361 reputation
17
bio website guseynovrv.wordpress.com
location Moscow, Russia
age 31
visits member for 1 year, 7 months
seen Apr 11 at 11:20

My area of interests includes programming (.Net, Java), corporate finance (CFA harterholder) and quantitative finance (CQF candidate).


Nov
11
comment converting US tickers into Reuters RIC
Looks like that's the case. Unfortunately, I can't say for sure, but I'd suggest you to try.
Nov
11
answered converting US tickers into Reuters RIC
Nov
1
comment From Fourier Transforms to Option Values
+1 nice article
Oct
25
comment Risk Neutral Probability
Why do two probability measures differ? Because of the way they are constructed. Do you ask why risk-neutral measure is constucted in a different way then real-world measure? Or why it is constructed at all?
Oct
24
answered Innovative ways of visualizing financial data
Oct
17
revised Is Vasicek risk neutral?
added 356 characters in body
Oct
17
answered Is Vasicek risk neutral?
Oct
17
comment SDE simulation: P or Q?
You only need Brownian motion.
Oct
16
comment Bond duration as estimation to holding return
Any link to where you found such estimate?
Oct
10
awarded  Critic
Oct
2
answered What is the “delta” option quoting convention about?
Aug
27
awarded  Yearling
Aug
16
comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$?
What do you mean saying mu(t) is correlated to sigma(t)? They are determenistic functions, there can only be case when sigma = f(mu(t)), something you have already mentioned.
Aug
13
comment How popular is the IRR as a tool for capital budgeting, nowadays?
And that is why managerial experience (in case their decisions are not biased by their personal interest) might be more sound than any of these stupid metrics
Aug
13
comment How popular is the IRR as a tool for capital budgeting, nowadays?
Some Monte-Carlo simulation of the project might look more helpful. But such models are highly susceptible to model risk (i.e. such models use unrealistic assumptions and thus might be even more deceptive)
Aug
13
comment How popular is the IRR as a tool for capital budgeting, nowadays?
I don't know how to answer. Simple answer would be: Yes, it should, but not always happens. Then, if we do not account for any possible corruption (which is of course impossible!), even in this case I am sure that no metric can be a good forecast of possible project outcome. None of them (IRR, NPV) accounts for risks well.
Aug
13
answered How popular is the IRR as a tool for capital budgeting, nowadays?
Aug
12
answered Black model - volatility estimation
Aug
6
answered Duration of a floating rate note
Jul
4
answered expected value of the discounted payoff