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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


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/…
Jan
17
reviewed Approve suggested edit on What C++ math libraries are typically used by quants?
Jan
17
answered Any research paper on stop loss?
Jan
10
accepted One dimensional analog of cleansing a correlation matrix via random matrix theory
Jan
7
asked One dimensional analog of cleansing a correlation matrix via random matrix theory
Jan
6
accepted How to test for and how to simulate price rise/fall asymmetry in the stock market
Dec
26
comment How to test for and how to simulate price rise/fall asymmetry in the stock market
Thank you, Quant Guy - Implementations in R are highly appreciated!
Dec
26
comment How to test for and how to simulate price rise/fall asymmetry in the stock market
I think it is not so simple because the form of the distribution is not the same as the unfolding of the stochastic process in time.
Dec
26
asked How to test for and how to simulate price rise/fall asymmetry in the stock market
Dec
15
awarded  Civic Duty
Dec
9
comment What concepts are the most dangerous ones in quantitative finance work?
@stonybrooknick: Than what is a good substitute for correlation?
Dec
9
comment How random are financial data series?
+1: Great answer!
Dec
9
comment Innovative ways of visualizing financial data
@Beer4All: What do you mean by extending it to that topic? What has audio to do with finance?