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Jun
16
revised How to hedge a put under the Black-Scholes model?
added 5 characters in body
Jun
16
revised Is there a relation between these two forecasting/estimation approaches?
added 14 characters in body; edited title
Jun
1
accepted How to infer correlation?
May
27
awarded  Notable Question
May
22
comment How to effectively hedge a Fixed-Term deal in a foreign currency?
arf you're right, I was trying to simplify my problem too much. In my case the hedge is in USD, so it's not a perfect hedge. It makes things more complicated...
May
21
asked How to effectively hedge a Fixed-Term deal in a foreign currency?
May
15
awarded  Popular Question
May
12
awarded  Nice Question
May
7
comment How to infer correlation?
I'm sorry Richard, I didn't get your last comment. Were you referring to method 1) by saying "by using MC"?
May
5
comment How to infer correlation?
Since I know nothing about the relation of $F$ and the other assets so how can I know the exact covariance?
May
5
comment How to infer correlation?
But is there any advantage compared to version 1)?
May
5
comment How to infer correlation?
If I assume $\epsilon$ is uncorrelated, then following your equation $ \rho_{F,i} = \frac{Cov(F,r_i)}{\sigma_F \sigma_i} = \beta \frac{ Cov(r_m,r_i)}{\sigma_F \sigma_i}$. Replacing $\beta = \rho_{F,m} \frac{\sigma_F}{\sigma_m}$, you get $ \rho_{F,i} = \rho_{F,m} \frac{ Cov(r_m,r_i)}{ \sigma_m \sigma_i} = \rho_{F,m} \rho_{i,m} $ right?
May
5
revised How to infer correlation?
deleted 2 characters in body
May
4
revised How to infer correlation?
added 1 character in body
May
4
asked How to infer correlation?
Apr
27
revised How to simulate stock prices with a Geometric Brownian Motion?
added 105 characters in body
Apr
19
awarded  Nice Answer
Apr
10
comment Source for Normalized File of ETF Holdings
We're trying to have all data sources question in the same thread and to avoid create new ones.
Apr
10
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Please be straight to the point when answering, it's just clearer for everybody.
Apr
10
revised Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
formatted the question correcly