7,673 reputation
926
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 2 months
seen 16 hours ago

Worked in a lot of quant areas


Apr
17
comment Usage of Brownian Bridge?
For scrambling, a good place to start would be Hinckernell's Quasi-Monte Carlo methods and their randomizations.
Apr
16
comment American Swaption Pricing with Monte-Carlo method
Use trees or other PDE discretization. Though you say they are "difficult" they are the right approach.
Apr
16
comment American Swaption Pricing with Monte-Carlo method
American exercise is precisely when you want to avoid using Monte Carlo.
Apr
9
comment Are power contracts traded on any stock market?
Power contracts were always the domain of the theoreticians. I never saw one go through our exotics desk (though our software would have supported it, because it was so darn easy to put in the library).
Apr
4
comment Efficient numerical approaches for pricing American Options with multiple sources of noise
I consider Tavella and Randall to be the best place to learn finite difference techniques for finance.
Apr
4
comment How to compare different volatility measures?
You need to define what you mean by best and explain more precisely to get an germane answer.
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
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
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
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
comment Why does it “say” portfolio diversification not suitable during market turmoil?
Upvoted, but I sure would like to see the Kritzman paper.
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
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
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.