579 reputation
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bio website Nonewhatsoever
location London, United Kingdom
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visits member for 2 years, 2 months
seen Sep 4 at 16:39

Merge keep


Jul
8
comment Utility to download historical Implied Volatility data from Interactive Brokers?
@SpeedBoots: Usually on StackExchange you should post the details of any links for the reason chrisaycock mentioned.
May
28
comment How to simulate a Merton Jump Diffusion process?
@Riste: if your question is for OP, it is better to ask it on the question rather than one of the answer.
Jan
14
comment Calculate Daily Returns for Sharpe Ratio
Thanks, I totally missed the part about MTM
Jan
9
comment How to design a custom equity backtester?
For the stop loss issue, you should assume the worst case scenario. Ideally you should not work at a resolution where the stop loss would be so close that it would be a common occurrence that the order would matter.
Jan
4
comment How to reproject rates risk on a subset of tenors
They are obtained via bumping your inputs in your risk/pricing model and recomputing the PV.
Nov
3
comment From Fourier Transforms to Option Values
@vonjd: were you one of his students ?
Nov
1
comment What is “Flow Interest Rates”?
It probably had a different meaning at that time, and with the surge in exotics, they had to differentiate both streams.
Nov
1
comment Relationship in Order Book between S&P500 and S&P500 Futures Contracts
@jessica: I think the explanation is that you can make a forward by buying the spot and borrowing the money necessary to buy it until future delivery. Therefore if it deviates from this implied price, people will just try to take advantage of this relationship and this is what keeps the price in line.
Oct
31
comment Difference between Ibovespa full and mini futures contract
@Randomblue: I am not sure what you mean, the values from the table (0.2 and 1) are the 'value of each point' in your formula. This is what is changing between the contracts.
May
15
comment What are the best Journals & Conferences in Quantitative Finance?
In conferences, you can add 'Global Derivatives'.
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
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
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.