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seen Apr 20 at 20:51

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).
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.
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?
Apr
6
revised What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
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Apr
5
asked What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
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.
Apr
5
answered Modern problems in financial mathematics
Apr
4
comment Paradoxes in quantitative finance
This is not a paradox.
Apr
2
answered Financial Products Markup Language
Mar
31
answered Trading a stock (or other asset) based on Bollinger Bands.
Mar
31
comment Trading a stock (or other asset) based on Bollinger Bands.
"And once you've done that, you'll be a quant. Until then, you're just staring at ink on a page." -- Then he'll replace blind faith in charts by blind faith in maths ;-)
Mar
30
comment Pricing callable range accruals on spreads
Then I think you're overpricing the cancellation option, as you permit the caller to "look ahead in the future".
Mar
29
revised Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
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Mar
29
comment Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
For small enough time steps it will. The binomial tree is just an approximation, and you can't really call $p$ a genuine probability.
Mar
29
answered Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
Mar
29
comment Pricing callable range accruals on spreads
How did you do handle the callability?
Mar
28
comment Hedgefund-like behavior for covered call selling account?
I think you need to start by talking to a lawyer, and not just any lawyer but the one who specialises in finance.
Mar
28
comment How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
It's not that easy, because the simulation will be performed in risk-neutral measure, and historical data give you information about the physical (a.k.a. real-world measure). You can use them to verify your models, but it's not something a beginner will be able to do.
Mar
28
answered How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?