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visits member for 3 years, 6 months
seen Nov 20 at 13:02

Quant


Oct
17
awarded  Notable Question
Sep
24
awarded  Autobiographer
Jul
14
comment How to get permanently growing chart within PCA
Just looking quickly... try getting all of your variables denominated in USD. So for example usdchf should be chfusd.
May
19
comment Why is the Drawdown measure not used for portfolio optimization?
You may find "Investing for Retirement: The Defined Contribution Challenge" by Ben Inker of GMO interesting. He derives a dynamic investment strategy which minimizes the drawdown from an expected terminal wealth (he calls this expected shortfall and defines the objective as "minimize, in expectation, how much wealth falls short of what is needed")
Apr
3
comment Why systematic divergence between ^VIX and VXX?
Come on now, Rich, dont be lazy. ipathetn.com/static/pdf/vix-prospectus.pdf
Nov
11
comment R or Matlab code for Multi-Barrier-Options (3 or more underlyings)
Shooting to do zero work here, huh? There a bunch of pricing functions here: volopta.com/index.html
Oct
14
awarded  Commentator
Oct
14
comment How to calculate unsystematic risk?
The variance of a constant is zero so it doesn't matter.
Jun
25
revised How to calculate unsystematic risk?
added 72 characters in body
Jun
25
answered How to calculate unsystematic risk?
Jun
18
answered Why Drifts are not in the Black Scholes Formula
May
2
awarded  Yearling
Mar
13
awarded  Popular Question
Nov
14
comment Version of Girsanov theorem with changing volatility
I also remember something about only requiring that your vol be a bounded process with finite quadratic variation in order for the theorem to be valid at this step: $$ d\tilde W_t = (\frac{\mu-r} \sigma )dt + dW_t $$ such that $$ d\tilde W_t $$ is still a brownian motion
May
2
awarded  Yearling
Apr
27
comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Hey Tal, maybe check this out: stanford.edu/class/msande444/2011/MS&E444_2011_Group1.pdf
Mar
19
comment Time series of PCA - Sign change in factor loadings
For all components? When you say loadings, you mean the eigen vectors? Could you post some code?
Jan
5
awarded  Editor
Jan
5
revised How does an option's time value depend on moneyness?
added 469 characters in body
Jan
5
answered How does an option's time value depend on moneyness?