5,924 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 1 hour ago

Strats in a commodity trading firm in Hong Kong.


Sep
3
comment What is wrong in this GBM simulation?
Oh thanks how did I miss that. I could have look 10 more hours at this...
Sep
3
comment What is wrong in this GBM simulation?
@JoshuaUlrich I agree, but still I don't get what is wrong with the implementation VS theoretical result $\mathbb{E}(S_t)=S_0$...
Sep
3
comment What is wrong in this GBM simulation?
@Svisstack what do you mean plot in time? No even if I use 100'000 runs it stays close to 99.5. I don't get it.
Sep
3
asked What is wrong in this GBM simulation?
Sep
1
reviewed Satisfactory Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Sep
1
reviewed Excellent Option based portfolio insurance in practice
Sep
1
reviewed Satisfactory Heat/Diffusion Equation
Sep
1
reviewed Needs Improvement Looking for Research Paper on Creation of Currency Baskets
Sep
1
reviewed Excellent How to find optimal look back in quant trading models
Sep
1
reviewed Satisfactory 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
Aug
27
reviewed No Action Needed Modelling currency exchange rates timeseries data across re-denomation dates
Aug
19
reviewed Approve Why does regression capture differences in volatility?
Aug
6
comment How to create charts in WPF finance applications?
Maybe you could put smaller images and explain what special features you have for financial applications more in details.
Jul
30
revised Why are we obsessed over normalizing financial data?
deleted 20 characters in body; edited tags
Jul
26
accepted How to deal with extreme cases in normal random numbers generation?
Jul
23
revised How to price a Swing Option?
embedded links
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
@BobJansen well look at this paper, it's scary.
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Well for continuous distribution $\mathbb{P}[Z=z]=0 ~ \forall z$...
Jul
22
revised How to deal with extreme cases in normal random numbers generation?
edited title
Jul
22
revised What are the implication of a negative risk-free rate on SML?
rephrased question