5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 2 hours ago

Strats in a commodity trading firm in Hong Kong.


2h
comment How to derive YTM for low-liquid markets?
What have you done so-far? Have you tried anything or looked anywhere for your answer? What seems to be a possible approach?
2h
revised How to derive YTM for low-liquid markets?
added 36 characters in body; edited title
2h
comment Black Scholes Model which Volatilty to use
@StudentT not when you first start talking about BS. The question is nevertheless not well formulated and can be answered trivially by opening any quant-finance book.
Oct
17
reviewed Reviewed Can we trade option spreads with more than 4 option legs?
Oct
17
revised Can we trade option spreads with more than 4 option legs?
improved formatting, rephrased question
Oct
17
reviewed Leave Closed Forex buying 2000+ pip difference
Oct
17
reviewed Reviewed Why does the minimum variance portfolio provide good returns?
Oct
17
comment Why does the minimum variance portfolio provide good returns?
Assumptions on Equities skewness or any statistical properties is at the discretion of the investor right? Technically risk should be rewarded by expected return, if that's not the case, then why don't you simply invest in the risk-free rate?
Oct
17
answered What are the properties of the Expected Shortall measure when split in multiple time periods?
Oct
17
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
rephrased question,
Oct
16
reviewed Approve suggested edit on How can I go about applying machine learning algorithms to stock markets?
Oct
16
comment What is a good Computer Algebra System for financial engineering?
I don't know Unrisk but I think in mathematica it's hard to solve stochastic differential equations (SDEs). It might help during some computation steps though.
Oct
16
revised What is a good Computer Algebra System for financial engineering?
rephrased as question, embedded link, retagged
Oct
15
comment What is a good Computer Algebra System for financial engineering?
High Mitch76, it's a good question but it would benefit from having embedded links to some reference page for the model and the book you're referring to.
Sep
30
awarded  Explainer
Sep
18
revised What data should be used for regression-based model backtesting?
deleted 5 characters in body; edited tags; edited title
Sep
18
revised Girsanov Theorem and Quadratic Variation
imporved formatting with quotation, fixed typos
Sep
12
comment Is there a good closed-form approximation for Black-Scholes implied volatility?
There is this, less-specific thread that could get you at least started.
Sep
12
revised How to compute Implied Volatility Calculation?
removed courtesies, formatting
Sep
12
revised Is there a good closed-form approximation for Black-Scholes implied volatility?
Improved formatting