6,109 reputation
21646
bio website blog.smaga.ch
location Hong Kong
age 29
visits member for 4 years, 1 month
seen 14 hours ago

Strats in a commodity trading firm in Hong Kong.


Jan
19
revised Why is this delta-hedging/P&L example on a variance swap call correct?
edited body
Jan
19
revised Why is this delta-hedging/P&L example on a variance swap call correct?
edited body
Jan
12
revised Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?
embedded precision in question, rephrased question, added formatting
Jan
12
revised Do you have a validation set for Libor Market Model implementation?
edited tags; edited title; removed courtesies, removed most abbreviations
Jan
12
revised What Matlab packages to I need as a Risk Analyst?
edited tags; edited title
Jan
12
revised What is a canonical book or article to learn pair trading?
added link
Jan
12
revised What is a canonical book or article to learn pair trading?
rephrased question to make it on topic
Dec
22
revised How to synthesize a futures spread option?
rephrased as a question
Dec
19
revised How to calibrate the Hull-White model using cap prices?
formatting, added link
Dec
16
revised Maximizing utility subject to a wealth constraint
deleted 43 characters in body
Dec
15
revised Is this process predictable or not?
added 19 characters in body; edited title
Dec
11
revised Integral-differential equation for forward rates
added 16 characters in body
Dec
9
revised Which library shall I use for time series analysis in Java?
added 6 characters in body; edited title
Dec
9
revised Why is this stochastic integral a martingale?
added 28 characters in body
Dec
9
revised Why is this stochastic integral a martingale?
added 6 characters in body
Dec
9
revised Why is this stochastic integral a martingale?
added 4 characters in body
Dec
8
revised How to annualise the volatility of non-iid returns?
edited title
Dec
8
revised How to annualise the volatility of non-iid returns?
added 14 characters in body
Dec
7
revised How to model natural gas forward price?
edited title
Dec
5
revised How to compute the historical VaR for a portfolio with long and short positions?
added 18 characters in body; edited tags; edited title