8,379 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 10 months
seen 2 hours ago

Worked in a lot of quant areas


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.
Feb
25
comment What information about the stochastic process is available from path-dependent options?
If exotics, they would likely be prices, If vanilla options they might be in volatility terms but for these purposes you can think of them as then being transformed to prices before engaging in the fit.
Feb
24
answered What information about the stochastic process is available from path-dependent options?
Feb
24
answered Model calibration to illiquid assets when pricing options with long maturities
Feb
24
answered Practical equity options pricing
Feb
24
comment How does buying back stock affect a company's credit spread?
Worth noting: dividends have the same effect. (Stock buybacks are often considered to be in lieu of dividends since the tax consequences are better).
Feb
24
comment what was the quant role in the 2008 crash?
You appear to be conflating P-quant ("quant" hedge funds) and Q-quant ("derivatives") work, along with the practice of algorithmic trading. They occupy fairly different parts of the finance industry ecosystem. I'll further add that especially way back in 2008, algorithmic trading was not very quantitative at all.
Feb
10
awarded  Nice Answer
Feb
10
revised How do you explain the volatility smile in the Black-Scholes framework?
Fix SDE typo