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age 33
visits member for 3 years, 2 months
seen Nov 8 '13 at 21:14

May
27
asked Modeling liquidity effect on option prices
May
13
answered Setting the r in put-call parity?
May
7
comment Cost function for hedging portfolio
Coming back to it, calculation of the percentile of N-period losses requires some assumptions about the distribution of the hedged risky parameter (let's say it is the spread of the hedging instrument). I looked at the data and it's clear that it's neither Gaussian nor log-normal. What are other distributions people typically use?
May
3
comment Understanding CDOs
Just a nitpick: the question is about cash CDOs. So-called "synthetic CDOs" are unrelated to mortgages.
May
2
comment Is statistical arbitrage on FX possible?
Yes, it's your numeraire.
Apr
28
awarded  Quorum
Apr
26
comment How do I calculate the delta of a convertible bond?
Delta w/r to what, stock price?
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.
Apr
20
answered When is the LIBOR market model Markovian?
Apr
18
revised Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
minor spelling
Apr
18
revised Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
minor spelling
Apr
14
comment Library to solve optimization problems
NAG is not free. Very good and lots of value for the price, though.
Apr
14
comment Library to solve optimization problems
I heard Coin is very good.
Apr
14
comment Library to solve optimization problems
The OP probably doesn't want to pollute the code license with GPL.
Apr
14
comment Library to solve optimization problems
GSL has no constrained nonlinear optimizers which use derivatives.
Apr
12
comment Is statistical arbitrage on FX possible?
If you're books are balanced in USD, you're flat USD.
Apr
11
answered How good is managed code for algo trading?
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.
Apr
8
revised Modern problems in financial mathematics
references for 2nd topic
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).