416 reputation
27
bio website guseynovrv.wordpress.com
location Moscow, Russia
age 32
visits member for 2 years, 3 months
seen Dec 15 at 15:52

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


Jul
4
answered expected value of the discounted payoff
Jun
27
awarded  Commentator
Jun
27
comment How to numerically obtain delta?
in this case it's hard for me to tell anything without looking at actual code and values
Jun
27
comment How to numerically obtain delta?
But basically I'd suggest you to check if your black-scholes price coincides with Matlab's blsprice.
Jun
27
comment How to numerically obtain delta?
That's really interesting. I never used gradient function to calculate derivatives manually. In case C(:) is vector of call prices and S(:) is vector of spot prices, I calculate delta numerically like this: Delta = diff(C)./diff(S).
Jun
27
revised Change option B&S pricing
Forgot about T
Jun
26
comment How to numerically obtain delta?
I can only imagine option with non-smooth value, like barrier option close to the barrier. In this case numerical derivative might give result very different from analytical one. Could it be your case?
Jun
26
answered Change option B&S pricing
Jun
21
comment Applicability of PCA to get historical volatilities to calibrate interest rates trees
3) I completely agree with you that first eigenvector would not give a great estimate, it will explain 20-40% of all variability of the curve. But! Maybe it is still better then simple historical volatilities?
Jun
21
comment Applicability of PCA to get historical volatilities to calibrate interest rates trees
2) Not sure whether that question is quite relevant, because the guy in there wants to price option on basket, while I want to model short rate using information on dynamics of the whole curve
Jun
21
comment Applicability of PCA to get historical volatilities to calibrate interest rates trees
1) 1D tree is a kind of nonsense, sorry for that. I meant, well, usual tree in two dimensions - asset and time. Now, such tree is built using two 1xN vectors - interest rate curve and volatility. Example code here link
Jun
21
answered What is the analytic value of an asset's risk contribution, if $n=2$?
Jun
20
awarded  Autobiographer
Jun
20
answered Does YTM represent interest?
Jun
20
awarded  Supporter
Jun
20
comment Applicability of PCA to get historical volatilities to calibrate interest rates trees
You see, I want to build 1D flat tree, the question is only how would it be better to choose volatility structure to calibrate the model. The choice I see now is use either straightforward historical volatilities without any account for correlations, or calculate covariance matrix and take first PCA component from it. In both cases I have 1xN vector with volatilities, which I (technically) can use as a starting point of building a tree
Jun
20
revised How to estimate real-world probabilities
Added missing words
Jun
20
awarded  Teacher
Jun
20
answered How to estimate real-world probabilities
Jun
20
awarded  Editor