Were_cat
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 Apr 21 comment Why is $N(d_2)$ not needed for hedging? So i have seen the calculation explaining why $\Delta = N(d_1)$ and I know the calculation that show we need to use $\Delta$ for hedging, but I can't wrap my mind around the fact we don't use the probability of exercice (i.e. $N(d_2)$) it would make sense for me. Do you have an easy argument that show the exercise probability is not relevant ? Is it a question of real world versus risq free ? Apr 18 comment What are flickering orders? nanex.net/NxResearch for a good source on market manipulation Apr 18 comment Bloomberg & R: Accessing multiple securities with getBars() in R From the As.date documentation (stat.ethz.ch/R-manual/R-devel/library/base/html/as.Date.html): "Arguments: x An object to be converted. format A character string. If not specified, it will try "%Y-%m-%d" then "%Y/%m/%d" on the first non-NA element, and give an error if neither works. Otherwise, the processing is via strptime" Apr 7 comment How can I discover dark pool orders in an order book? you have to be more precise on what are you working with. What is your environnment ? your data ? Apr 7 comment Black Scholes Constant Implied Volatility I understand that a smile can appears if we consider implied volatilities. What i personnaly don't understand is the sense of the vega given a constant $\sigma$. Mar 31 revised Price compounding: Swap versus Governments Bonds added 1 character in body; edited tags; edited title Mar 31 asked Price compounding: Swap versus Governments Bonds Mar 14 comment Shorting an option every day vs shorting only at maturity "Of course, this assumes the underlying's price doesn't change." I think a moving price is the point of the question. Mar 11 comment Las vegas method? ok is this name used appart from him and numerix ? Mar 11 asked Las vegas method? Jan 29 awarded Popular Question Apr 30 comment Discrete Trading to reduce speculation The idea is to limit intraday activities wich are difficultly linked to real economy. Apr 28 accepted (Re) normalisation of random variable in Monte-Carlo simulations Apr 27 asked (Re) normalisation of random variable in Monte-Carlo simulations Apr 20 comment What is a Basis Swap Curve? Where did you see this term ? Apr 15 answered Why normalize only data for CDSs for PCA? Apr 2 awarded Yearling Jan 2 comment interbank market rates - missing data Thakns for your answer. As a non-native english speaker I would highly appreciate a short illustration of the "Taking your EONIA example, I would simply take the difference between the rate before and after the missing spot(s), and divide it by the missing spots and increment the before rate with the found coefficient." part of your answer with number. Dec 28 comment interbank market rates - missing data Should I just remove week-ends/banks holidays or interpolate them ? Dec 28 asked interbank market rates - missing data