5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 1 month
seen 2 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Feb
15
revised How to replicate this option?
added 344 characters in body
Feb
15
revised How to replicate this option?
added 344 characters in body
Feb
15
answered How to replicate this option?
Feb
14
awarded  Electorate
Jan
30
revised fair price for a call option
edited tags
Jan
29
awarded  Constable
Jan
27
revised How to simulate stock prices with a Geometric Brownian Motion?
edited body
Jan
20
reviewed No Action Needed Predicting Price Movements on a Betting Exchange
Jan
20
reviewed No Action Needed What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Jan
20
revised How to interpret CME's specification regarding grains options expirations?
rephrase question, retagged
Jan
10
comment Book on market microstructure
This is quite HFT-oriented though...
Jan
8
comment What is the realized volatility's estimation error?
What are you trying to do? Assess how reliable a volatility estimate is?
Jan
8
revised What is the realized volatility's estimation error?
removed courtesies, retagged
Dec
23
revised How to create a Stochastic Process through pre specified points?
deleted 51 characters in body
Dec
23
comment How to create a Stochastic Process through pre specified points?
@Hansen perhaps instead of sounding so condescending you could try to explain us what it is you don't understand. I'll try to update the formatting. Because given the +6 score, I'd say that say, people understood what I meant.
Dec
17
comment Drawbacks of Black-Scholes option pricing model
Over-estimates or misprices? Can you provide the source where you saw that statement?
Nov
27
reviewed Approve suggested edit on Black 76 for Options on Interest Rate Futures
Nov
25
revised Probability of a return from historical average and standard deviation
added 470 characters in body
Nov
21
revised Risk Neutral Probability
edited body
Nov
19
revised Why do stocks with a negative beta return less than the risk free rate?
added 37 characters in body