5,497 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 5 months
seen 23 hours ago

Investment Analyst in an asset allocation firm in Geneva.


2d
comment How to deal with extreme cases in normal random numbers generation?
@BobJansen well look at this paper, it's scary.
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Well for continuous distribution $\mathbb{P}[Z=z]=0 ~ \forall z$...
Jul
22
comment What is the intuition behind the fact that Modified duration = Macaulay Duration / (1+r)?
+1 The image is really good. I added it directly in the post.
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I would not die if it ended in the BS tag. The way you act (i.e. correcting what mods do on organizational purposes) without asking (like you just don't care) isn't elegant.
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
I completely disagree. What's the point in contesting and doing the re-edit? you'll get your answer anyway. We mods are trying to classify things as well as possible, not to fight with you. I'll leave it like that in the title if you want.
Jul
21
comment How to price a Swing Option?
You created another question, which I deleted. You should have edited this one, which I did for you by merging the contents.
Jul
21
comment Risk Parity portfolio construction
Yes, this is a more efficient numerical approach I think. I did not use it in my answer because I find it less intuitive. I'd just add to set $b_i = \frac{1}{n} ~ \forall i$ if he wants an ERC...
Jul
21
comment How to price a Swing Option?
Hi Alberto, welcome to QuantSE. You're question would be much better if you included a link to a page where people can read about Swing options (even better if you take 5 minutes to write it down). I can see you tried to express that you tried something or had something I mind for the solution, but it looks too light. Just give some background to the question, you'll have a better chance to get an answer.
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Just renamed the question here because the fact that GBM are used in Black-Scholes does not make it a BS-specific question.
Jul
21
comment Does Modern Portfolio Theory align with EMH?
Well the Sharpe ratio could be the same as the market -- it is not necessariliy lower -- but yeah higher returns for higher risk.
Jul
20
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
I don't see how the computation of the expectation is related to the solution of the GBM SDE...
Jul
17
comment How is PnL calculated
@JoshuaUlrich I see what you mean but it still wouldn't be on-topic even with improvements. It's just too basic. No offense.
Jun
30
comment Joint distribution from expectations
Could you clarify the application to Quant Finance? Pure math questions belong to Mathematics.
Jun
30
comment Non-negative matrix factorization for factor analysis of stocks
Please use the math notation for your equations next time.
Jun
20
comment Simple Forward Interest Rate Proof
Could you please use math formatting next time?
May
17
comment Source of Quandl Open Data
Indeed, only they can really answer this question.
May
17
comment Calculate alpha (CAPM) in “cross country-portfolio”
Please use math formatting next time....
May
17
comment How to model hedge fund returns?
Well in my opinion it's still too vague for what was being asked. Could have been a simple comment.
May
16
comment How to model hedge fund returns?
I'm sorry but you're not really answering the question; I think he wants the distributions you've seen used for HF (which will be different depending on their strategy, I agree on that).
May
16
comment How to model hedge fund returns?
References of the research mentioned in your question would enhance the overall quality.