5,701 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 44 mins ago

Strats in a commodity trading firm in Hong Kong.


22h
comment Option Prices under the Heston Stochastic Volatility Model
I think there is a word missing somewhere in your answer...
1d
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.
1d
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.
1d
comment How to compute annuity payment?
This question is about too basic for this site and hence off-topic, see the faq. It looks like a CFA question though, and you might find better answers on dedicated forums.
2d
comment How to model the effect of earnings surprises on long-term returns?
Good edit. Good attitude. I reopened it.
2d
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 How to price of weather derivatives using a Brownian Motion?
Not really no. Where does it come from? Can you provide a link to the this source? What kind of derivatives are you trying to price? This is far too abstract, I'm closing this until there is enough info in there to start drafting an answer.
Oct
23
comment How to price of weather derivatives using a Brownian Motion?
The question is not clear at all. Please clarify and show what you've come up with and where you're stuck.
Oct
23
comment Where can I find a list of VaR and CVaR formulas for continuous distributions?
Great link I think. +1
Oct
23
comment How do foreign banks get rid of USD?
This question appears to be off-topic because it is about global finance/economy.
Oct
23
comment How do foreign banks get rid of USD?
This question is not really related to quantitative finance, but more to global economic/financial systems. So it's off-topic here, and I'm afraid there is no site in StackExchange dedicated to this, sorry about that.
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.