9,090 reputation
12879
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 10 months
seen 11 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


Jul
7
comment Non-linear Dynamical Systems and Quantitave Finance
@rwolst: Ok, then you should modify your question accordingly because it wasn't clear what exactly you were looking for. I will see what I can do for you to give you more references.
Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
answered Non-linear Dynamical Systems and Quantitave Finance
Jul
3
comment Does Implied Volatility always exist?
These are two completely separate questions - I suggest you form two separate questions out of it!
Jul
3
comment Johansen-Ledoit-Sornette Model
I get an error that the max. number of iterations was exceeded?!?
Jul
2
comment Mysterious disappearance of options from historical datasets
@Downvoters and closevoters: Please give a reason and/or some ideas how to improve the question - thank you!
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Well, my addendum connects my discrete intuition with the continuous case. Because you don't agree with my discrete intuition but have no alternative one I still cannot see how your answer relates to the question. Some clarification would be great. Thank you.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
In any case you should expand your answer because as it stands it is unclear how it relates to the question (at least to me).
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@LazyCat: Thank you, please see my addendum.
Jul
2
revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
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Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@LazyCat: Sorry to disagree: The OP asks for some understanding why $[dz(t)]^2$ converges to $dt$, i.e. why a stochastic process, which is a martingale, gives a deterministic function which rises with time when you square it - this is exactly what I address on an intuitive level.
Jul
2
awarded  Inquisitive
Jul
2
awarded  Curious
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@user2142: Sorry to disagree: The OP asks for some understanding why $[dz(t)]^2$ converges to $dt$, i.e. a stochastic process, which is a martingale, gives a deterministic function which rises with time when you square it - this is exactly what I address on an intuitive level.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@user2142: Fair question, see my answer :-)
Jul
2
revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
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Jul
2
answered Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Jul
1
comment Regime-Switching Model for detecting market shifts
If my answer did help you it is good practice here to upvote and accept it - thank you :-)