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| bio | website | |
|---|---|---|
| location | ||
| age | 33 | |
| visits | member for | 2 years, 4 months |
| seen | Jun 13 at 16:52 | |
| stats | profile views | 290 |
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Apr 28 |
awarded | Quorum |
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Apr 26 |
comment |
How do I calculate the delta of a convertible bond? Delta w/r to what, stock price? |
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Apr 26 |
comment |
How do I calculate the delta of a convertible bond? There is no simple formula, as you may gather from the pdf Tangurena gave you. |
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Apr 20 |
answered | When is the LIBOR market model Markovian? |
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Apr 18 |
revised |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? minor spelling |
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Apr 18 |
revised |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? minor spelling |
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Apr 14 |
comment |
Library to solve optimization problems NAG is not free. Very good and lots of value for the price, though. |
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Apr 14 |
comment |
Library to solve optimization problems I heard Coin is very good. |
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Apr 14 |
comment |
Library to solve optimization problems The OP probably doesn't want to pollute the code license with GPL. |
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Apr 14 |
comment |
Library to solve optimization problems GSL has no constrained nonlinear optimizers which use derivatives. |
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Apr 12 |
comment |
Is statistical arbitrage on FX possible? If you're books are balanced in USD, you're flat USD. |
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Apr 11 |
answered | How good is managed code for algo trading? |
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Apr 8 |
comment |
Modern problems in financial mathematics Added a couple for the 2nd topic (also cleaned up the text, the word "stochastic" belonged to the 2nd topic), I'll have to look harder for good references about the 1st. |
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Apr 8 |
revised |
Modern problems in financial mathematics references for 2nd topic |
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Apr 7 |
comment |
What are the main limitations of Black Scholes? If the stock prices consistently followed a different process than the option traders believed, for 20 years, than the first option trader who'd bother to look at historical data and adjust her expectations would reap enormous profits. So: yes, it might happen, but it's like saying that a pink unicorn might happen (in the sense that you can't make a formal proof that pink unicorns do not exist). |
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Apr 6 |
comment |
What are the main limitations of Black Scholes? If the stock prices followed the lognormal process, there would be no consistent smile for over 20 years. |
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Apr 6 |
comment |
What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? Thanks, could you give a link to the Wilmott thread? |
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Apr 6 |
revised |
What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? added 32 characters in body; edited tags; deleted 2 characters in body |
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Apr 5 |
asked | What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? |
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Apr 5 |
comment |
How useful is the genetic algorithm for financial market forecasting? At short time scales it is more a casino. Like nature, in fact. |
