Reputation
6,251
Next tag badge:
50/100 score
7/20 answers
Badges
2 18 49
Impact
~231k people reached

Jul
21
revised How to discretize a GBM under P- and Q-measures?
added 6 characters in body; edited title
Jul
16
revised How do I price $P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$?
deleted 18 characters in body; edited title
Jun
20
comment How to use calibrated Standard Stochastic Volatility?
Why don't you simulate the two assets between which you want to see the spread using their own model (could be the one described above) and then simply compute the spread as the difference between them?
Jun
19
revised How to break down an FX option P&L?
formatting, rephrased as question.
Jun
19
revised Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?
added 15 characters in body
Jun
19
comment How to use calibrated Standard Stochastic Volatility?
With this model, you have $p_t = p_{t-1} \exp(y_t)$, and this means that if $p_t$ is the price of the spread (as I think you do), then it will never change sign.
Jun
19
revised How to use calibrated Standard Stochastic Volatility?
removed link, not sure it's the one
Jun
18
comment How to use calibrated Standard Stochastic Volatility?
Please make acronyms like PMCMC explicit or provide a link. Where did you get this volatility model from? Did you estimate an $x_0$ as well or do you assume $x_0 = 0$? You're assuming that the spread is always positive here, it this what you want?
Jun
18
revised How to use calibrated Standard Stochastic Volatility?
rephrased question, retagged
Jun
18
comment Price of an American call option
"Analyze the price" is too vague to be answered properly here. What are you looking to express? Please rephrased you title as a question and make it specific in the description; we will then reopen the question.
Jun
18
revised Price of an American call option
removed courtesies
Jun
16
awarded  Notable Question
Jun
16
comment How to tackle this exercise about Ito's formula?
You'll need to comment what you do at each step if you want to help him understand the solution.
Jun
16
revised How to tackle this exercise about Ito's formula?
added 62 characters in body; edited title
Jun
16
comment How to tackle this exercise about Ito's formula?
@muffin1974 as he's stuck with the integral, I guess he doesn't know where to start so I can understand why he wrote the question this way. But providing the hint is really good.
Jun
16
comment Can Gaussianity of returns depend on the time frame?
@noob2 please be constructive in comments. Rhetorical questions are never as clear as a gentle explanation of your point, and they can be offensive. Thanks
Jun
16
revised Can Gaussianity of returns depend on the time frame?
edited body
Jun
16
comment Can Gaussianity of returns depend on the time frame?
Don't leptokurtic and fat-tailed mean the same thing? Usually, it's better to give paper names rather that advising to go on some search engine and search for a term (although here the term is useful and part of the answer). The second part of your answer would benefit from citations as these are quite important "assertions" (I'm not saying they're wrong).
Jun
16
revised Can Gaussianity of returns depend on the time frame?
removed courtesies, added links
Jun
16
revised How to hedge a put under the Black-Scholes model?
added 5 characters in body