8,144 reputation
930
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 13 hours ago

Worked in a lot of quant areas


Apr
4
answered Efficient numerical approaches for pricing American Options with multiple sources of noise
Apr
4
comment Weighted average implied optionlet/swaptions volatility
Even some traders use weighted averages of surface volatilities as an initial stab at pricing, so you can certainly get in the ballpark that way. The weighting to use would depend heavily on the terms of the contract that needs pricing. For example if it pays off only in low-strike regions you would not necessarily weight ATM vols the highest.
Apr
1
comment How to hedge a derivative that pays the reciprocal of the stock price?
Hint: $\log(1/S_t) = -\log(S_t)$
Mar
30
comment Credit Spread, Transition Matrix
You need a matrix whose square is the annual matrix. The question is covered at quant.stackexchange.com/questions/10645/…
Mar
30
answered Does an implied volatility always exist for a binary option?
Mar
20
answered How to incorporate fundamental analysis in quantitative trading algorithm?
Mar
20
comment Scaling of a transition matrix
Algorithms for computing these roots stably differ a bit from this approach. Nick Higham does good work in this field. Try this paper
Mar
19
comment Volatility swaps historical data
Option chains are not varswap or volswap prices, though of course the two are related. Given all the arbitrary choices made in turning option chain data into a varswap price (mid-price or mid-vol, weighting, etc) it is fair to say two market participants could be quite far apart in varswap prices even with identical option chain feed data.
Mar
19
answered How can I show that $u=e^{\sigma\sqrt{\Delta t}}$ in the binomial option pricing model
Mar
18
revised Definition of Return of A Long/short Portfolio
Fix cash in leverage
Mar
15
comment Definition of Return of A Long/short Portfolio
It really depends on the type of assets in the portfolio. For example, futures hedges on futures options will reduce capital charges.
Mar
15
answered Definition of Return of A Long/short Portfolio
Mar
12
comment Call option on a Mutual Fund
With respect to the shorting, note that a replication strategy would have positive units, but a hedging strategy would have negative units.
Mar
12
comment Call option on a Mutual Fund
That's just what you get as the drift correction for changing to risk-neutral probabilities.
Mar
11
answered Call option on a Mutual Fund
Mar
11
comment Why does it “say” portfolio diversification not suitable during market turmoil?
Upvoted, but I sure would like to see the Kritzman paper.
Mar
10
answered Who is the issuer and the counter part of this instrument?
Mar
4
comment Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)
Upvoted, though I'm not sure "ubiquitous" is really true. What desks is it ubiquitous for? Or are you thinking more of academic literature?
Feb
28
awarded  Civic Duty
Feb
25
comment Model calibration to illiquid assets when pricing options with long maturities
Sorry, nothing comes to mind. Capital structure tends to be considered, at best, abstractly in the academic literature and I have never seen an academic paper involving empirical data of capital structure changes. Among hundreds of thousands of papers it must exist, but I've never looked hard enough find any such thing.