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

Investment Analyst in an asset allocation firm in Geneva.


Apr
15
comment How to calculate the rho of an index future
This is either unclear or incomplete or basic.
Apr
4
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
Ok I purged the comments here, I got your points. If you feel this is opinion-based, vote to close (although I disagree). If you have a concrete example of features of R that are lacking, provide them in an answer.
Apr
2
comment Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
You should at least describe the model, and provide a link to a resource.
Apr
2
comment What is shorting a asset that has negative price. Can anyone give me an example?
Can you give an example of an asset with negative price?
Mar
9
comment Is Behavioral Finance relevant to quants?
@Probilitator well my concluding remark was supposed to be my last question... Clearly yes, it's worth opening the topic, but it's been an open question for some time now with no obvious answer apparently...
Feb
16
comment How to replicate this option?
@Mat.S oh yes of course!
Jan
10
comment Book on market microstructure
This is quite HFT-oriented though...
Jan
8
comment What is the realized volatility's estimation error?
What are you trying to do? Assess how reliable a volatility estimate is?
Dec
23
comment How to create a Stochastic Process through pre specified points?
@Hansen perhaps instead of sounding so condescending you could try to explain us what it is you don't understand. I'll try to update the formatting. Because given the +6 score, I'd say that say, people understood what I meant.
Dec
17
comment Drawbacks of Black-Scholes option pricing model
Over-estimates or misprices? Can you provide the source where you saw that statement?
Nov
7
comment Is the risk-reward ratio considered in Quantitative Finance?
@MattWolf well as surprising as it might sound, you will find a lot of finance professionals who can't write down these "equations". You might consider a lot of people as non-quants for you because of your background and line of work but I'm pretty sure you'd be surprised how quickly you can be considered as a quant in some companies.
Nov
5
comment Trouble arriving at Black-Scholes Formula
Please do not use the HTML tags in your body. You can use this site's features to format your posts optimally.
Oct
14
comment How to apply Ljung Box Test?
Actually, you may not really ask this on this site as it is dedicated to professional quants or academics (see the faq), but the return $r_t$ is defined as $r_t=\frac{r_t}{r_{t-1}}-1$.
Sep
23
comment What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
Please provide a link to the complete definition of the Stutzer Index for the sake of completeness
Sep
13
comment Input for unanticipated risk premium estimation
I misunderstand it then, I'll let the community answer it then. Feel free to add background to your questions to make sure if there is usual confusion in a topic as you say.
Sep
13
comment Input for unanticipated risk premium estimation
This is really too basic so I'm gonna close this. The answer is it depends, how you compute your risk-premium, which is actually often referred as spread. You can look at this post where I discuss some of the spread measures.
Sep
13
comment How to show that the risk contribution function is or is not injective?
Yeah thanks for the fix. I don't see how this question is related to the Euler one, although $\sigma(\cdot)$ is homogenous of degree 1 indeed.
Sep
11
comment What is exactly Euler's decomposition?
Excellent answer thank you!
Aug
29
comment What is the best solution to use QuantLib within Excel?
From an abstract point of view, there is no definite answer to the question: the solution you should choose depends on your knowledge of the different programming languages and on other details of your personal situation.
Aug
27
comment Where to get access to an inexpensive or free hedge fund/CTA DB?
The question is still unclear.