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visits member for 3 years, 8 months
seen Oct 9 at 12:21

Apr
6
comment An equation for European options
Thank's for completing your hypothesis, by the way I think that this subject is close to one approach to risk neutral valuation via so called "pricing rules" which is essentially a functionnal analysis of the subject. Some references to this include some papers by L.C.G. Rogers, and maybe also something by N.Touzi but I am not completly sure about those references. I can check them more thouroughly if you are interested. Regards
Apr
6
comment What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying?
I am really curious why on earth would you like to know such a thing? and moreover what would the "winner" do with such a record ? The CEO would tell its shareholders, hey look we don 't care about this year's results because guess what we are the most volatile stock in the world !!! That could be fun.
Apr
5
comment An equation for European options
I think that in some case you can consider some non linearity over the price of the sum of pay-off. For example, super replication prices are not always the sum of super replication prices of individual payoffs. Regards.
Mar
24
comment Heuristics for calculating theoretical probabilities of being ITM at time T for listed options
@ Dragan Chupacabric : By probability you mean risk-neutral Probability (associated to stock-numéraire), right ? This is not comlpetely clear from your question when you say "I use delta as a proxy for this probability of success for single options". Regards
Mar
20
comment How do practitioners use the Malliavin calculus (if at all)?
I don't like this answer and vote it down. Moreover, I don't agree with the idea that there is an antagony between academics and practitioners.
Mar
17
comment Value-at-Risk of the sum of two dependent lognormal random variables
Hi i don t think that it is a question about Variance but about Value at Risk
Feb
21
comment What SABR $\beta$ to use for EURIBOR swaption smiles
Hi, just to be sure have you incorporated the Basis Swap that exists between E6M and E3M ? Regards
Feb
15
comment Rate interpolation in Libor Market Model
you can still use very short maturities (listed) Libor Options Implied Vols if you want to, but as for such maturities vol isn't really the issue you can use flat first caplet vol instead. Regards
Feb
15
comment What is Quantization ?
This is typically what I was curious about, but with some explanations of the underlying principles and main points, rather than an ultra- technical one.
Feb
14
comment Rate interpolation in Libor Market Model
Well I haven't implemented the paper but argument seems fine even if the solution to make the fixed Libor is a little "articial" in my opinion and the author could have reformulated it in a more natural way within the framework of Schlögl with "a model" for short rates. Regards.
Feb
12
comment Rate interpolation in Libor Market Model
As this article is quite recent, I haven't read it. I'll take a look and tell you what I think about it. Anyway, there is also some interesting material about this topic in books of Brigo and Mercurio and in the book(s) by Andersen and Piterbarg. Regards
Feb
11
comment Is there a standard method for getting a continuous time series from futures data?
@ Joshua Chance : I think that if you give a precise definition of what " ratio adjusted method" is exactually, you can make this a correct answer. Regards
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
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
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
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
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 ?