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seen Nov 24 at 16:55

Python and R


Jun
6
asked How do I compare implied and historic volatility?
Jun
5
awarded  Organizer
Jun
4
comment Monthly data for popular indices (constituents).
@Terco I have a spreadsheet that will do this if you like. It only does a few months, you'd have to fill out the other months by copying and pasting the formulae. You'll need access to the Bberg terminal though, with Excel and the add-in. Email me at lagunafinance at me dot com if you're interested.
Jun
4
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
@moderator: How can I start a bounty on this question? It doesn't seem to be letting me do so.
Jun
4
comment What concepts are the most dangerous ones in quantitative finance work?
Actually, we can turn this argument on its head. We can profit from the fact that correlation vanishes during a crisis, by selling correlation to the street. Fact is because many retail investors don't want to choose specific assets in an asset class, they tend to buy baskets. Since they also want capital protection, they tend to buy options on those baskets. Writing these options takes the street short the correlation of the basket elements, and they're happy to pay up to buy it back at (usually expensive) levels, which is what many Hedge Fund traders do through dual binaries and such like.
Jun
4
awarded  Student
Jun
4
awarded  Supporter
Jun
4
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
edited title
Jun
4
awarded  Editor
Jun
4
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
edited body
Jun
4
asked How do I eliminate developed currency funding cross rate risk in an EMFX position?