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| bio | website | bachelierfinance.org |
|---|---|---|
| location | United States | |
| age | 44 | |
| visits | member for | 2 years, 3 months |
| seen | yesterday | |
| stats | profile views | 475 |
Worked in a lot of quant areas
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Nov 16 |
comment |
Does mean reverting imply mean stationary? "exhibiting mean reverting properties" is pretty general in any case...it could be as weak as the power spectrum having small size for long wavelengths |
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Nov 14 |
comment |
Version of Girsanov theorem with changing volatility I actually just checked Karatzas and Shreve without finding the version/result I am thinking of -- did I imagine it? I may withdraw this answer. |
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Nov 14 |
comment |
About Option Adjusted Spread, rate curves and bonds comparison If you go to the Bloomberg OAS page, it does offer a few different OAS models, none of them great but you can get an idea of your potential model error that way. I think the help also reveals some detail about the calibration and if you pester the Bloomberg help desk enough they will have a quant get back to you with more complete details. |
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Nov 14 |
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About Option Adjusted Spread, rate curves and bonds comparison I'm not quite sure what quasi-maximum likelihood method is -- do you mean the generalized method of moments for time series? In that case I dislike it -- in principle the model should be calibrated to traded securities prices rather than history, because it is about prospective option pricing. |
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Nov 14 |
revised |
How do you explain the volatility smile in the Black-Scholes framework? Added skew plot |
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Nov 12 |
revised |
How do you explain the volatility smile in the Black-Scholes framework? change confusing letters |
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Nov 12 |
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Using Black-Scholes equations to “buy” stocks I prefer richardh's answer...viewing equity as a perpetual option on assets is certainly interesting, even though it's operationally difficult. |
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Nov 12 |
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Using Black-Scholes equations to “buy” stocks The question is effectively about whether BS helps provide a mathematical framework for the decision to purchase stock. You have answered a different question: whether one can use option purchases (which the poster said he cannot perform) to effectively purchase stock. |
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Nov 12 |
answered | Version of Girsanov theorem with changing volatility |
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Nov 12 |
answered | How do you explain the volatility smile in the Black-Scholes framework? |
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Nov 12 |
answered | About Option Adjusted Spread, rate curves and bonds comparison |
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Nov 5 |
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Conditional or unconditional volatility? Conditional on survival perhaps? |
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Oct 26 |
revised |
What is Heston's equation? added 308 characters in body |
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Oct 26 |
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Equity option portfolio greeks with underlying Well, $ \frac{\partial^2 S}{\partial S^2 } $ is zero while $ \frac{\partial S}{\partial t }$ is nonzero in the case of a dividend stream or other cashflow.... |
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Oct 24 |
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Equity option portfolio greeks with underlying That's the right idea Strimp. @mynegation, your answer is still not quite correct. Strimp shows above that vega is zero rather than nonsensical. |
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Oct 24 |
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Equity option portfolio greeks with underlying Close, but you should fix your answer because $\theta$ is generically nonzero for positions in the underlying. |
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Oct 23 |
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Equity option portfolio greeks with underlying You're going to kick yourself when you learn the answer.... |
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Oct 23 |
answered | self-consistent parametric form for equity implied volatility |
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Oct 23 |
answered | What is Heston's equation? |
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Oct 23 |
answered | VaR for corporate bonds |
