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seen Sep 1 at 10:17

Jul
12
comment The reason behind the selection of a 1 standard deviation movement for self financing delta hedge
Where did you find this "assumption of 1 standard deviation"? There should be no such assumption. Please provide a referenece.
Jul
12
comment how to calculate more efficient volatility figure than historical volatility?
What is "alpha value"?
Jul
10
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman Ok, then the answer is: in the end H type investors own less than 500k because if the market is thin they cannot convert it to $500k cash as investors who sold earlier consumed a lot of ask-side liquidity, thus there is not much buyers left to whom you can unload without driving the price down. Is that it?
Jul
10
comment How to make a historical index of a group of materials in which the set of materials changes every month?
This is more relevant for a Operation Research or Supply Chain Management StackExchange.
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman Ok. Then the answer: because their mandate or/and risk limits tell them to sell.
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
@AriB.Friedman In your example a bondholder didn't lost anything (as he didn't panic) and holders of the funds lost due to sell off the fund manager, right? If yes, what is the question exactly? Why fund managers sell off funds assets on drawdown?
Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
As Matt mentioned in the comment there is no specific "sell-off risk" of bond funds and "sell-off risk" as you describe is just a directional exposure. Even if you sell with other shareholders you are still exposed to market impact risk, i.e. risk that knowing about large scale sell-off market participants will exploit it ("predatory trading"). This can also be related to "imperfect accounting" that you mention.
Jul
8
comment Practical quantitative finance problems that could be solved in trustless grid computing environment?
@vonjd Sure, if you can come up with homomorphic encryption scheme. But this is usually an extremely tough problem. That's why I'm curious if there is something that doesn't require one to leak his or her private data but still is of practical interest.
Jul
3
comment expected value of the discounted payoff
"Then (with market completeness) one can show that this implies the existence of a risk neutral measure" NA already implies existence of a risk neutral measure, no need for completeness. Completeness helps to have a unique risk-neutral measure.
Jun
26
comment Black-Scholes fastest computation method
@Ilya You need to compute this table only once. Then you can store it in a file and load on the start of application.
Apr
8
comment Non-arbitrage theory and existence of a risk premium
Can you please tell from which book is this question?
Mar
18
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Chan-HoSuh No, it wouldn't. You don't hold the same number of stock for arbitrary lengths of time. You continuously adjust it to make your portfolio of underlying and short option risk free.
Mar
18
comment Kolmogorov-Smirnov test
@AnthonyMaster See quant.stackexchange.com/questions/341/what-is-a-martingale
Mar
18
comment Calculate the expectation of a shift CDF
+1 Good solution.
Mar
17
comment Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
@bytefire Geometric Brownian motion
Mar
16
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Chan-HoSuh You can hedge because you can continuously adjust the position in underlying, i.e. do dynamic hedging. Also note that in general you don't need a hedging strategy to get a price for a contingent claim.
Mar
14
comment Doesn't a perpetual option contradict the Black-Scholes framework?
Please describe your arbitrage strategy properly. Are you long put, short underlying? It's not clear at all from your question.
Mar
13
comment Calculate the expectation of a shift CDF
@Richard Actually $X_1$ should be from $N(0,1)$ and $X_2$ should be from $N(0,\sigma^2)$ if I understood the problem correctly.
Mar
13
comment Calculate the expectation of a shift CDF
@Richard Actually it should be fine if you take iid copy.
Mar
13
comment Calculate the expectation of a shift CDF
@GoodGuyMike I optimized your code a bit and it seems to work. Well done!