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

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.
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!
Mar
21
comment Matlab - Differences between rng and rand
Thanks, I think I was confused with the docs, thanks for pointing things out.
Mar
21
comment Matlab - Differences between rng and rand
Ah...so I just so happened to use an integral value as a seed when using rand, but I guess it is completely wrong! Sorry, MATLAB noob here :)
Feb
8
comment Other means of calibrating Heston models
It is really difficult to implement I think, the best way is probably just through numerical integration I guess, but thanks for the answer
Jan
22
comment Other means of calibrating Heston models
That link is dead but here is a working one: mpra.ub.uni-muenchen.de/2975/1/MPRA_paper_2975.pdf Thanks for sharing!
Jan
22
comment How to avoid having negative volatility when applying Heston model?
Thanks for the answer but why you can't have negative vol when, say, in Heston model, vol is just a SDE?
Jan
20
comment What are the advantages/disadvantages of these approaches to deal with volatility surface?
Thanks @Freddy!
Jan
20
comment What are the advantages/disadvantages of these approaches to deal with volatility surface?
Thanks @vonjd, I will do some readings on the book then.
Jan
20
comment What are the advantages/disadvantages of these approaches to deal with volatility surface?
Thanks a lot for your response, I think your response is definitely very practical and is very helpful from a practitioner stand of view. And could you kindly elaborate on why the parametrized vol is useful for VIX options? Is it because of the easiness in computation? However, isn't parametrization generate arbitrage-free surface only under certain conditions? Thanks for your clarification
Jan
20
comment What are the advantages/disadvantages of these approaches to deal with volatility surface?
Thanks for the very detailed and summarized answer, truly appreciate your help!