5,746 reputation
21443
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 9 months
seen 13 hours ago

Strats in a commodity trading firm in Hong Kong.


Nov
21
comment What are the dynamics of the reverse of this FX process?
I tried to keep you notation but frankly the way you expressed your question and added details in comments were not very community-friendly. Please pay some attention to formatting and clarity next time.
Nov
20
comment How to price an European call on zero-coupon from the yield curve?
@Paul arf. I understand noew. I know it's somehow in there but maybe specifying this (i.e. that you know Black is a solution but you don't want it) in the question would have made it clearer.
Nov
6
comment What is the probability distribution of the changes in $\Delta$?
Note: all else equal is important in my comment. I think you will have to look at one source of change only, because otherwise you have to look at all the partial derivatives at the same time... I'd suggest looking at Vanna : $\frac{\partial^2 \Delta}{(\partial S)^2}$.
Nov
6
comment What is the probability distribution of the changes in $\Delta$?
I adjusted your question because the probability of $\Delta$ to change between $t_1$ and $t_2$ is 1 or extremely close to 1 ($\Delta$ depends on $t$, so as $t$ changes $\Delta$ will change, all else equal).
Nov
1
comment How to learn finance?
This site is dedicated to quantitative finance itself, and career advice are off-topic here.
Oct
30
comment Option Prices under the Heston Stochastic Volatility Model
I think there is a word missing somewhere in your answer...
Oct
30
comment What is the difference between asset management and wealth management?
Please enhance you question with what you already know and where you have doubts. Right now, I should technically close it as either too basic or too broad.
Oct
30
comment What is an efficient method to find implied volatility?
You can have a look at this answer, which points out to a couple of alternatives.
Oct
29
comment How to model the effect of earnings surprises on long-term returns?
Good edit. Good attitude. I reopened it.
Oct
29
comment How to model the effect of earnings surprises on long-term returns?
Hi EHC, welcome to QuantSE. I'm afraid your question is actually extremely vague: what are your inputs? what do you call a surprise? and frankly your questions are just as vague. You should try to first have a simple prototype with a couple of results and then try to refine by posting what you've done.
Oct
24
comment Where can I find free historical market cap data?
Your edit is a comment. Let's see what the community thinks and votes for reopening this. In fact probably any answer should be sent to the other global question.
Oct
24
comment What machine learning method is more suitable for prediction of financial time series?
What method did you use with SVM? Where do you think it has problems? This is just too vague in the current state, you can edit it to make it generic (i.e. by making the strategy public) and I'll reopen it.
Oct
23
comment Where can I find a list of VaR and CVaR formulas for continuous distributions?
Great link I think. +1
Oct
22
comment If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute?
Hi TraderJenny, broad questions about developing a trading strategy are off-topic here.
Oct
17
comment Why does the minimum variance portfolio provide good returns?
Assumptions on Equities skewness or any statistical properties is at the discretion of the investor right? Technically risk should be rewarded by expected return, if that's not the case, then why don't you simply invest in the risk-free rate?
Oct
16
comment What is a good Computer Algebra System for financial engineering?
I don't know Unrisk but I think in mathematica it's hard to solve stochastic differential equations (SDEs). It might help during some computation steps though.
Oct
15
comment What is a good Computer Algebra System for financial engineering?
High Mitch76, it's a good question but it would benefit from having embedded links to some reference page for the model and the book you're referring to.
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.