84 reputation
3
bio website
location Seoul, South Korea
age 24
visits member for 1 year, 5 months
seen Oct 20 at 8:04

Student


Sep
24
awarded  Autobiographer
Sep
12
comment Counterparty risk tutorials
All of the member homepages of mathematics department at that university are currently broken - I think the link will be fixed at some point.
May
31
comment Calculating log returns using R
Doesn't change at all, it's still the same code. At least for my zoo object the function he posted worked without any flaws.
May
31
answered Is there any other way to measure option pricing model performance than proximity to market prices?
Mar
11
answered Looking for a pricing library supporting Mutli-curve Framework
Jun
19
awarded  Supporter
Jun
16
comment How to calculate the implied volatility using the binomial options pricing model
Indeed..however the approach should be the similar. Just set up the binomial tree and fix all the other inputs. The change of volatility should only affect 2 the up move and down move (at least in my CRR model). But I guess Veeken already solved it more beautifully.
Jun
15
awarded  Teacher
Jun
15
answered How to calculate the implied volatility using the binomial options pricing model
May
27
comment What does the prefix PX stand for on a Bloomberg Terminal?
There is no S letters there, so I'm not sure what you mean. PX_VOLUME means Price Trading Volume - usually the daily trading volume of trading for that particular instrument.