5,914 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen yesterday

Strats in a commodity trading firm in Hong Kong.


Dec
9
revised Why is this stochastic integral a martingale?
added 4 characters in body
Dec
8
comment How to compute the historical VaR for a portfolio with long and short positions?
@user1131338 your comments are very difficult to understand really. But in short, by "same contract" I meant "same everything". If you're trading commodity futures, which are standardized, then you're fine. Otherwise you have to consider the global approach I mentioned afterwards, indeed.
Dec
8
revised How to annualise the volatility of non-iid returns?
edited title
Dec
8
revised How to annualise the volatility of non-iid returns?
added 14 characters in body
Dec
7
revised How to model natural gas forward price?
edited title
Dec
6
awarded  Enlightened
Dec
6
awarded  Nice Answer
Dec
5
answered How to compute the historical VaR for a portfolio with long and short positions?
Dec
5
comment How to compute the historical VaR for a portfolio with long and short positions?
My god it wasn't easy to get something out of this question.
Dec
5
revised How to compute the historical VaR for a portfolio with long and short positions?
added 18 characters in body; edited tags; edited title
Dec
5
revised Why didn't my order get filled?
added 9 characters in body; edited title
Dec
4
reviewed Close In which divisions of banking are the Greeks and Black Scholes equation applied?
Dec
4
reviewed Reviewed What's the algorithm behind Excel's ACCRINT?
Dec
4
comment What's the algorithm behind Excel's ACCRINT?
Very interesting. Would you mind sharing with us where you learnt all this? Is there any documentation available?
Dec
4
reviewed Reviewed How to compare market values with model values after calibration?
Dec
4
revised How to compare market values with model values after calibration?
removed courtesies
Dec
4
revised How to extrapolate VaR?
simple formatting and wording enhancement
Dec
1
comment How to simulate stock prices with a Geometric Brownian Motion?
@user25064 this is not what I meant, you can indeed do these multiple steps with the closed form. I meant that if you use it to compute $S_T$ directly, then you don't know what happened until then. There was no judgement here.
Nov
28
revised How to prepare data for superior predictive ability (SPA) test?
rephrased question, formatting, removed courtesies
Nov
28
revised Is volatility really a coherent risk measure?
rephrased as a question, formatting