Reputation
6,872
Next tag badge:
53/100 score
9/20 answers
Badges
3 18 51
Impact
~278k people reached

Nov
2
comment What is the correct hedging strategy using futures?
Where did the graph go?
Nov
2
comment Why is the time value of an option mathematically always positive?
Are you sure your formulas for d1 and d2 are correct? I think you got confused by what V means... Is it volatility $\sigma$ or variance $\sigma^2$? Anyway the reasoning that $N(\cdot)$ is strictly increasing and $d_2 < d_1$ is right, but you should still correct the formulas.
Nov
2
revised Why is the time value of an option mathematically always positive?
deleted 71 characters in body; edited title
Nov
2
comment How to derive what effect funding shocks have on conditional market betas?
I'm not a specialist of these models, but this seems super unclear to me. I tried to clean up a bit you're formatting, maybe you should finish up if you want to get any answers on this. And please correct the typo in your question's title and make it a question.
Nov
2
revised How to derive what effect funding shocks have on conditional market betas?
edited tags
Nov
2
revised How to derive what effect funding shocks have on conditional market betas?
added 106 characters in body
Nov
2
revised How to interpret this CDS spread sensitivity pattern?
added 48 characters in body
Nov
2
revised Why is the time value of an option mathematically always positive?
added 11 characters in body
Nov
2
revised How to calculate a hypothetical minimum-variance point?
added 5 characters in body
Nov
2
revised How to calculate a hypothetical minimum-variance point?
added 4 characters in body; edited title
Oct
29
revised How to compute the stochastic integral of log-normal process?
deleted 23 characters in body; edited tags; edited title
Oct
29
comment How to add buy/sell market on a long/short Bollinger Bands graph in python?
The general idea though, would be to compute the point where you take the position before you plot the graph, and then add the lines on your lines at the correct index. The graph won't be doing it for you.
Oct
29
comment How to add buy/sell market on a long/short Bollinger Bands graph in python?
I'll let the community decide, but to me this is quite off-topic because it's a question you should ask from an abstract point of view on Stack Exchange, you'd have a better probability to get an answer.
Oct
29
revised How to add buy/sell market on a long/short Bollinger Bands graph in python?
edited title
Oct
29
comment How to perform portfolio optimization with user-defined expected return and variances using R?
That's ok if he realized this afterwards it seems an honest attempt to answer your own question after a bit of advice. Please make sure the what you "expect" is the case and that's fine as far as I'm concerned.
Oct
29
comment How to perform portfolio optimization with user-defined expected return and variances using R?
Ok, indeed the package documentation does not explain how expected returns are computed, which means they estimate it from the historical time series you provide as input somehow. You should have mentioned this in your question it gives your more credibility I think. I can see you have found a way around the problem at the end...
Oct
28
comment Understanding $N(d_1)$ and how to use the stock itself as the numeraire?
@Gordon your talent is change of measures explanation would have been more helpful here!
Oct
28
comment How to optimize a portfolio using skewness?
The way you "define" the optimization problem in Latex notation is not the most intuitive form I've ever seen haha.
Oct
28
revised How to optimize a portfolio using skewness?
added 4 characters in body; edited title
Oct
28
comment How to perform portfolio optimization with user-defined expected return and variances using R?
Isn't the documentation of the package clarifying what is being done inside?