5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 14 mins ago

Strats in a commodity trading firm in Hong Kong.


Sep
23
revised What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
added 2 characters in body
Sep
13
revised Input for unanticipated risk premium estimation
deleted 25 characters in body
Sep
13
revised How to show that the risk contribution function is or is not injective?
added 455 characters in body
Sep
13
revised Testing the validity of a factor model for stock returns
removed courtesies
Sep
4
revised Risk Neutral Evaluation - Exchange/Spread Options
deleted 12 characters in body
Sep
2
revised Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?
added 6 characters in body; edited tags; edited title
Aug
29
revised What is the best solution to use QuantLib within Excel?
edited tags; edited title
Aug
26
revised What is “high frequency quoting” or “quote spam”?
deleted 4 characters in body
Aug
26
revised What is the difference between convertible bond and bond with warrant?
deleted 23 characters in body
Aug
26
revised Example code for “Gauge Invariance, Geometry and Arbitrage” paper
retagged, formatting
Aug
26
revised How to compute the volume of an index from the volume of its constituents?
added 3 characters in body; edited tags; edited title
Aug
25
revised Pairs trading: Question on non-negative profits, size of the positions and trading signals
adds math formatting
Aug
20
revised Black (1976) model: boundary conditions with non-convergence of spot and forward prices
math formatting
Aug
18
revised How to compute a sector's volatility within a portfolio?
added 6 characters in body; edited title
Aug
12
revised How to calibrate Hull-White from zero curve?
retagged, rephrased question, added link to model, removed courtesies
Aug
12
revised Is HMM of Volatility any different from a simple filter?
added 102 characters in body
Aug
7
revised Risk Parity portfolio construction
fixing optimization target
Aug
5
revised How to choose a rolling window type and size?
edited title
Jul
28
revised Estimate weekly, yearly quantities from finite samples
deleted 44 characters in body
Jul
26
revised A question on Ito
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