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| bio | website | bachelierfinance.org |
|---|---|---|
| location | United States | |
| age | 44 | |
| visits | member for | 2 years, 3 months |
| seen | 15 hours ago | |
| stats | profile views | 475 |
Worked in a lot of quant areas
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Jan 8 |
comment |
what's analytic calculation formula for multi-option cross gamma? If you don't know $f$ then you're unlikely to have a chance at an analytic first or second derivative. Perhaps you should be asking after a difference equation? |
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Jan 8 |
answered | Why is short term implied volatility typically higher? |
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Dec 30 |
revised |
Fastest algorithm for calculating retrospective maximum drawdown added 64 characters in body |
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Dec 30 |
answered | Fastest algorithm for calculating retrospective maximum drawdown |
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Dec 30 |
comment |
Fastest algorithm for calculating retrospective maximum drawdown You should probably clarify your question. Most readers are assuming you are asking about retrospective maximum drawdown, whereas I infer from the PDF you want to compute an expectation of it. |
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Dec 28 |
comment |
Yield Curve Volatility Well, it obviously depends on the estimation error size, doesn't it? Once you have defined your interest rate and credit spread dynamics, and somehow quantified your estimation error, this is a very simple discrete optimization problem. |
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Dec 22 |
answered | How to enumerate all the possible portfolios with a given target volatility? |
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Dec 22 |
comment |
what is the implied volatility on a basket of options Implicit in those well-chosen PDFs is the point that cointegration matters a lot for baskets. That is to say, the volatility of a basket cannot be inferred from the dynamics of its components alone. The very minimum you can work with is a set of volatilities and a "constant" correlation matrix with the same value $\rho$ for all off-diagonal elements. But the PDFs are more advanced. |
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Dec 14 |
answered | Basket option pricing: step by step tutorial for beginners |
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Dec 13 |
comment |
Replicating portfolio and risk-neutral pricing for interest rate options It's made of interest rate instruments, of course, one per dimension of your SDE. Money market accounts, swaps and zero coupon bonds are common choices. |
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Dec 4 |
answered | GBM 3d plot with R |
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Dec 4 |
comment |
GBM 3d plot with R @SRKX the function can certainly go to 1.5 or arbitrarily high with a narrow distribution -- the integral over the $S$ dimension simply has to be 1.0. Think of Dirac delta functions. |
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Dec 1 |
comment |
Is there a piratebay for data(bases)? (here, talking about historical financial data) I would argue against closing. While pirated databases may not be something we professionals deal in (to my knowledge) the possibility is nevertheless an interesting one. At the same time, I would say answers giving pointers to pirated databases should be deleted. |
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Nov 27 |
awarded | Necromancer |
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Nov 26 |
comment |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? Another possible mistake besides transaction costs: computing return volatilities on portfolio notionals, but returns on portfolio capital. |
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Nov 26 |
comment |
Does put-call parity hold for a compound option with underlying American option? As I say, without specifying the contract terms better, the question is unanswerable. Put-call parity always holds in a frictionless market, true, but only if you assume that the asset will exist at option expiration. Consider the case of a takeover to see how this might end up being ambiguous if the contract has not specified what happens in these outcomes. Of more immediate concern is that if the underlying American option has been exercised, what does the contract say about the payoff? Depending on those terms, put call parity either will or will not hold. |
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Nov 23 |
comment |
Pricing a Power Contract derivative security You should indicate when a question is homework. |
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Nov 21 |
answered | Question on OptionMetrics: when are adjustments for discrete dividends needed? |
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Nov 20 |
comment |
Calculating portfolio VaR for (custom) leveraged products If you're trying to do it in Excel, you're already asking for trouble. As Bob implies you can't typically do this analytically, and Excel is hard for non-gurus to do Monte Carlo in. |
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Nov 16 |
answered | Where can I find corporate bond spreads? |
