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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.
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).
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?
added 32 characters in body; edited tags; deleted 2 characters in body
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?
added 275 characters in body; added 2 characters in body; added 2 characters in body
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?