SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by list1
October 24th, 2017, 3:55 pm
Forum: Off Topic
Topic: best songs
Replies: 12
Views: 1121

Re: best songs

by list1
October 23rd, 2017, 9:34 pm
Forum: Off Topic
Topic: best songs
Replies: 12
Views: 1121

best songs

from old times:
by list1
October 23rd, 2017, 9:29 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

3 it is highlighted the difference between no arbitrage and settlement pricing of the options and something else. This ("and something else") is a classic :-D Para subir al cielo, Para subir al cielo se necesita, Una escalara grande, Una escelara grande y otra chiquita https://www.youtube.com/watch...
by list1
October 23rd, 2017, 5:18 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

3 it is highlighted the difference between no arbitrage and settlement pricing of the options and something else. This ("and something else") is a classic :-D Something is related to my point on options pricing, which interprets premium as settlement between buyers and sellers and therefore implies...
by list1
October 23rd, 2017, 2:19 am
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

I submitted a paper to  https://www.slideshare.net/list2do/options-pricing-and-hedging https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3056738 I will appreciate your comments. In this paper 1. informal differential form of the BSE derivation is replaced by its formal integral form 2. it is show...
by list1
October 22nd, 2017, 11:45 am
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2128
Views: 86705

Re: UK and the EU: In or out?

here's a good idea I f the two parties were to merge, they would be a genuine UK-wide third party with safe seats, a solid party membership, and real power. The DUP’s entrenched status in Northern Ireland is just what UKIP needs to bring stability in changing times. Add Farage into the mix and thin...
by list1
October 21st, 2017, 3:54 pm
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2128
Views: 86705

Re: UK and the EU: In or out?

whether these two initiatives will finished similarly?
by list1
October 21st, 2017, 3:53 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

I submitted a paper to 

https://papers.ssrn.com/sol3/papers.cfm ... id=3056738
I will appreciate your comments.
by list1
October 19th, 2017, 9:26 pm
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2128
Views: 86705

Re: UK and the EU: In or out?

Are there more similarities between UK out of EU and Catalonia out of Spain besides referendums and negative reactions from EU and Spain correspondingly?  
by list1
October 15th, 2017, 10:54 am
Forum: Economics Forum
Topic: Fed Prepares for Further Quant Easing
Replies: 118
Views: 25388

Re: Fed Prepares for Further Quant Easing

The Fed's Massive Bubble Is Leading To Massive Economic Pain First, the financial problem was called surplus value problem. Which probably was discovered by Karl Marx. Surplus was not invested in the areas where it comes from. Where it was used is other problem. Now values of 'surplus' in some coun...
by list1
October 14th, 2017, 11:53 pm
Forum: Student Forum
Topic: Volatility Trading using European Vanilla Options
Replies: 3
Views: 948

Re: Volatility Trading using European Vanilla Options

What do you think is the best model for trading volatility using only European Vanilla Options and the underlying? And why? Trading does not a formal environment and a good trading idea today might not be a good idea tomorrow. Hence it might be not a perfect idea to talk about 'the best'. For a few...
by list1
October 12th, 2017, 10:38 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

In the binomial model you don't care about mu: if the stock goes up or down ..your P&L of the hedged call is in both cases zero. This means that the probability of going up -and hence the value of mu- does not matter if you hedge! outrun, You right. In BS scheme distributions S up-down are given wi...
by list1
October 12th, 2017, 8:34 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

5) In the hedged portfolio we also use delta shares of the real stocks ( mu, sigma) not ( r, sigma).
by list1
October 12th, 2017, 4:46 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

Your mu is set to r for stock options! I interpret BS formula in other way.  1) the real stock eq ( mu, sigma ) does not depend on the fact whether options on this stock are traded or not, ie it holds its original sense itself. 2) the option underlying is a heuristic asset, which actually does not ...
by list1
October 12th, 2017, 3:25 pm
Forum: Student Forum
Topic: to Black Scholes pricing
Replies: 23
Views: 2429

Re: to Black Scholes pricing

In BS the cashflows are values against a constant rate you can hedge with a bond. Just like the stock's expected return is linked to that same rate. edit: money in the bank, money invested in stock, borrowed money, .. al assumed having the same rate/expected yield in B&S BS hedged portfolio values ...
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