5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 2 months
seen 2 days ago

Investment Analyst in an asset allocation firm in Geneva.


May
17
comment Is it random walk?
Include this not as comment, but within the body of the question...
May
16
revised How to use Itô's formula to deduce that a stochastic process is a martingale?
format, phrasing
May
12
comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
I'm purging the comments and putting an end to this. QuantSE is about helping out people on things you know, and benefiting from other on things you don't know. There is no place here for negotiating reputation points. Had you given your answer, 5 upvotes would have given you the 50 points of the bounty. If you want additional points, ask good questions or solve unanswered questions. In general guys, comments boxes are no courtrooms. Please for this site's sake, stop arguing in comments, do it on the chat rooms if you really need to argue about something important.
May
7
reviewed Approve suggested edit on How to implement Maximum Diversification in R?
May
4
comment Portfolio insurance with a coherent risk measure (CVaR)
What do you mean by portfolio insurance exactly? You're trying to hedge your tail risk here right?
May
4
comment Is vega of Black-Scholes European type option always positive?
Please re-read you question, there is a part that doesn't make sense. What do you mean by "a general payoff function"?
May
4
revised How to implement Maximum Diversification in R?
added 2 characters in body
May
4
answered How to implement Maximum Diversification in R?
May
4
comment How to implement Maximum Diversification in R?
I doubt you are a professional quant, but I'll answer this because I think it can be interesting for other users. Please read the faq again though, and consider completing your user data.
May
4
revised How to implement Maximum Diversification in R?
formatting, removed courtesies
Apr
30
revised Call vs. Put Option
added 1365 characters in body
Apr
30
revised How to create charts in WPF finance applications?
retagged + formatting
Apr
30
comment How to create charts in WPF finance applications?
I've seen a few .net charts in my short career, but I must say these ones definitely look good! Feel free to let me know if you wanna give a license away for a blog review ;-)
Apr
30
revised Call vs. Put Option
deleted 98 characters in body
Apr
30
comment Call vs. Put Option
It's fine I did it, you simply can use latex within \$ signs...
Apr
30
revised Call vs. Put Option
added 17 characters in body
Apr
30
comment Call vs. Put Option
Could you use the math formatting please? It's easier to read...
Apr
30
comment Call vs. Put Option
Calm down straightaway. This is basic, you forgot to mention something important the first time (the ATM point), and you're being aggressive. Please look at the answers, and show a bit of courtesy to people who try to help you.
Apr
30
comment Call vs. Put Option
@RemusStanescu now that you corrected it by specifying it's at ATM, yes it's correct. I'll edit the answer later...
Apr
30
comment In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
@vonjd is right, this is not correct.