Serving the Quantitative Finance Community

Search found 16 matches

  • 1
  • 2
by Cassius2
February 27th, 2010, 10:44 pm
Forum: Student Forum
Topic: Long Gamma Portfolio - Does a small move in the underlying make you lose money?
Replies: 3
Views: 32188

Long Gamma Portfolio - Does a small move in the underlying make you lose money?

Sure. As time passes by the optionality loses its value. I wasn't thinking that theta was negative. Thx.
by Cassius2
February 17th, 2010, 7:48 pm
Forum: Student Forum
Topic: Long Gamma Portfolio - Does a small move in the underlying make you lose money?
Replies: 3
Views: 32188

Long Gamma Portfolio - Does a small move in the underlying make you lose money?

<t>Hi,In Paul Wilmott's intro to quant finance, I read that if you delta hedge an option but maintain a positive Gamma, then you will make money on large moves in the underlying but you will lose money on small moves.I understand that once your portfolio Pi is delta hedged, then it grows at the risk...
by Cassius2
February 17th, 2010, 7:04 pm
Forum: Student Forum
Topic: Filtration and sigma algebra
Replies: 25
Views: 40221

Filtration and sigma algebra

QuoteOriginally posted by: silenozShreve explains the ideas quite nice in his book "Stochastic calculus for finance II".I'm a student in financial math as well and this book is brillant. It's good mix of intuition and technical details.
by Cassius2
November 14th, 2009, 3:34 pm
Forum: Numerical Methods Forum
Topic: Combining two geometric brownian motion
Replies: 12
Views: 52106

Combining two geometric brownian motion

Indeed, it works now!Thanks for your help, asking imaginary dollars for my option would have probably not been in my best interest!Your website is very nice by the way.
by Cassius2
November 14th, 2009, 11:54 am
Forum: Numerical Methods Forum
Topic: Combining two geometric brownian motion
Replies: 12
Views: 52106

Combining two geometric brownian motion

<t>Hi,I was trying to model a two assets portfolio as well but I get complex numbers for the white noise of my second, correlated asset.Any idea where this could come from?I generate my white noise epsilon_1 from a normal dist.Then, I use Cholesky decomposition to come up with my second white noise ...
by Cassius2
May 19th, 2009, 8:40 pm
Forum: Student Forum
Topic: Risk Management certifications
Replies: 2
Views: 39226

Risk Management certifications

<t>Hi all,I was wondering if practitioners could give me their opinion on Financial Risk Managers certification Vs Professional Risk Management certification.Which one is the most reputable designation?Is there any difference in the material covered?Could anybody who took one of the certifications s...
by Cassius2
October 19th, 2007, 2:58 pm
Forum: Technical Forum
Topic: VBA script of pseudoinverse (or Moore Penrose) matrix using VBA
Replies: 4
Views: 67817

VBA script of pseudoinverse (or Moore Penrose) matrix using VBA

It will be very useful to test my results but I would need the script to be able to code the pseudoinverse in another language.If ever you know the other language, it was made for the software called trading blox...Clovis
by Cassius2
October 12th, 2007, 7:19 pm
Forum: Technical Forum
Topic: VBA script of pseudoinverse (or Moore Penrose) matrix using VBA
Replies: 4
Views: 67817

VBA script of pseudoinverse (or Moore Penrose) matrix using VBA

Hi all,I've been looking for days now for a pseudoinverse script using VBA.Anybody knows where I could find that?
by Cassius2
August 9th, 2007, 11:20 am
Forum: Student Forum
Topic: variance ratio using the computer package R
Replies: 0
Views: 67097

variance ratio using the computer package R

<t>Hi all,Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)...
by Cassius2
August 9th, 2007, 11:20 am
Forum: Student Forum
Topic: variance ratio using the computer package R
Replies: 0
Views: 67071

variance ratio using the computer package R

<t>Hi all,Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)...
by Cassius2
August 7th, 2007, 8:15 pm
Forum: Trading Forum
Topic: Lo and MacKinlay Variance Ratio test
Replies: 5
Views: 77103

Lo and MacKinlay Variance Ratio test

<t>Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)?Is it ...
by Cassius2
July 27th, 2007, 4:45 pm
Forum: Trading Forum
Topic: Lo and MacKinlay Variance Ratio test
Replies: 5
Views: 77103

Lo and MacKinlay Variance Ratio test

<t>Yes this was my question. What were you assuming for your time series: homoskedastic and no autocorrelation.heteroskedastic and no autocorrelation.I have read that this was changing the variance ratio calculation to be used and I am wondering which assumption would be more realistic for commoditi...
by Cassius2
July 25th, 2007, 12:40 pm
Forum: Trading Forum
Topic: Lo and MacKinlay Variance Ratio test
Replies: 5
Views: 77103

Lo and MacKinlay Variance Ratio test

<r>Hi,I am trying to test the price process of commodities for a trending behaviour. Using a variance ratio test, can I interpret that a significantly higher than one variance ratio indicates a trend?<B>[b/]</B>I have read in A non random walk down Wall Street (1999) by Lo that under heteroskedascti...
by Cassius2
July 24th, 2007, 4:12 pm
Forum: General Forum
Topic: Variance Ratio Tests - help / mean reversion
Replies: 27
Views: 196331

Variance Ratio Tests - help / mean reversion

<t>QuoteOriginally posted by: adannenbergThe variance ratio that was talked about by Lo et al and is used to detect serial autocorrelation is computed differently. It is only meaningful, really, in a finite difference context. It says, for example, let me construct the distributions of the non-overl...
by Cassius2
June 16th, 2007, 11:08 pm
Forum: Student Forum
Topic: Basics of future
Replies: 5
Views: 71010

Basics of future

<t>I have already got the job but I have a trial week before they keep me.I was told that their development platform is Trading Blox but they use WealthLab for their production system.Firstly, I am not sure about the difference between a development platform and a production system.Secondly, their i...
  • 1
  • 2