5,567 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 6 months
seen 1 hour ago

Investment Analyst in an asset allocation firm in Geneva.


2d
reviewed Approve suggested edit on Why does regression capture differences in volatility?
Aug
6
comment How to create charts in WPF finance applications?
Maybe you could put smaller images and explain what special features you have for financial applications more in details.
Jul
30
revised Why are we obsessed over normalizing financial data?
deleted 20 characters in body; edited tags
Jul
26
accepted How to deal with extreme cases in normal random numbers generation?
Jul
23
revised How to price a Swing Option?
embedded links
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
@BobJansen well look at this paper, it's scary.
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Well for continuous distribution $\mathbb{P}[Z=z]=0 ~ \forall z$...
Jul
22
revised How to deal with extreme cases in normal random numbers generation?
edited title
Jul
22
revised What are the implication of a negative risk-free rate on SML?
rephrased question
Jul
22
asked How to deal with extreme cases in normal random numbers generation?
Jul
22
revised What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
rephrased as a question
Jul
22
comment What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
+1 The image is really good. I added it directly in the post.
Jul
22
revised What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
added 86 characters in body
Jul
21
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.
Jul
21
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
edited tags
Jul
21
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.
Jul
21
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.
Jul
21
revised How to price a Swing Option?
added 721 characters in body
Jul
21
revised Risk Parity portfolio construction
added link
Jul
21
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...