8,379 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 10 months
seen 13 hours ago

Worked in a lot of quant areas


Dec
2
revised Deriving credit spreads or migration matrices from prob of default
add example
Oct
14
revised CDS Spread and Par Bond Yield Spread
add section on const int rate
Oct
2
revised Portfolio Turnover Constraint
added 1 character in body
Sep
15
revised What is Base- vs. Implied Correlation of a CDO tranche?
added 2 characters in body
Sep
12
revised What is Base- vs. Implied Correlation of a CDO tranche?
added 445 characters in body
Aug
12
revised CDS - Accumulated Default Risk?
added 1014 characters in body
May
24
revised Create optimal portfolio by Treynor and Jensens Alpha
min variance
May
13
revised How to price long dated options most efficiently?
typo fix
Apr
25
revised When can a derivative be considered to be path dependant?
Add reference for Asian options
Apr
24
revised When can a derivative be considered to be path dependant?
formatting
Apr
17
revised Usage of Brownian Bridge?
added 107 characters in body
Mar
18
revised Definition of Return of A Long/short Portfolio
Fix cash in leverage
Feb
10
revised How do you explain the volatility smile in the Black-Scholes framework?
Fix SDE typo
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
Oct
19
revised Is Vasicek risk neutral?
added 161 characters in body
Oct
1
revised Concave volatility smile
link fix
Aug
7
revised How to design back-testing (validation) for such modified Vasicek model?
added 180 characters in body
Jul
30
revised Why does Black-Scholes equation hold on continuation region of American Option?
Fix mistake in operator spec
Jun
10
revised Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?
added 8 characters in body