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2367
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 2 months
seen 6 hours ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


Apr
4
accepted Constructing an approximation of the S&P 500 volatility smile with publicly available data
Apr
2
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
@onlyvix: Exactly!
Apr
1
answered What are some research articles on using principle components to generate alpha?
Mar
30
comment Constructing an approximation of the S&P 500 volatility smile with publicly available data
Thank you Brian, where do you get these historic closing option prices?
Mar
30
asked Constructing an approximation of the S&P 500 volatility smile with publicly available data
Mar
6
awarded  Popular Question
Feb
20
awarded  Popular Question
Feb
8
awarded  Nice Question
Feb
6
awarded  Nice Answer
Feb
6
answered Calculating log returns using R
Jan
31
awarded  Yearling
Jan
27
accepted Demonstration of Ito's correction term/lemma in binomial tree
Jan
25
comment How does the “risk-neutral pricing framework” work?
@chrisaycock: I think the form in which the article is now is fine. When links to other resources are ok links to your own resources are ok too (provided they add some value which seems to be the case here). If you don't agree perhaps we should raise this on meta, what do you think?
Jan
25
comment Demonstration of Ito's correction term/lemma in binomial tree
But the more you get to the limiting case of your binomial tree (which is the continuous case) it must show up somewhere - as it shows up in the simulation in the paper the more randomness you include in your process (increasing $\sigma$). It shows up in the sense that it is different compared to the non-random case and in the choice of the endpoint (left=Ito) of the intervals.
Jan
25
revised Demonstration of Ito's correction term/lemma in binomial tree
edited body
Jan
25
comment Demonstration of Ito's correction term/lemma in binomial tree
Thank you. Yet I don't think this is the full truth. You can at least pinpoint analog effects in numerical simulations (which are per definition discrete). Have e.g. a look here: people.maths.ox.ac.uk/richardsonm/SDEs.pdf p. 6-7 and 21. I adapted the code to R, but I don't know how to transfer this onto binomial models.
Jan
25
asked Demonstration of Ito's correction term/lemma in binomial tree
Jan
25
comment How does the “risk-neutral pricing framework” work?
I think this might just be a bad link - the right one might be this one? fermatslastspreadsheet.wordpress.com/2012/01/24/…
Jan
25
awarded  Popular Question
Jan
18
comment Do markets typically fall fast, and rise slowly
See also this question and answers there: quant.stackexchange.com/questions/2652/…