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visits member for 1 year, 7 months
seen Feb 11 at 21:52

Jul
2
awarded  Curious
Feb
8
awarded  Tumbleweed
Feb
1
asked Funding spread in FVA calculation
Feb
1
asked Interpolation on CDS rates
Jan
13
awarded  Yearling
Dec
8
awarded  Popular Question
Sep
16
comment Time series analysis on illiquid price data?
@MattWolf Just like what you have mentioned, this is something I do not know and I am trying to find out, the industry is pretty unique in a way that it is small and the data is limited, hence if you compare this to say the IPO of FB, where there are already tonnes of data for similar companies, it won't be the same.
Sep
16
comment Time series analysis on illiquid price data?
@MattWolf I agree, however that is exactly the point. Initially when the stock start to get traded, the price is somewhat "mis-priced" and assuming that it will eventually revert to the theoretical mean, that would represent a trading opportunity.
Sep
15
asked Time series analysis on illiquid price data?
Jun
25
accepted Heston MC Simulations - Speed up in Matlab
Jun
19
awarded  Commentator
Jun
19
comment Heston MC Simulations - Speed up in Matlab
@ClebsonDerivan I'll take a look at it, thanks for your help!
Jun
19
comment Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
thanks a lot, this seems to be a good way to start!
Jun
19
accepted Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
Jun
18
awarded  Excavator
Jun
18
awarded  Editor
Jun
18
revised using quantlib function in my c++ program
added in the first include, which is required in .NET
Jun
18
asked Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
Jun
18
asked Heston MC Simulations - Speed up in Matlab
Jun
18
suggested suggested edit on using quantlib function in my c++ program