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Oct
28
revised How to perform portfolio optimization with user-defined expected return and variances using R?
added 9 characters in body; edited tags; edited title
Oct
28
comment Are commodities a real assets or a physical assets?
I'm voting to close this question as off-topic because it's not related to Quantitative Finance in particular.
Oct
28
comment How to retrieve and format futures data for use in regression/time series models?
Oh I see now, using past future data to predict current spot in that sense.
Oct
28
revised Are commodities a real assets or a physical assets?
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Oct
28
comment How to simulate stock prices with a Geometric Brownian Motion?
I disagree both methods should yield the same result for $\Delta t$ small enough. The closed-form solution of the GBM behavior has no direct link to risk-neutrality, that comes into account when you change the measure for the Black-Scholes solution for example.
Oct
28
revised What are the pros and cons of historial and Gaussian approaches to VaR?
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Oct
28
revised How to use Euler discretization for this interest rate model?
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Oct
28
comment How to use Euler discretization for this interest rate model?
I think he meant whether it was to denote a given $x_t$ or is it used to mean $x_t$ raised to the power $\gamma$
Oct
27
comment Why does the valuation of the floating leg of a swap only use the next payment?
The question is not super clear, I think, although some managed to answer you. It would be good if you could enhance your question by adding the pricing formula you have in mind and precising explicitely what kind of swaps you're talking about.
Oct
27
revised Why does the valuation of the floating leg of a swap only use the next payment?
edited title
Oct
27
revised Why does the valuation of the floating leg of a swap only use the next payment?
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Oct
27
comment Historical Volatility vs Implied Volatility Performance in Pricing Options
As this is all about providing resource, a link to a specific paper would be much better.
Oct
27
comment How to retrieve and format futures data for use in regression/time series models?
I'm struggling to see how you can do that but that beyond the question anyway, so I think you can mark this as an answer.
Oct
27
comment Is there an implementation of VAR-EGARCH model in R or Stata?
Could you please edit your question by adding your comment in it so that it is clear and readable for the community? Then somebody might be able to answer it.
Oct
26
comment Asset pricing - Technology
Why do you assume $z_t = \ln(Z_t)$, it should be $z_t = \ln(Z_t) - \mu t$... and how does that help? $Z$ and $z$ are different here, but I think the notation is pretty bad. Basically this "is" a geometric brownian motion with autoregressive local volatility.
Oct
26
comment How to retrieve and format futures data for use in regression/time series models?
Yeah that's right but you regression formula does not make sense to me, because you do not know $P_{t+h}$ at time $t$. If you're happy with the answer then you can accept it.
Oct
26
revised Asset pricing - Technology
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Oct
26
revised How to get the IMM dates in Python for a given symbol?
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Oct
26
comment What methods are there for showing a time series is mean reverting?
Would you have any reference to provide?
Oct
26
revised What methods are there for showing a time series is mean reverting?
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