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| bio | website | |
|---|---|---|
| location | Vienna, Austria | |
| age | ||
| visits | member for | 10 months |
| seen | May 17 at 13:29 | |
| stats | profile views | 46 |
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Sep 25 |
revised |
How would you hedge this structure? clarified notation and formatted in latex |
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Sep 25 |
suggested | suggested edit on How would you hedge this structure? |
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Sep 5 |
comment |
Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @johntyree, Unfortunately no, not yet. |
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Sep 4 |
comment |
VIX = Vega of S&P500 options? If you look at the index calculation methodology in the VIX white paper: Couldn't you just try to replicate the index by using (part of) the option strips used for index replication? I would try to calculate the index myself and then try to evaluate which options to drop (p.e. by regression or maybe pca)... so basically it would be all about S&P-Options in that case... |
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Aug 31 |
comment |
Benfords law and quantitative finance @Richard Hi! I added some of those i thought to be relevant (without having actually read them). Maybe i will set some of them onto my reading list. Generally i think the room for applications will be quite small. The main thing Benfords law teaches us to take the right number distribution when trying to make up experimental data ;-D |
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Aug 31 |
revised |
Benfords law and quantitative finance added 1390 characters in body |
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Aug 31 |
revised |
Benfords law and quantitative finance deleted 27 characters in body |
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Aug 31 |
answered | Benfords law and quantitative finance |
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Aug 31 |
comment |
Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? Yes unfortunately my first response was nonsense. I obviously didn't read your question carefully enough the first time. I shall look into the Heston paper today and see if I can work something out. |
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Aug 30 |
comment |
Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? Sorry i think i went over something here too quickly. I was actually thinking about your choice of parameter $\theta = v_0$ and $\sigma=0$ without having fully understood your question i think. My bad. Sorry again. It has been a long day for me already... |
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Aug 27 |
awarded | Editor |
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Aug 27 |
revised |
Equivalency of FX forwards and FX basis swaps for risk-management purposes improved latex formatting |
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Aug 27 |
suggested | suggested edit on Equivalency of FX forwards and FX basis swaps for risk-management purposes |
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Aug 24 |
answered | Basic question about Black Scholes derivation |
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Aug 1 |
awarded | Supporter |
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Aug 1 |
comment |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? @Freddy Hi! Thank you freddy for the interesting references (i like the first one)! The main point i was making is: One should be careful with sharpe ratios $>1$. In the first paper there are four hedge fund sharpe ratios "slightly" $>1$. In fact in your $2^{nd}$ link only one sharpe ratio is $>1$. In the third paper as far as i can see hedge fund indices are being used which are known to have at least some bias. In my opinion it is still unclear if the sharpe ratios generally increased over time or not. But all data casts doubt on ratios greater than (lets be optimistic here) $1.25$). |
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Aug 1 |
awarded | Teacher |
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Aug 1 |
answered | How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? |
