6,104 reputation
21646
bio website blog.smaga.ch
location Hong Kong
age 29
visits member for 4 years, 1 month
seen 5 hours ago

Strats in a commodity trading firm in Hong Kong.


Mar
2
comment How to compute the VaR for European Call, using the delta-normal method?
I think @Kiwiakos has a point here, I'd also use real-world drift $\mu$ instead of $r$ here. I agree that the option price is calculated using drift $r$, but for risk purposes this is irrelevant I think.
Mar
2
revised How to compute the VaR for European Call, using the delta-normal method?
enhanced formatting, added link
Mar
2
reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Mar
2
reviewed Satisfactory Is printing money really a bad thing?
Mar
2
reviewed Excellent CIR model: is the short rate really non-central $\chi^2$ distributed?
Mar
2
reviewed Excellent Why is there onshore and offshore currency?
Mar
2
reviewed Satisfactory How to compute the VaR for European Call, using the delta-normal method?
Mar
2
reviewed Excellent Black Scholes formula with continuous dividend paying stock
Mar
2
reviewed Satisfactory Deriving the definition of stochastic integrals with respect to Ito processes from first principles
Mar
2
reviewed Satisfactory When are implied and real world parameters the same?
Mar
2
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
2
reviewed Satisfactory Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Feb
27
reviewed Leave Open Does higher vega imply higher IV and vice versa
Feb
26
comment correlation for portfolio of stocks
haha, was gonna make the same edit!
Feb
25
revised How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
forgot vol in stock dynamics
Feb
24
revised Why an option has sometimes and implied volatility greater than 100%?
edited body; edited title
Feb
23
comment Differential of stochastic term
What is this book? Looks like Filipotic's
Feb
21
awarded  Yearling
Feb
12
awarded  Popular Question
Feb
12
reviewed Reviewed How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?