Reputation
6,358
Next tag badge:
30/100 score
12/20 answers
Badges
11 40
Impact
~135k people reached

Jan
7
answered Volatility of EUR/USD: is this correct?
Jan
7
answered Calculate VaR for a liabilty taking a exponential distribution?
Jan
2
comment Data exported from Capital IQ, FactSet, Bloomberg, Compustat
So you answer your own question two times ... maybe one time is enough ..
Dec
31
revised Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
edited title
Dec
30
comment Convex risk measure and a coherent risk measure?
Every coherent measure is convex. The reverse is not true (but maybe in a lot of cases ... still not in general).
Dec
30
comment Convex risk measure and a coherent risk measure?
no, but if you have subadditivity and homogeneity then you automatically have a convex risk measure. This is what "implied" means. Coherent implies convex. Thus convex is more general.
Dec
30
comment Convex risk measure and a coherent risk measure?
the first formula is still not a statement ...
Dec
30
answered Convex risk measure and a coherent risk measure?
Dec
30
comment Convex risk measure and a coherent risk measure?
What does your first formula say? This is $\rho$ of something .. this is no property not theorem .. just nothing.
Dec
17
revised Is Low-Volatility expensive these days? How can we analyze this?
added 1 character in body
Dec
17
asked Is Low-Volatility expensive these days? How can we analyze this?
Dec
13
comment How to get real interest rate from Nominal spot rates?
I get an import from Bloomberg. If you start typing "inflation linked" you get auto-completion for linked bonds .. maybe ilb or something similar give you the overview of inflation linked bonds ... wb is the command for world bond markets.
Dec
13
revised How to get real interest rate from Nominal spot rates?
deleted 2 characters in body
Dec
13
comment Distribution of stochastic integral
I think that this reasoning is true but too short and it is only about the expected value ... we would need more as a full answer
Dec
13
answered How to get real interest rate from Nominal spot rates?
Dec
11
answered Black Scholes Implied Volatility -> Put call parity
Dec
2
awarded  Popular Question
Dec
2
comment Black-Scholes PDE: what is the form of the boundary conditions
No, please google the terms "American" means that it can be exercised anytime up to expiration - this is a property of the option. Paying dividends is a property of the stock. As I see it you don't have dividends in your equations.
Dec
2
comment Black-Scholes PDE: what is the form of the boundary conditions
See my edit in the answer.
Dec
2
revised Black-Scholes PDE: what is the form of the boundary conditions
added 974 characters in body