SRKX

4,699 reputation

836

bio	website	blog.smaga.ch
	location	Geneva, Switzerland
	age	27
visits	member for	2 years, 2 months
	seen	2 hours ago
stats	profile views	646

Investment Analyst in an asset allocation firm in Geneva.

	4,699 reputation	bio	website	blog.smaga.ch	visits	member for	2 years, 2 months
836 badges		location	Geneva, Switzerland		seen	2 hours ago

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Nov 3	comment	The difference between Close price and Settelment Price for future contracts It also depends on the exchange.
Nov 3	revised	The difference between Close price and Settelment Price for future contracts removed courtesies
Nov 3	answered	Can social media be applied to algorithmic trading?
Nov 2	comment	Recommendations for books to understand the math in quantitative finance papers? @RYogi, then vote for a close. Maybe it should be set as a community wiki.
Nov 2	revised	Tian third moment-matching tree with smoothing - implementation removed "thanks and signature"
Nov 1	revised	How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns? edited tags
Nov 1	answered	How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns?
Oct 19	comment	What is the forward rate for a Black-Karasinski interest rate model? Also, you should provide us with what you've come up so far.
Oct 19	comment	What is the forward rate for a Black-Karasinski interest rate model? Hi Ian, welcome to QuantSE. In order to maximize your chances to get an answer, please provide a link to a description of the model you are mentioning, or, even better, add the dynamics $dr$ to question. This will also make the site more readable for other users.
Oct 19	revised	What is the forward rate for a Black-Karasinski interest rate model? deleted 11 characters in body; edited tags
Oct 18	comment	Historical S&P 500 Stock Weights discussion of the validity of the question on meta
Oct 18	answered	Applying models with normality assumption on tick data?
Oct 16	comment	Applying models with normality assumption on tick data? I seriously doubt most HF traders use such assumptions. I said it many times on this site, but you usually don't see in books the trading strategies that still work by the time you read them.
Oct 16	revised	Probability distribution of maximum value of binary option? added 59 characters in body; edited tags
Oct 16	comment	Probability distribution of maximum value of binary option? You'll have to assume the dynamics of the underlying asset. You have a model in mind? GBM? It could help somebody posting an answer.
Oct 13	comment	What is the denominator in calculating daily range as a percentage? ah ok. but that's $O(1)$. not sure I really see the point.
Oct 13	comment	What is the denominator in calculating daily range as a percentage? why is it more computationally efficient?
Oct 12	comment	How to perform basic integrations with the Ito integral? @Philip: found your mistake, see the last comment on the question.
Oct 12	comment	How to perform basic integrations with the Ito integral? the formula you use for ito is the particular case $f(x)=x^2$
Oct 12	comment	How to perform basic integrations with the Ito integral? also, for latter readers, you might want to tell us what textbook you're using.