125 reputation
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location Seoul, South Korea
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visits member for 1 year, 10 months
seen yesterday

Student


Mar
20
awarded  Commentator
Mar
20
comment Markov Pricing kernel
Why don't you ask your professor to expand more on the topic? Guess he can be happy someone actually reads his lecture notes, and it could lead to a better understanding for the whole class.
Jan
30
awarded  Critic
Jan
29
awarded  Scholar
Jan
29
comment Bloomberg equity option volatility data
Okay thanks! I'll send a message to Bloomberg help then when I can use it.
Jan
29
accepted Bloomberg equity option volatility data
Jan
29
comment Bloomberg equity option volatility data
Thanks! Do you also happen to know the fields so I can obtain the data from all the volatility surface?
Jan
29
comment Bloomberg equity option volatility data
Well as I said, I currently do not have access to a Bloomberg terminal.
Jan
29
asked Bloomberg equity option volatility data
Jan
29
comment What data sources are available online?
Yes, using the API does not give you any access to Bloomberg data.
Nov
25
answered What are the canonical books for statistics applied to finance?
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