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| bio | website | Nonewhatsoever |
|---|---|---|
| location | London, United Kingdom | |
| age | ||
| visits | member for | 8 months |
| seen | 2 days ago | |
| stats | profile views | 21 |
Merge keep
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2d |
comment |
What are the best Journals & Conferences in Quantitative Finance? In conferences, you can add 'Global Derivatives'. |
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Apr 26 |
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Daily Abnormal Return Can you define abnormal ? |
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Apr 16 |
revised |
Best tool to generate cashflow diagrams added 45 characters in body |
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Apr 16 |
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Best tool to generate cashflow diagrams It does not, I just gave the steps to use it with LyX, will edit to clarify. I put the steps for $LyX$ because I know many people who are not familiar with working directly with $\LaTeX$ files. |
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Apr 16 |
answered | Best tool to generate cashflow diagrams |
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Apr 16 |
asked | Best tool to generate cashflow diagrams |
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Apr 9 |
answered | Using Black-Scholes equations to “buy” stocks |
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Apr 9 |
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right datasource for obtaining various financial information Would Thomson or Reuters containing a long enough history ? |
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Apr 9 |
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Earnings and valuation data sources online I suspect practically, unless you have an army of analysts you will not be able to use Edgar systematically ? |
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Mar 25 |
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Mean Reverting Spread Can you reply to your own question giving more details about the steps you used to do it ? Or was it as simple as estimating the constant parameter and removing it ? |
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Mar 22 |
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Why the implied volatilities calculated are so different @BobJansen: you can edit the post. |
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Mar 21 |
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Credit risk data I confirm that MarkIt is the golden source. |
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Mar 15 |
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compute FX forward from broker's data @cf16: literally go on Reuters, or on their webpage, if you do not have Reuters EIKON. Look at EURUSD, you will see a quote like 1.3060. This means that the pips have to be divided by 10000 because (by convention) they are added to the last digits of the FX quote ... |
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Mar 12 |
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compute FX forward from broker's data To know what divisor you need to use, the easiest is to look at the # of digits in the FX spot on Reuters, the pips will be added to the same precision. |
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Nov 23 |
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Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly? Did you compute the delta numerically or did you use a close form solution ? Can you provide the details of your computation. Did you try to compute your delta with $r=0$ ? Is it simply because of the discounting on the strike ? |
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Nov 23 |
revised |
How to simulate a Merton Jump Diffusion process? added 303 characters in body |
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Nov 23 |
revised |
How to simulate a Merton Jump Diffusion process? added 303 characters in body |
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Nov 23 |
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How to simulate a Merton Jump Diffusion process? Ah I got you now ... the code provided use the solution to the equation you have just typed. |
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Nov 23 |
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When does delta hedging result in more risk? In this example, what the interviewer mean is that in this case, you increased the range of possible PnL values and you added a few more extreme values on the distribution of PnL. It is important, as a marketmaker, that you have an idea about what is your potential maximum loss and in this case, your hedge increase the poetntial loss in the tail event. |
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Nov 23 |
answered | How to simulate a Merton Jump Diffusion process? |
