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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