Quantitative Finance
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mbison
  • Member for 8 years, 3 months
  • Last seen more than a month ago
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About

By day: monkey. By night: street fighter.

If everything is under control your positions are too small. When in doubt: Shoryuken!

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Top posts
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All Questions Answers
Score Newest
answer
5
Why is this delta-hedging/P&L example on a variance swap call correct?
Aug 24, 2015
answer
5
Sharpe ratio with leveraged ETFs
Dec 25, 2015
answer
5
Portfolio of sum of two Bachelier processes
Dec 31, 2015
answer
5
Intuitively speaking, why do at the money options have no volga/convexity?
Jan 8, 2016
answer
4
Can the concept of negative probabilities be used to price a call option?
Dec 29, 2017
answer
4
Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?
Aug 27, 2015
answer
3
At-the-money Call Spread approximation
Sep 7, 2015
question
3
how is the sharpe ratio (or other risk/return measure) computed for a bond?
Dec 27, 2017
answer
3
Does presence of arbitrage necessarily make all derivatives have zero value?
Jan 1, 2016
answer
3
Model Price vs Market Price in terms of Fair Price (Options)
Jan 6, 2016
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7
How to center Gates belt drive?

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