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| bio | website | blog.smaga.ch |
|---|---|---|
| location | Geneva, Switzerland | |
| age | 27 | |
| visits | member for | 2 years, 3 months |
| seen | 23 hours ago | |
| stats | profile views | 648 |
Investment Analyst in an asset allocation firm in Geneva.
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May 17 |
revised |
How to prove that markets are incomplete under the Stochastic Volatility model? added 46 characters in body; edited title |
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May 17 |
comment |
Is it random walk? Include this not as comment, but within the body of the question... |
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May 16 |
revised |
How to use Itô's formula to deduce that a stochastic process is a martingale? format, phrasing |
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May 15 |
comment |
Compute a time series of daily volatilities in R @JenBohold I downvoted it and not closed it; as a mod, I could have been more radical. Feel free to upvote if you like the question. I'm not saying a professional does not use EWMA, I'm saying asking on a Q&A site for a function that does it is suspicious. |
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May 15 |
comment |
Compute a time series of daily volatilities in R When your previous question was closed, your were asked to look at the faq. Assuming you did, you must have understood that this site is dedicated to quantitative finance professional. Hence, with a question such as "Compute a time series of daily volaility in R", there is little chance that it will stay open. This is simply a language-specific question. |
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May 12 |
comment |
State-space representation of Ornstein–Uhlenbeck and CIR processes I'm purging the comments and putting an end to this. QuantSE is about helping out people on things you know, and benefiting from other on things you don't know. There is no place here for negotiating reputation points. Had you given your answer, 5 upvotes would have given you the 50 points of the bounty. If you want additional points, ask good questions or solve unanswered questions. In general guys, comments boxes are no courtrooms. Please for this site's sake, stop arguing in comments, do it on the chat rooms if you really need to argue about something important. |
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May 7 |
reviewed | Approve suggested edit on How to implement Maximum Diversification in R? |
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May 4 |
comment |
Portfolio insurance with a coherent risk measure (CVaR) What do you mean by portfolio insurance exactly? You're trying to hedge your tail risk here right? |
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May 4 |
comment |
Is vega of Black-Scholes European type option always positive? Please re-read you question, there is a part that doesn't make sense. What do you mean by "a general payoff function"? |
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May 4 |
revised |
How to implement Maximum Diversification in R? added 2 characters in body |
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May 4 |
answered | How to implement Maximum Diversification in R? |
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May 4 |
comment |
How to implement Maximum Diversification in R? I doubt you are a professional quant, but I'll answer this because I think it can be interesting for other users. Please read the faq again though, and consider completing your user data. |
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May 4 |
revised |
How to implement Maximum Diversification in R? formatting, removed courtesies |
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May 2 |
comment |
question about Mean Variance optimization in C# Why wouldn't it be? It's exactly what is told in your link I think... |
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May 2 |
revised |
question about Mean Variance optimization in C# retagged, formatting, removed courtesies |
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May 1 |
comment |
How to Calculate Cost of Equity using WACC Fair point made by John, this is really basic corporate finance, and hence it is off topic. But it was well asked and well formatted. |
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Apr 30 |
revised |
Call vs. Put Option added 1365 characters in body |
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Apr 30 |
revised |
How to create charts in WPF finance applications? retagged + formatting |
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Apr 30 |
comment |
How to create charts in WPF finance applications? I've seen a few .net charts in my short career, but I must say these ones definitely look good! Feel free to let me know if you wanna give a license away for a blog review ;-) |
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Apr 30 |
revised |
Call vs. Put Option deleted 98 characters in body |
