Alexey Kalmykov

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	1,756 reputation	bio	website	quantfinance.ru	visits	member for	2 years, 4 months
417 badges		location			seen	4 hours ago

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Feb 1	comment	How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) let us continue this discussion in chat
Feb 1	comment	How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) :) Just set the `form.volatility.value` to your IV value. No additional changes required. I mean this code doesn't care if you use IV or historical vol. IV and historical vol are just 2 methods to get estimate true volatility of the stock.
Jan 31	comment	How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) @Vtech I think you don't need to change anything. You just need to use annualized IV rather then historical volatility. It all depends on your approach: some people prefer use historical volatility, while others believe that implied volatility is more reliable.
Jan 31	comment	How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) Actually the calculation itself is pretty short. I think you can squeeze it in one excel formula. It's just reading values/writing them back that makes it long.
Jan 31	answered	How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan 27	answered	Topological methods in finance
Jan 25	asked	How to quickly sketch a second order greek profile for a vanilla position?
Jan 24	comment	Copula models and the distribution of the sum of random variables without Monte Carlo Check the article "Fast computation of the distribution of the sum of two dependent random variables" by Embrechts and Puccetti (searcheable via google)
Jan 22	comment	Is there a copula that can estimate negative tail dependence? Tail dependence coefficient is by definition non-negative. You need to formulate what do you mean by "negative dependence in the tails" as it's not obvious.
Jan 20	comment	How to calculate Vomma of Black Scholes model This is not an accusation and you take it too personally for some reason. Indeed, many authors and publishers allow to download their books online, e.g. Elements of Statistical Learning. However, note that 1) this ebook is scanned and not the original PDF 2) author's site doesn't indicate existence of free electronic version of this book. I leave at your discretion as I have no interest in going further into further debate on this.
Jan 19	comment	How to calculate Vomma of Black Scholes model Please restrain from posting links to copyrighted material.
Dec 23	comment	Are there any tools or useful algos for identifying corner portfolios? Are you sure? Check the paper provided in the answer by Bryce, page 4, in the bottom: "The the set of eﬃcient portfolios of risky assets can be computed as a convex combination of any two eﬃcient portfolios."
Dec 23	comment	Are there any tools or useful algos for identifying corner portfolios? Correct me if I'm wrong, but efficient frontier is a linear combination of any two efficient portfolios.
Dec 23	comment	easy one step option replication If you trust your intuition, you will be willing to buy this option for around 10. I will be most happy to sell it to you for 10 and make a risk free profit. Read math.nyu.edu/research/carrp/papers/pdf/faq2.pdf
Dec 16	answered	Regressor: Nominal return, continuous return or first difference?
Dec 13	comment	Using OpenCL video cards to offload Quant Finance calculations, what features should I look for? What does "better at parallel multiplication vs parallel addition" mean? Do you want a card that multiplies faster than adds?
Nov 28	answered	Treasury Bond Yield Curves in R
Nov 27	revised	Which brokers offer a .NET stock trading API? edited body
Nov 27	answered	Which brokers offer a .NET stock trading API?
Nov 27	comment	Does entropy pooling apply to distributions with time-varying drift? @Bytesize Yes, I agree with you. If your drift is known in your investment horizon, then you are fine. But you still need to adapt the method to account for the time dimension.