5,934 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 17 mins ago

Strats in a commodity trading firm in Hong Kong.


Nov
25
comment What's state price vector?
Where did you hear of this, in what context? What is it that you don't understand?
Nov
25
revised What's state price vector?
removed courtesies
Nov
25
comment What interest rate dynamics would you suggest to simulate a single swap?
Is it an interest-rate swap we're talking about here?
Nov
25
revised What interest rate dynamics would you suggest to simulate a single swap?
added 86 characters in body; edited title
Nov
25
revised How to estimate the greeks with a Monte Carlo simulation?
added 16 characters in body; edited title
Nov
25
revised What are the canonical books for statistics applied to finance?
edited title
Nov
25
comment What are the canonical books for statistics applied to finance?
This book is awesome indeed, but the notation gets kind of crazy sometimes, as usual in Meucci's articles.
Nov
21
comment What are the dynamics of the reverse of this FX process?
I tried to keep you notation but frankly the way you expressed your question and added details in comments were not very community-friendly. Please pay some attention to formatting and clarity next time.
Nov
21
revised What are the dynamics of the reverse of this FX process?
added 108 characters in body; edited title
Nov
20
awarded  Refiner
Nov
20
comment How to price an European call on zero-coupon from the yield curve?
@Paul arf. I understand noew. I know it's somehow in there but maybe specifying this (i.e. that you know Black is a solution but you don't want it) in the question would have made it clearer.
Nov
20
revised How to price an European call on zero-coupon from the yield curve?
deleted 1 character in body; edited title
Nov
20
answered How to price an European call on zero-coupon from the yield curve?
Nov
20
revised Different ways of portfolio optimization
formatting
Nov
20
answered Where to get master list of mutual funds?
Nov
20
revised Where to get master list of mutual funds?
deleted 9 characters in body; edited title
Nov
17
revised How to price zero coupon bonds with the Monte Carlo method?
deleted 7 characters in body; edited tags; edited title
Nov
6
comment What is the probability distribution of the changes in $\Delta$?
Note: all else equal is important in my comment. I think you will have to look at one source of change only, because otherwise you have to look at all the partial derivatives at the same time... I'd suggest looking at Vanna : $\frac{\partial^2 \Delta}{(\partial S)^2}$.
Nov
6
comment What is the probability distribution of the changes in $\Delta$?
I adjusted your question because the probability of $\Delta$ to change between $t_1$ and $t_2$ is 1 or extremely close to 1 ($\Delta$ depends on $t$, so as $t$ changes $\Delta$ will change, all else equal).
Nov
6
revised What is the probability distribution of the changes in $\Delta$?
added 28 characters in body; edited title