8,212 reputation
2367
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 2 months
seen 1 hour 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


Feb
26
revised What return equation is Engle referring to in his Nobel lecture?
edited title
Feb
25
awarded  Nice Question
Feb
16
revised Is it possible to understand financial theory without mathematics?
added 901 characters in body
Feb
16
comment Model Validation Criteria
Apart from your point that all seems to be relative could you give some criteria that you think would be helpful in the context of quantitative trading (let's stick with the buy side for the sake of simplicity).
Feb
14
comment Is it wrong to use 'real world' probabilities for option valuation?
I agree: It is one of the dirty little secrets of the financial industry that in the end supply and demand again matter also for derivatives. +1
Feb
14
comment Model Validation Criteria
I especially like 4) and 5): +1
Feb
13
answered Model Validation Criteria
Feb
13
comment Is it wrong to use 'real world' probabilities for option valuation?
@Downvoter: It is good practice here to give a reason for the downvote - Thank you!
Feb
13
comment Is it wrong to use 'real world' probabilities for option valuation?
@BobJansen: Thank you!
Feb
13
comment Is it wrong to use 'real world' probabilities for option valuation?
I think this ansatz does not clarify the issue. Have a look at p. 20 of the paper: "Using real-world probabilities, here does exist a single discount rate that discounts the FVs to give the correct present value, but it is a peculiar nonlinear weighted average of the path-dependent discount rates and is without direct and simple economic interpretation." So you'll get the same price either way (i.e. using risk-neutral probabilities or this strange mixture model) whereas when you cannot hedge and use real-world probabilities you will get a different price.
Feb
13
comment Is it wrong to use 'real world' probabilities for option valuation?
The link does not work.
Feb
13
answered Is it wrong to use 'real world' probabilities for option valuation?
Feb
12
comment Is it possible to understand financial theory without mathematics?
@Anna: I haven't seen you before here, so a very warm welcome to you! What is your background? I see that you are located in Frankfurt. I am a professor in Aschaffenburg, near Frankfurt. If you would like to expand your quant network you can drop me a line here: h-ab.de/nc/eng/…
Feb
12
answered Is it possible to understand financial theory without mathematics?
Feb
1
answered probablity expiring in the money ..basic question
Jan
31
awarded  Yearling
Jan
31
reviewed Approve suggested edit on time-series tag wiki excerpt
Jan
27
reviewed Approve suggested edit on Local Volatility vs. Stochastic Volatility
Jan
27
revised How to remove outliers in financial times series?
added 280 characters in body
Jan
26
comment How to remove outliers in financial times series?
@user2763361 I totally concur, see my answer below.