599 reputation
19
bio website Nonewhatsoever
location London, United Kingdom
age
visits member for 1 year, 10 months
seen Jul 8 at 9:36

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Sep
6
awarded  Yearling
May
15
comment What are the best Journals & Conferences in Quantitative Finance?
In conferences, you can add 'Global Derivatives'.
Apr
16
revised Best tool to generate cashflow diagrams
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Apr
16
comment 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.
Apr
16
answered Best tool to generate cashflow diagrams
Apr
16
asked Best tool to generate cashflow diagrams
Apr
9
answered Using Black-Scholes equations to “buy” stocks
Apr
9
comment 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 ?
Mar
25
comment 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 ?
Mar
22
comment Why the implied volatilities calculated are so different
@BobJansen: you can edit the post.
Mar
21
comment Credit risk data
I confirm that MarkIt is the golden source.
Mar
15
comment 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 ...
Mar
12
comment 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.
Nov
23
comment 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 ?
Nov
23
revised How to simulate a Merton Jump Diffusion process?
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Nov
23
revised How to simulate a Merton Jump Diffusion process?
added 303 characters in body
Nov
23
comment 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.
Nov
23
comment 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.
Nov
23
answered How to simulate a Merton Jump Diffusion process?
Nov
5
comment Do taking in account the CSA create convexity effects in your stripping?
Ah, I do not have a login to Risk mag ... EDIT: A simple google search was enough ...