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Jun
18
comment How to price zero coupon bonds with short term rates model?
Regarding how to arrive at a closed form solution this answer is quite good: Use of Girsanov's theorem in bond pricing
Jun
18
comment How to price zero coupon bonds with short term rates model?
Regarding 2) All models depend on a set of parameters that you calibrate to observed market prices, once that is done you are using risk neutral probabilities.
Mar
5
revised Which interest rate model for which product
spell fix cleanup
Mar
5
comment Which interest rate model for which product
One criteria could be that the model produce realistic values. Hull-White for instance can lead to negative interest rates.
Mar
5
suggested suggested edit on Which interest rate model for which product
Jan
29
answered Consistency of economic scenarios in nested stochastics simulation
Dec
27
answered ISDA: Interpreting a date specified as x business days prior to another date with a business day convention of 'NONE'
Oct
29
comment From Fourier Transforms to Option Values
True. I noticed when I did a C implementation.
Oct
25
awarded  Yearling
Oct
24
answered From Fourier Transforms to Option Values
Aug
23
answered Currency forwards implied interest rates
Jan
19
comment Sharpe ratio in days with no open positions
@chrisaycock Sorry, I wasn't clear. I meant why not sum up the days you actually have open positions over the year and square root that sum. What would be the argument against that? Well obviously it would be a different measure..
Jan
19
comment Sharpe ratio in days with no open positions
This is not obvious to me even though I do just that myself (use sqrt(250)). Why couldn't you argue that one should use sqrt(days_in_the_market_per_year)?
Jul
13
awarded  Editor
Apr
2
awarded  Critic
Mar
23
awarded  Teacher
Mar
23
answered What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Jan
7
comment Can you fully hedge an option in the presence of counterparty risk?
Many OTC derivatives are collaterialized daily to make the default risk minimal. It's regulated in the Credit Support Annex (CSA) of a ISDA Master Agreement. I suppose you can call that 'hedging'.
Nov
30
comment How do you handle short-term asset allocation with Hedge-Funds?
Yes, but I was curious about the ones which do not have indices or daily return series?
Nov
29
comment How do you handle short-term asset allocation with Hedge-Funds?
Just curious, what other asset classes do you refer to?