Black-Scholes equation with a modified European Call Option
Aug
17
answered Analytical solution for a modified Black-Scholes equation