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bio website myindigolives.wordpress.com
location Arizona
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visits member for 3 years, 8 months
seen Nov 15 at 12:52

Probability, finance and due diligence - @EllieAsksWhy

profile for Ellie Kesselman on Stack Exchange, a network of free, community-driven Q&A sites


Oct
21
comment How to calculate unsystematic risk?
You mean the calculation of beta in the Capital Asset Pricing Model, no? As @Quant Guy mentioned, I was also puzzled by the "CAPM formula" in the question.
Oct
21
comment Why write options on a volatility target index?
Excellent answer. Perfectly explains why some would do this, even if they are "paying through the nose" so to speak. EDIT: That is a very old expression, nothing to do with any illegal activities. Just occurred to me!
Oct
20
awarded  Critic
Sep
22
comment How to update an exponential moving average with missing values?
Yes, the second option actually works well. It is practical and less prone to error because there isn't excess computation required. I presume there isn't lots of missing data. There shouldn't be if the data frequency is generally available at 1-second intervals.
Sep
22
revised How to update an exponential moving average with missing values?
edited tags
Sep
22
revised How are distributions for tail risk measures estimated in practice?
edited tags
Sep
22
comment Role of skewness in portfolio optimization?
See this question it has good answers that may help quant.stackexchange.com/questions/1557/…
Sep
22
revised How does left tail risk differ from right tail risk?
edited tags
Sep
19
comment Option pricing before Black-Scholes
Thank you so much @vonjd particularly for the second URL. This entire question and answer thread is one of the best I've seen on quantSE, actually.
Sep
13
awarded  Citizen Patrol
Sep
13
revised Is there an all Java options-pricing library (preferably open source) besides jquantlib?
edited tags
Sep
13
comment Is there an all Java options-pricing library (preferably open source) besides jquantlib?
Odd, the site is down for me too.
Sep
13
comment What time are Bloomberg Open Symbology Files updated daily?
I spent about an hour trying to find the answer to your question, as I am really curious about Bloomberg Open Symbology. Best I could find was that they ARE updated once daily, but no specifics.
Aug
20
awarded  Organizer
Aug
20
awarded  Excavator
Aug
20
awarded  Editor
Aug
20
revised What are some examples of non-financial risks and contingency plans?
added a tag, removed a tag, changed phrasing slightly
Aug
20
suggested approved edit on What are some examples of non-financial risks and contingency plans?
Aug
20
awarded  Teacher
Aug
20
answered What are some examples of non-financial risks and contingency plans?