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 Oct17 awarded Notable Question Sep24 awarded Autobiographer Jul14 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. May19 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") Apr3 comment Why systematic divergence between ^VIX and VXX? Come on now, Rich, dont be lazy. ipathetn.com/static/pdf/vix-prospectus.pdf Nov11 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 Oct14 awarded Commentator Oct14 comment How to calculate unsystematic risk? The variance of a constant is zero so it doesn't matter. Jun25 revised How to calculate unsystematic risk? added 72 characters in body Jun25 answered How to calculate unsystematic risk? Jun18 answered Why Drifts are not in the Black Scholes Formula May2 awarded Yearling Mar13 awarded Popular Question Nov14 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 May2 awarded Yearling Apr27 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 Mar19 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? Jan5 awarded Editor Jan5 revised How does an option's time value depend on moneyness? added 469 characters in body Jan5 answered How does an option's time value depend on moneyness?