meta user
network profile
| bio | website | |
|---|---|---|
| location | London, United Kingdom | |
| age | ||
| visits | member for | 11 months |
| seen | Nov 25 '12 at 17:54 | |
| stats | profile views | 28 |
I'm a quant / programmer and big fan of scripting languages - python in particular.
Based in London and working as consultant for the financial services industry after having worked many years in banks.
Trying to implement what I think are the right productivity tools for people in the financial community. Hoping to leverage existing tools and extend them: pandas / iPython / matplotlib.
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Sep 16 |
awarded | Supporter |
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Sep 3 |
awarded | Critic |
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Aug 30 |
answered | Indexes/stocks with flat implied volatilities |
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Aug 20 |
comment |
Is it more accurate to analyze returns on a calendar day basis than a trading day basis? check out [quant.stackexchange.com/questions/3205/… of treating time in the BS formula), where I mention 'elastic time'. That's useful for option risk management, in that it takes into account the fact that some days are more or less volatile than others (week-end day being an important example). |
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Aug 6 |
answered | market completion under stochastic volatility model |
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Jul 27 |
answered | What is an acceptable error on implied volatility? |
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Jul 15 |
answered | Why does Skew measure remain more-or-less constant for Listed Expiries? |
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Jul 11 |
comment |
Historical volatility from close prices (Haug pg 166) For better efficiency, you could write log_squared_returns = [ pow(x,2) for x in log_returns ] and that would have prevented your error mentionned by @VincentZoonekynd |
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Jul 9 |
answered | Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would? |
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Jul 9 |
comment |
What really drives option implied volatility? No indeed - change in demand does not imply actual transactions, but the role of the market maker is to have some idea of where the market is, and bid slightly lower / offer slightly higher so he makes money (at least if he's right about his assesment of the market and/or manages to offload his risk early enough) |
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Jul 7 |
answered | What really drives option implied volatility? |
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Jul 3 |
answered | Why use swap-rates in a yield curve? |
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Jul 1 |
answered | Ways of treating time in the BS formula |
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Jul 1 |
answered | Convexity of BS Equation for Call and Put |
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Jun 24 |
awarded | Teacher |
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Jun 24 |
answered | Why do some people claim the delta of an ATM call option is 0.5? |
