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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 5 months |
| seen | yesterday | |
| stats | profile views | 5 |
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May 15 |
comment |
Overnight Index Swaps Isn't this a discount quoting convention as with repos? ie - this is how the yield is quoted |
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Apr 19 |
answered | Resources for finding scholarly research on topics in quantitative finance? |
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Apr 16 |
comment |
How do you know if if an option is priced correctly? That was an excellent, nuanced answer. It motivates me to wonder whether historically, options prices have been fair compensation for the risk of expiring in the money. |
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Apr 11 |
comment |
Modelling long run relationship between dividend and earnings I think you are misreading your own regressions? |
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Mar 23 |
comment |
Black-Scholes and Fundamentals Agreed, it's just a convexity correction, there is no economic meaning. |
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Feb 19 |
comment |
Kelly criterion and Sharpe ratio I took his post to be something along the lines of, "Oh, if you substitute this in here and in there, this equals that, which is kind of interesting. That might explain why people like the number 2." It isn't a grand epiphany, any more than streets will cross avenues, and some of those intersections are in Times Square. |
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Jan 23 |
answered | Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset? |
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Jan 22 |
comment |
Other means of calibrating Heston models Yeah, it also gives hope that models won't be popularized solely based on their analytical tractability anymore, but on the merits of their accurate description of underlying dynamics, even if they must be numerically solved for everything. |
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Jan 22 |
comment |
Other means of calibrating Heston models Yes I suppose with the long-jumping discretizations Monte Carlo methods could be used for calibration as well, but I still have the feeling some folks invert the vanilla formulae to calibrate to a given set of European options (if that is the goal). Not 100% sure though. Nice links, will read this week hopefully - never enough time to read everything! |
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Jan 21 |
answered | Other means of calibrating Heston models |
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Jan 10 |
answered | Why is short term implied volatility typically higher? |
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Jan 5 |
answered | Yield of a risky bond |
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Dec 27 |
awarded | Supporter |
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Dec 27 |
comment |
How to simulate stock prices using variance gamma process? It's a basic survey/study of a variance gamma model vs black-scholes, using calibrations to both historical as well as implied data. |
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Dec 25 |
awarded | Revival |
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Dec 24 |
answered | easy one step option replication |
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Dec 24 |
awarded | Teacher |
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Dec 24 |
answered | How to simulate stock prices using variance gamma process? |
