5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 2 hours ago

Strats in a commodity trading firm in Hong Kong.


Jul
22
revised What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
added 86 characters in body
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I would not die if it ended in the BS tag. The way you act (i.e. correcting what mods do on organizational purposes) without asking (like you just don't care) isn't elegant.
Jul
21
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
edited tags
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I completely disagree. What's the point in contesting and doing the re-edit? you'll get your answer anyway. We mods are trying to classify things as well as possible, not to fight with you. I'll leave it like that in the title if you want.
Jul
21
comment How to price a Swing Option?
You created another question, which I deleted. You should have edited this one, which I did for you by merging the contents.
Jul
21
revised How to price a Swing Option?
added 721 characters in body
Jul
21
revised Risk Parity portfolio construction
added link
Jul
21
comment Risk Parity portfolio construction
Yes, this is a more efficient numerical approach I think. I did not use it in my answer because I find it less intuitive. I'd just add to set $b_i = \frac{1}{n} ~ \forall i$ if he wants an ERC...
Jul
21
comment How to price a Swing Option?
Hi Alberto, welcome to QuantSE. You're question would be much better if you included a link to a page where people can read about Swing options (even better if you take 5 minutes to write it down). I can see you tried to express that you tried something or had something I mind for the solution, but it looks too light. Just give some background to the question, you'll have a better chance to get an answer.
Jul
21
revised How to price a Swing Option?
rephrased question improved grammar
Jul
21
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
edited tags
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Just renamed the question here because the fact that GBM are used in Black-Scholes does not make it a BS-specific question.
Jul
21
revised How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
added 52 characters in body; edited title
Jul
21
comment Does Modern Portfolio Theory align with EMH?
Well the Sharpe ratio could be the same as the market -- it is not necessariliy lower -- but yeah higher returns for higher risk.
Jul
21
revised Does Modern Portfolio Theory align with EMH?
edited body
Jul
20
revised Does Modern Portfolio Theory align with EMH?
removed typo in question
Jul
20
answered Does Modern Portfolio Theory align with EMH?
Jul
20
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
I don't see how the computation of the expectation is related to the solution of the GBM SDE...
Jul
20
revised How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
removed reference to arguable mean notation, as was done in the question
Jul
20
revised How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
rephrased question, removed courtesies