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  • 0 posts edited
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  • 9 votes cast
Sep
20
comment Risk neutral drift vs real world
Posted too soon. Think of the former as the drift of a stock price.
Sep
20
comment Risk neutral drift vs real world
I think "drifts of underlying risk factor" is not related to the "risk-neutral drift". Think of the former as the future
Sep
20
comment Trying to understand the sign of Theta
If you're long an option, your theta is going to be negative because the value of the option decreases as the time to maturity decreases.
Sep
18
awarded  Organizer
Sep
18
revised How to calculate returns and sharpe ratio for futures?
Adds tag "returns"
Sep
18
suggested approved edit on How to calculate returns and sharpe ratio for futures?
Sep
18
answered How to calculate returns and sharpe ratio for futures?
Sep
18
awarded  Editor
Sep
18
comment optimization to maximize number of positive days
The comment about under or over-specification is a reference to the existence of a solution, or multiple solutions. I've updated the answer as it's not really relevant to the question.
Sep
18
revised optimization to maximize number of positive days
deleted 26 characters in body
Sep
18
comment optimization to maximize number of positive days
For the example you give, there is a unique solution. But for OP's problem, that may not be the case.
Sep
17
answered optimization to maximize number of positive days
Sep
17
answered Stressed Value at Risk vs Value at Risk
Sep
17
answered Credit exposure of a long CDS
Sep
16
answered Why linear interpolation not appropriate for volatility surface construction?
Nov
1
awarded  Supporter
Oct
24
awarded  Teacher
Oct
24
answered Sources of Machine Readable News