5,482 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 5 months
seen 4 hours ago

Investment Analyst in an asset allocation firm in Geneva.


4h
comment intuition behind Modified duration = Macaulay Duration / (1+r)
+1 The image is really good. I added it directly in the post.
4h
revised intuition behind Modified duration = Macaulay Duration / (1+r)
added 86 characters in body
20h
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I would not die if it ended in the BS tag. The way you act (i.e. correcting what mods do on organizational purposes) without asking (like you just don't care) isn't elegant.
21h
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
edited tags
21h
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I completely disagree. What's the point in contesting and doing the re-edit? you'll get your answer anyway. We mods are trying to classify things as well as possible, not to fight with you. I'll leave it like that in the title if you want.
21h
comment How to price a Swing Option?
You created another question, which I deleted. You should have edited this one, which I did for you by merging the contents.
21h
revised How to price a Swing Option?
added 721 characters in body
21h
revised Risk Parity portfolio construction
added link
21h
comment Risk Parity portfolio construction
Yes, this is a more efficient numerical approach I think. I did not use it in my answer because I find it less intuitive. I'd just add to set $b_i = \frac{1}{n} ~ \forall i$ if he wants an ERC...
21h
comment How to price a Swing Option?
Hi Alberto, welcome to QuantSE. You're question would be much better if you included a link to a page where people can read about Swing options (even better if you take 5 minutes to write it down). I can see you tried to express that you tried something or had something I mind for the solution, but it looks too light. Just give some background to the question, you'll have a better chance to get an answer.
21h
revised How to price a Swing Option?
rephrased question improved grammar
22h
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
edited tags
22h
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Just renamed the question here because the fact that GBM are used in Black-Scholes does not make it a BS-specific question.
22h
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
added 52 characters in body; edited title
23h
comment Does Modern Portfolio Theory align with EMH?
Well the Sharpe ratio could be the same as the market -- it is not necessariliy lower -- but yeah higher returns for higher risk.
1d
revised Does Modern Portfolio Theory align with EMH?
edited body
1d
revised Does Modern Portfolio Theory align with EMH?
removed typo in question
1d
answered Does Modern Portfolio Theory align with EMH?
1d
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
I don't see how the computation of the expectation is related to the solution of the GBM SDE...
1d
revised How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
removed reference to arguable mean notation, as was done in the question