5,621 reputation
21342
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 7 months
seen 12 hours ago

Strats in a commodity trading firm in Hong Kong.


Sep
12
comment Is there a good closed-form approximation for Black-Scholes implied volatility?
There is this, less-specific thread that could get you at least started.
Sep
12
comment Counterparty risk tutorials
Your link is dead, and I'm not sure you had the right to share this anyway. However, you can include links to the books and articles you mention.
Sep
10
comment Filtration and measure change
@emcor I'm not here to debate this. Cross-posting is not allowed (except in very special case). It's my role to apply the community's rules and they were discussed in SE Meta extensively. It's not even my decision.
Sep
10
comment Filtration and measure change
Well, then leave it there, and I'll delete it here as cross-posting is not tolerated, see this post.
Sep
10
comment Filtration and measure change
I think your question is good for this site, but you should delete it in Mathematics; cross-posting is not tolerated by SE sites.
Sep
8
comment What is the difference between a “cross-currency swap” and “two interest rate swaps (with principal exchange)”?
Could you please provide more details about what you've been doing, what you used for your computations?
Sep
8
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
You should include the links to the package you're using. This is really close to be a SO question, but I think it's related to concepts enough to keep it here. Let's see what the community thinks.
Sep
5
comment Why does the minimum variance portfolio provide good returns?
You should disclose that you work for Stoxx and include the answers in your answer. Otherwise I will delete the answer as it is seen as purely promotional.
Sep
5
comment Convergence of GBM mean after simulation?
I am not an expert in MC simulation, but I believe that steps have their importance when using approximations of the model, like $S_{t+\Delta t}=S_t + \mu S_t \Delta t + \sigma S_t \sqrt{\Delta t} z_t$. And I simulate the steps because I am obviously interested in having the resulting path, not final price, for some risk analysis on a more complex process depending on GBMs.
Sep
5
comment Convergence of GBM mean after simulation?
Besides, I'm not using the euler approximation here. So the number of steps I take won't change anything; I have the exact solution anyway...
Sep
5
comment Convergence of GBM mean after simulation?
I would, however, remove you last paragraph, as I think it's missing the point. Of course it works for low-volatility or short periods of times, I'm in particular trying to test what happens in more extreme cases.
Sep
5
comment Convergence of GBM mean after simulation?
Ok, this is a good answer, but it's still incomplete in my opinion. The variance and mean of the process are key. According to the central limit theorem, the mean of all $S_{300}$ is normally distributed with mean $\mathbb{E}[S_{300}]$ and variance $\frac{Var[S_{300}]}{n}$. These values can be computed as you illustrate.
Sep
5
comment Convergence of GBM mean after simulation?
I understand what you say, but I think the problem would be exactly the same if I take $n = 300 \cdot \frac{1}{\Delta t}$ steps... (i assume $\Delta t$ is expressed as a fraction of a year here...)
Sep
5
comment News on ETF sector performance
How does that help about the ETF?
Sep
5
comment What would be a concise method to learn Monte Carlo methods?
Very interesting links, especially to the class notes, although I doubt this is perfectly legal.
Sep
5
comment What is the required Risk/ Reward ratio in Forex?
I think your first statement would benefit from stating that this is related to the Efficient Market Hypothesis. I know on some questions it's hard, but we try not to have opinion-based questions/answers, so stating theoretical background is useful.
Sep
5
comment What is the required Risk/ Reward ratio in Forex?
Hi SiXUIm. Welcome to Quant SE. As you might see in the faq, this site is dedicated to quantitative finance professionals and academics. "Beginner" (no offence) FX trading advises are off-topic here. Maybe some of these sites have forums or something of the sort.
Sep
4
comment Convergence of GBM mean after simulation?
Well, I agree that high volatility is the source, but I don't think it's a problem. In the end, the model should work alright even with high volatilities and long samples. I was trying to understand whether results looked rational for that kind of $\sigma$...
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 $\mathbb{E}(S_t)=S_0$...