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visits member for 3 years, 2 months
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Feb
11
comment Can you implement a condor options trading strategy in a spreadsheet?
Too vague, more details are needed to answer this. Moreover am I wrong if I say that the answer you want should include an XL-spreadsheet implementation of a condor strategy ?
Feb
11
comment Video lectures and presentations on quantitative finance
Very good idea, ah ! if only I knew some
Feb
10
comment Fundamental Theorem of Asset Pricing (FTAP)
@Shane : Ok I agree with you and I will post an example of the prototypical answer I am targeting (at least I'll try), but simply I don't have the time to do it right now, so a little patience is in order here ;-) Regards
Feb
10
revised Fundamental Theorem of Asset Pricing (FTAP)
added 41 characters in body; added 27 characters in body
Feb
10
comment Proving Random Walk Hypothesis in Stock Market
Hi I don't know what it's worth but as it seems quite easy to implement you might try this one : arxiv.org/abs/1007.4259
Feb
10
asked What is Quantization ?
Feb
10
comment What is a Quant
@ quant_dev : I would say a structurer need some basic financial engineering skills but need not be a financial enginieer himself (usually he has a quant support team at disposal). And a "Quant Trader" is definitely a financial engineer. Regards
Feb
9
answered What is a cubature scheme?
Feb
9
awarded  Promoter
Feb
9
comment Are there any standard MBS coupon stack models?
Hi, good question but could you please elaborate a little more on what is the payoff of a " MBS coupon stack". Regards
Feb
9
answered What is a Structurer?
Feb
9
comment Fundamental Theorem of Asset Pricing (FTAP)
Anyway even if wrong or incomplete any version can be edited after some comments indicating where and why it should be done are properly made, don't you think ?
Feb
9
comment Fundamental Theorem of Asset Pricing (FTAP)
@Shane : True, I could (and actually I can) do that but I feel this is weird to answer my own question. So what I do is that I'll state a FTAP after someone has done it once. Does it seems fair to you ?
Feb
9
asked Fundamental Theorem of Asset Pricing (FTAP)
Feb
9
comment What is a Quant
Well usually people know what an engineer is, and have a somewhat obscure idea of what finance is about. But "Quant" is a relatively recent term, this explains the form of my answer. Now if you want to know what exactly a financial engineer is doing, this is a different matter in my opinion because there are a really wide variety of mission that a quant can deal with in a single company. Regards
Feb
9
awarded  Commentator
Feb
9
comment Volatility pumping in practice
Here you are books.google.fr/…
Feb
9
revised Paradoxes in quantitative finance
adding promised references ; added 12 characters in body
Feb
9
comment How to show that this weak scheme is a cubature scheme?
Well I 'm affraid that even this is "heavy math" the aim of the forum (in my opinion) is to address this kind of question. MO is more a "pure" math and don't want to pollute it with applicable themes such as Cubature methods in Finance. Regards
Feb
9
comment Volatility pumping in practice
Is it connected to the concept of "Growth optimal Portfolio" (GOP in short) as stated by Platen and Heath ?