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Nov
23
revised How to price a path dependent exchange option using?
added 29 characters in body
Nov
22
comment Why do volatility and correlation increase in times of crisis?
I sincerely doubt somebody can answer this concisely as this is broad and probably somehow opinion-based. Let's see.
Nov
22
comment How to price a path dependent exchange option using?
I know you did most of the job here, but I'd really love to see the example go on until the close-form assuming a lognormal. But I guess that's just long a tedious algebra to get the value of the expectation given the joint distribution of $S$ and $P$ right? Or maybe you define $Z_t=\frac{S_t}{P_t}$ which is also a GBM and which should help already.
Nov
22
revised How to price a path dependent exchange option using?
added 20 characters in body; edited title
Nov
22
revised How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$?
deleted 22 characters in body; edited tags; edited title
Nov
22
revised Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?
deleted 15 characters in body
Nov
18
comment How to get to this answer on Macauley duration?
@AlexC I think he's looking for a more detailed answer on that point.
Nov
18
revised How to get to this answer on Macauley duration?
added 45 characters in body; edited tags; edited title
Nov
12
comment What can I use to measure of diversification?
Could you please be more specific to the article you're referring to? adding title and a link maybe? You can even show the formula here.
Nov
12
comment What can I use to measure of diversification?
It's note clear to me what you mean by "diversification for trade". What do you mean by "trade"? It's certainly just a question of terminology, but to enhance the quality of the question, could you please add an example?
Nov
12
comment What can I use to measure of diversification?
Yeah although it's not specifically mentioned in the question but kind of obvious.
Nov
12
comment What can I use to measure of diversification?
VaR usually stands for Value-At-Risk, I believe the most appropriate and natural convention is $\sigma_j$ to stand for the standard deviation of asset $j$.
Nov
12
revised What can I use to measure of diversification?
deleted 8 characters in body; edited title
Nov
10
comment What is a “coherent” risk measure?
It's in the wiki so why not. From school I remember that these were the "most important ones" but maybe I missed that one indeed.
Nov
9
revised Hwo to create a benchmark for a portfolio?
added 4 characters in body; edited tags; edited title
Nov
9
revised What should be the sign of greek letter $\rho$?
added 12 characters in body; edited title
Nov
9
revised What should be the sign of greek letter $\rho$?
added 200 characters in body
Nov
5
revised What .NET library can I use to solve optimization problems?
added 1 character in body; edited title
Nov
5
awarded  Nice Answer
Nov
4
comment Assuming Black-Scholes assumptions are correct, would the expected return from buying/selling options be 0?
then should risk-adjusted return be 0?