5,557 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 6 months
seen 21 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Jul
21
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.
Jul
21
revised How to price a Swing Option?
rephrased question improved grammar
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?
Just renamed the question here because the fact that GBM are used in Black-Scholes does not make it a BS-specific question.
Jul
21
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
added 52 characters in body; edited title
Jul
21
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.
Jul
21
revised Does Modern Portfolio Theory align with EMH?
edited body
Jul
20
revised Does Modern Portfolio Theory align with EMH?
removed typo in question
Jul
20
answered Does Modern Portfolio Theory align with EMH?
Jul
20
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...
Jul
20
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
Jul
20
revised How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
rephrased question, removed courtesies
Jul
17
comment How is PnL calculated
@JoshuaUlrich I see what you mean but it still wouldn't be on-topic even with improvements. It's just too basic. No offense.
Jul
17
awarded  Popular Question
Jul
13
revised Counterparty risk tutorials
deleted 25 characters in body; edited tags
Jul
11
awarded  Favorite Question
Jul
2
awarded  Inquisitive
Jul
2
awarded  Curious
Jul
1
revised How to transform process to risk-neutral measure for Monte Carlo option pricing?
deleted 24 characters in body
Jun
30
comment Joint distribution from expectations
Could you clarify the application to Quant Finance? Pure math questions belong to Mathematics.