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bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 3 mins ago

Worked in a lot of quant areas


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
Feb
8
awarded  Yearling
Jan
24
comment Quasi Monte Carlo in Matlab
The standard deviation of the estimator is a different beast from the standard deviation of the samples. You can indeed get an idea of the estimator's error by running on subsamples. However, unlike with PR sequences, you will find the estimator errors do not scale as $N^{-1/2}$.
Jan
24
answered Quasi Monte Carlo in Matlab
Dec
2
revised Itô diffusion processes in finance with unknown distribution at a terminal value
added 8 characters in body
Dec
2
revised Itô diffusion processes in finance with unknown distribution at a terminal value
added 130 characters in body
Dec
2
answered Itô diffusion processes in finance with unknown distribution at a terminal value
Nov
29
answered Pricing credit risky bonds
Nov
27
comment How accurately can the LIBOR market model price a floating note
How do you plan to calibrate your LMM? If to the floaters then you should expect perfect accuracy. If not, why not?
Nov
11
comment moody's credit ratings for senior unsecured bonds
I have never seen a case where they are not rated the same (and almost always if not always pari passu), but obviously anything could be specified in the indenture.
Nov
10
comment How to calculate implied vol for next trading day?
You can always call your prime broker for an OTC 1-day straddle quote.
Nov
8
awarded  Revival
Nov
8
comment LSM American Option pricing with dividends
Nope, that's all. Of course, discrete dividends are much easier to handle in MC than in trees, so you might want to go discrete anyway. Then again LSMC is so inaccurate you won't gain much from using discrete divs unless the dividends are huge.