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seen Jan 25 at 20:05

Feb
27
revised Discrete time Ho lee model
add latex and paragraphs
Feb
26
suggested suggested edit on Discrete time Ho lee model
Feb
24
answered What is the expected return I should use for the momentum strategy in MV optimization framework?
Feb
20
awarded  Enthusiast
Feb
17
comment What is the expected return I should use for the momentum strategy in MV optimization framework?
I guess you can estimate the distribution of returns by backtesting your momentum strategy. Then you can adjust this estimate during your strategy’s lifetime from your trading results. Additionally you can enhance this by accounting for different market regimes or incorporate other factors which influence the returns on your strategy.
Feb
14
comment How are Expected Shortfall and Variance related?
Got it. Can you shed some light why you want to compare the sample std. dev. (which are directly observable from samples) looking at shortfalls?
Feb
14
comment How are Expected Shortfall and Variance related?
If samples are drawn from different distributions, I guess you can construct a counter-example e.g. by taking a standard normal distrbiton and skewed normal distribution.
Feb
12
awarded  Yearling
Feb
8
answered Is Visual Basic a fast enough for millisecond orders
Feb
7
comment How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
+1 MC is not required here
Feb
7
comment How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
What do you exactly mean by "parametric VaR-measure to give better results"? The method you described as "parametric" looks like variance-covariance method. If better means account for jumps, then it cannot do better under your assumptions. Have you tried historical VaR?
Feb
5
revised What causes the call and put volatility surface to differ?
typo fixed
Feb
5
comment What causes the call and put volatility surface to differ?
@Jeffrey Yes, as far as there is no volume, the price is not representative. You shouldn't use ITM option prices for calibration of your local volatility model.
Feb
4
comment What causes the call and put volatility surface to differ?
@Jeffrey Yes, it holds only for put and call with the same strike and time to maturity. What do you mean by "but in the market thats not true"? Do you mean that you observe different implied volatility for put and call with the same strike and time to maturity?
Feb
4
answered What causes the call and put volatility surface to differ?
Feb
4
revised What causes the call and put volatility surface to differ?
fixed typo
Feb
4
suggested suggested edit on What causes the call and put volatility surface to differ?
Feb
4
comment Maximization of CARA utility function: unique solution with an unbounded parameter?
@MaxLi Yes, thanks. I've already noted this in my last edit, i.e. "he invests everything (using leverage) to get maximum return"
Feb
3
comment Maximization of CARA utility function: unique solution with an unbounded parameter?
By the way, my previous comment was not intended to encourage cross posting.
Feb
3
revised Maximization of CARA utility function: unique solution with an unbounded parameter?
added 689 characters in body