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| bio | website | blog.smaga.ch |
|---|---|---|
| location | Geneva, Switzerland | |
| age | 27 | |
| visits | member for | 2 years, 3 months |
| seen | yesterday | |
| stats | profile views | 655 |
Investment Analyst in an asset allocation firm in Geneva.
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Mar 27 |
reviewed | Leave Closed Delta-Omega Hedging |
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Mar 27 |
comment |
What is the meaning of the discounted process defined from the interest rate process? I get that. But the question is trivial; you even guessed the answer inside. So I guess you can see why I say that if you were a professional quant, you wouldn't have asked it. You can accept the answer if you're OK with it. |
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Mar 27 |
comment |
Risk neutral valuation independent of $Q$? Excellent answer, +1. |
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Mar 27 |
revised |
What is the meaning of the discounted process defined from the interest rate process? added link |
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Mar 27 |
comment |
What is the meaning of the discounted process defined from the interest rate process? Note that this question is really barely on topic: I guess you're not a professional quant are you? Anyway, a quick answer was enough, but please look at the faq in the future. |
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Mar 27 |
answered | What is the meaning of the discounted process defined from the interest rate process? |
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Mar 27 |
revised |
What is the meaning of the discounted process defined from the interest rate process? deleted 11 characters in body |
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Mar 26 |
comment |
Calculating the probability of a price change using an options pricing formula @BobJansen not necessarily no.... You would use $\mathbb{Q}$ only if you were willing to price an option. Using the GBM model is enough for him. |
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Mar 26 |
answered | Calculating the probability of a price change using an options pricing formula |
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Mar 25 |
reviewed | Approve suggested edit on Hedging with actual volatility: problem understanding the math behind the result |
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Mar 25 |
comment |
Hedging with actual volatility: problem understanding the math behind the result Could you please include the integral in the question and show us exactly where you're stuck in your equation solving? |
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Mar 25 |
revised |
Hedging with actual volatility: problem understanding the math behind the result deleted 13 characters in body; edited tags |
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Mar 25 |
revised |
Where can I get historical ticker change database? deleted 41 characters in body; edited tags; edited title |
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Mar 25 |
revised |
Mean Reverting Spread deleted 10 characters in body |
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Mar 20 |
reviewed | Approve suggested edit on Why the implied volatilities calculated are so different |
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Mar 11 |
comment |
Predict Market Direction, What is forecastable/unforecastable? @vonjd Well I mean you can predict a range of magnitude, but a precise value is much more difficult because $P(|r_t|=x)=0 ~ \forall x$ in the continuous case. That's what I meant. But I see your point and I agree that volatility is more stable than market direction. |
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Mar 11 |
answered | Predict Market Direction, What is forecastable/unforecastable? |
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Mar 5 |
comment |
How does the “risk-neutral pricing framework” work? You can have a look at my blog post which helped a few people grasp the concept. |
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Mar 5 |
revised |
How does the “risk-neutral pricing framework” work? edited title |
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Mar 4 |
revised |
Geometric Brownian Motion with non-negative random increments added 7 characters in body |
