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Nov
3
revised How to price touch options using quantlib?
deleted 66 characters in body
Nov
3
revised How to price touch options using quantlib?
added 30 characters in body; edited tags; edited title
Nov
3
comment How to derive what effect funding shocks have on conditional market betas?
Ok this is still not clear and the formatting is still not right. I'm closing this until you've cleaned up the formatting and made clear what you're looking to do.
Nov
3
comment How to calculate annualised tracking error?
I think his "returns" are as indicated in the question "relative" returns so they correspond to $\bar{r}_i = r_{t,i} - r_{b,i}$, then he uses the approach from wiki $TE=\sqrt{\text{Var}(\bar{r}_i)}$ is that wrong?
Nov
3
revised How to calculate annualised tracking error?
added 8 characters in body; edited title
Nov
3
answered How to compute simple and log portfolio returns?
Nov
2
comment Why is the time value of an option mathematically always positive?
oh yeah you're right I missed one term. Sorry.
Nov
2
comment How to compute simple and log portfolio returns?
I agree I don't understand why you don't trust the source. I'm also hesitating to close this as a basic finance question, but the topic can be more complicated than expected so having a canonical resource could be interesting.
Nov
2
revised How to compute simple and log portfolio returns?
added 18 characters in body; edited title
Nov
2
revised How to price a credit-risky zero-coupon bond?
added 97 characters in body; edited title
Nov
2
revised Derivation using Ito's Lemma of price process
added 11 characters in body
Nov
2
revised What is the correct hedging strategy using futures?
edited title
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