7,663 reputation
826
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 2 months
seen 9 hours ago

Worked in a lot of quant areas


Oct
18
answered Is Vasicek risk neutral?
Oct
17
answered Correlated Wiener processes of different factors
Oct
9
answered Is “Issuer and Holder with same strike” meaningless?
Oct
8
comment Effective anti-gaming controls in dark pools
Dark pools will often "look at the flow" -- order to fill ratios and the like -- to separate HFT players from the rest. They can then allow large institutional investors to refuse trading with HFT in their pool.
Oct
4
answered Risk Neutral Evaluation - Exchange/Spread Options
Oct
3
comment Question about the rationale of applying certain recovery rate by ISDA
It's really just a pricing convention, so that everyone agrees on the dollar value of a contract quoted in spread. It doesn't mean, necessarily, that that recovery rate goes into the actual pricing and risk decisions.
Oct
2
comment Extreme Value Theory possible for portfolios with options?
Last time I talked to her, she was having trouble enough applying it to equities, but it's the only decent EVT work I've ever seen in finance.
Oct
2
comment Extreme Value Theory possible for portfolios with options?
Are you aware of Lisa Goldberg's work on the topic?
Oct
2
comment Can option prices be characterised by an ODE?
I think you are asking, since $V(S,t)=V(S(t),t)$ why we cannot write that as just $V(t)$. We can, but then we're effectively expressing $V$ as a random process (like we do with $S$), which then means there's no longer any kind of PDE or ODE involved -- just the SDE.
Oct
2
answered Can option prices be characterised by an ODE?
Oct
1
comment Concave volatility smile
Fixed up that link...
Oct
1
revised Concave volatility smile
link fix
Oct
1
answered Concave volatility smile
Sep
30
comment Control variate for Heston model
Are your vanillas American or European exercise? What pricing algorithm are you using?
Sep
30
comment How to derive zero-coupon rates from IRS?
Short answer: you can't. There's a credit spread between the two that blew open within the past 4000 days.
Sep
27
comment Basic question about bonds pricing
Exactly. (Sometimes corporate zero curves get "copied" over to new issues from related companies also, but this has mostly been done with CDS spreads as CDS have risen in prominence)
Sep
27
answered Binomial lattice convergence
Sep
26
answered Basic question about bonds pricing
Sep
23
answered Why is the Put-Call Symmetry model dependent?
Sep
11
answered Index arbitrage with Options when not all underlyings have options listed?