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Mar
10
revised What are the properties of Max and Min functions?
added 170 characters in body
Mar
10
answered Exponential weighting of returns
Mar
10
answered What are the properties of Max and Min functions?
Mar
9
comment The role of Gamma in replicating a put
Thanks @Mark Joshi, I will have a look at the book. I have cecked your web page - thanks for taking part in this form as an academic and practitioner. In short: if I "have to" us BS and if I don't want to trade assets with non-linear pay-off then I do frequent Delta-hedging and this is more or less the best I can do - right? Of course I should get implied vol "right".
Mar
6
asked The role of Gamma in replicating a put
Mar
5
awarded  Custodian
Mar
5
reviewed Excellent CIR model: is the short rate really non-central $\chi^2$ distributed?
Mar
5
reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Mar
5
reviewed Excellent Black Scholes formula with continuous dividend paying stock
Mar
5
reviewed Excellent When are implied and real world parameters the same?
Mar
5
reviewed Excellent Deriving the definition of stochastic integrals with respect to Ito processes from first principles
Mar
5
reviewed Satisfactory How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
5
reviewed Satisfactory How to compute the VaR for European Call, using the delta-normal method?
Mar
5
reviewed Satisfactory Why is there onshore and offshore currency?
Mar
5
answered How to estimate parameters of geometric brownian motion with time-varying mean?
Mar
5
comment How to assess stock price movement from implied volatility?
One would need $\mu$ but an option does not tell you anyting about the drift as it is assume to be the risk free rate (or you look at the implied forward) ...
Mar
4
comment What to use as portfolio diversification measure?
@John this sound interesting. Do you have a link to that paper too?
Mar
4
comment What to use as portfolio diversification measure?
@mtiano No, if your assets are linearly independent the PCA will not give you eigenvalues of zero. The covariance matrix will have full rank and all eigenvalues will be bigger than zero. If you have more assets than observation times then you have to use another estimator for the covariance matrix (e.g. shrinkage)
Mar
4
revised What to use as portfolio diversification measure?
added 232 characters in body
Mar
3
comment What to use as portfolio diversification measure?
"PC analysis assumes the existence of zero variance portfolios" - no, it does not. It is rather the opposite ... where do you have this from? Any proof or reference?