Reputation
6,872
Next tag badge:
53/100 score
9/20 answers
Badges
3 18 51
Impact
~278k people reached

Jan
1
comment What are the canonical global-macro investing books?
Bridewater, Brevan Howard, Soros, AQR being hedge funds, they won't publish their strategies in books... and if you talk to these guys a bit (I mean the big bosses), you'd probably get answers like "it's years of market experience, you can't put this in a book".
Jan
1
comment How to answer this interview programming question about drawdowns?
Not sure here, assume bond return is $r_B$, stock return is $r_S$ and define bond weight $B_0 = 1 - X_0$, then you get $X_1 = X_0 (1+r_S)$ and $B_1 = B_0 ( 1+r_B) = (1-X_0)(1+r_B)$ but if you want to see them as weight, you need to "re-normalize" them like $X_1' = \frac{X_1}{X_1+X_2}$ and same for $B_1'$...
Dec
31
comment Why don't real-world probabilities affect the price of a call in a 1-step binomial model?
So, if this answers your question please mark it as accepted.
Dec
31
comment What is the difference between book value per share (BVPS) and earning per share(EPS)?
This is not directly related to quant finance and definitely too basic for this site to be on-topic, see the help center. Also, please pay attention to typos next time.
Dec
22
comment How to derive this approximation of the risk-neutral expectation of the variance?
I think you are missing a $]$ somewhere around your $\log$ functions.
Dec
21
comment Why is my Euler discretization error increasing with number of steps?
You should include the correct version of the code in your answer an mark it as accepted.
Dec
21
comment How can i build a portfolio of n assets that maximizes sortino ratio?
You should rephrase your title as a question, explain what SOCP and sortino ratio are (or give links to external resources). It would make the question much more attractive to answer.
Dec
16
comment Price of a Stock: What is it?
What does $E_0$ mean? Is it multiplied by the sum of the discounted coupons? or do you mean coupons are expressed as a ratio of some earnings?
Dec
16
comment How should option prices differ when using the Heston versus the Black-Scholes model?
What are the parameters you're using for the Black-Scholes and Heston models, respectively. Actually your question would benefit from including in both model's definition in order to be able to "visualize" the difference more clearly.
Dec
16
comment How to prove $\int_0^t W_s^2dWs = \frac{1}{3}W_s^3 - \int_0^t W_s ds$ using Ito's formula?
I totally understand, but then these should actually be embedded as comments. The idea is that we're trying to have questions/answers on the site, rather than questions/hints which might be more suited to a forum-like site. I mean he's accepted your answer but I thought it would be better now to completely solve it (it's not that long anyway).
Dec
16
comment How to prove $\int_0^t W_s^2dWs = \frac{1}{3}W_s^3 - \int_0^t W_s ds$ using Ito's formula?
If you decide to answer to this, then I'd invite you to provide the full solution.
Dec
16
comment Trading Interview Question (Bullish, Bearish)?
The first question was look for the answer provided by @amsh, there was probably a follow-up question asking if the price would be exactly the same as the initial price.
Dec
15
comment Risk Budgets with Target Portfolio Volatility
Which book and article are you referring to? Please provide the links.
Dec
15
comment Is there a free Source for currency forward rates into Excel?
All data sources we have here will be centralized in the question mentioned above.
Dec
11
comment $E[F_T] = F_0$, $p = \frac{1-d}{u-d}$ --> Which implies which?
By proving is both ways you show that $E[F_t] = F_o \iff p = \frac{1-d}{u-d}$, I think that's his point.
Dec
4
comment How to apply the Feynman-Kac formula?
@SriramNagaraj if you're happy with the answer, then please mark it as accepted.
Dec
3
comment How to apply the Feynman-Kac formula?
Well, what have you tried so far? Maybe state the Faynman-Kac formula and see how it relates to your example first.
Dec
3
comment How to understand this tickdata `askvolume` and `bidvolume` fields?
Don't they provide documentation explaining what their fields mean?
Dec
2
comment How to understand this tickdata `askvolume` and `bidvolume` fields?
Where does this tick data come from?
Dec
2
comment How to estimate the price of a European call when the underlying is not tradable?
@Olaf I see your point. I'm trying to consider a case where the options are not traded either.