Have worked as a Rates Trader / Quant at various banks.
My main interests are: Options Trading Strategies, Pricing Options on Interest Rates (i.e. the Libor Market Model / SABR / other models), and Financial Markets in general...
Here are some questions on this site that I found particularly interesting and that I enjoyed answering the most:
1. How does Implied Vol affect the convexity of an option price?
2. Can a short option have a negative Theta?
3. What is the risk neutral measure?
4. Are forward Libor rates always log-normal?
5. How to choose the correct pricing measure?
6. Do Vertical Credit Option Spreads benefit from higher IV?
7. How does IV affect a put back-spread?
And here are some questions that I asked myself that have received some great answers:
1. Intuition for the drift induced by the Stock Numeraire
2. Can the Numeraire be correlated to other assets under one pricing measure?
I always enjoy linking up with like-minded people who are interested in Quantitative Finance, please feel free to connect on LinkedIn.
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