5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 30 mins ago

Strats in a commodity trading firm in Hong Kong.


Jul
30
revised Why are we obsessed over normalizing financial data?
deleted 20 characters in body; edited tags
Jul
26
accepted How to deal with extreme cases in normal random numbers generation?
Jul
23
revised How to price a Swing Option?
embedded links
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
@BobJansen well look at this paper, it's scary.
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Well for continuous distribution $\mathbb{P}[Z=z]=0 ~ \forall z$...
Jul
22
revised How to deal with extreme cases in normal random numbers generation?
edited title
Jul
22
revised What are the implication of a negative risk-free rate on SML?
rephrased question
Jul
22
asked How to deal with extreme cases in normal random numbers generation?
Jul
22
revised What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
rephrased as a question
Jul
22
comment What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
+1 The image is really good. I added it directly in the post.
Jul
22
revised What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
added 86 characters in body
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I would not die if it ended in the BS tag. The way you act (i.e. correcting what mods do on organizational purposes) without asking (like you just don't care) isn't elegant.
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?
I completely disagree. What's the point in contesting and doing the re-edit? you'll get your answer anyway. We mods are trying to classify things as well as possible, not to fight with you. I'll leave it like that in the title if you want.
Jul
21
comment How to price a Swing Option?
You created another question, which I deleted. You should have edited this one, which I did for you by merging the contents.
Jul
21
revised How to price a Swing Option?
added 721 characters in body
Jul
21
revised Risk Parity portfolio construction
added link
Jul
21
comment Risk Parity portfolio construction
Yes, this is a more efficient numerical approach I think. I did not use it in my answer because I find it less intuitive. I'd just add to set $b_i = \frac{1}{n} ~ \forall i$ if he wants an ERC...
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