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Apr
12
comment Can you use a t-test on bootstrapped Value at Risk (VaR) figures?
Is there any special reason why you unnaccepted my answer?
Apr
9
comment How can I create a public viewable stock market index?
+1 and a very warm welcome to Quant.SE :-)
Apr
9
comment Best written quantitative finance papers
A warm welcome to Quant.SE
Apr
9
comment building stocks screener using R and Quantmod
A warm welcome to Quant.SE. Could you tell us what you tried so far and where your concrete problems are?
Apr
9
comment Geometric Variance
+1 and a very warm welcome to Quant.SE :-)
Apr
9
comment Risk Neutrality Necessary for Dual Delta Calculation?
I concur with Bob: Please provide an example.
Apr
7
comment Why is rate of return on the stock normally distributed under GBM?
+1, perhaps you should add that the log of a log-normally distributed random variable is normally distributed, that log of a division is equal to the difference between the logs of both values and that the difference of two normally distributed random variables is again normally distributed.
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
+1: Great answer, you deserve the bounty :-)
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
@Richard: pbr142's answer is great, I upvoted it myself - he deserves the bounty!
Apr
6
comment Please give a step-by-step explanation on how to build a factor model
@Richard: I expanded my answer considerably according to your request :-) I hope that it meets your requirements now.
Apr
3
comment How to make the algo decide over a optimal selling point?
I don't understand your question but this might be because I don't use this indicator. I seems to me that when the crossover goes the other way around you sell - does this make sense? investopedia.com/articles/trading/07/adx-trend-indicator.asp
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
@Richard: Fair enough, will do.
Mar
31
comment Best written quantitative finance papers
@BobJansen: Could you make this community wiki?
Mar
25
comment Why the Black-Scholes formula can be used in the real world?
I think your answer would be even better if you made the difference between "price" and "value" more precise. Otherwise some people could be confused.
Mar
25
comment Why the Black-Scholes formula can be used in the real world?
@MattWolf: Thank you and yes, of course you are right. I added "all else being equal" to the sentence which should make it more precise. What do you think?
Mar
23
comment Why the Black-Scholes formula can be used in the real world?
Having reread my answer I still think it is unfair that it is now rated as "-1" because it addresses the point the OP asked - but I am biased of course.
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@AFK: 1 I don't like your tone, it seems inappropriate and overly aggressive. This should be a professional technical discussion and not some religious debate. 2 The OP asks a very basic question from which we might conclude that his/her background is not prepared to understand sentences like "a hedge under Risk-neutral probability works almost surely" thrown at him/her. This is what I meant by "the answer is unclear. 3 You implied that you downvoted my answer because I downvoted another answer. This is an act of revenge which is generally frowned upon here. I flagged your comment accordingly.
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@AFK: The question was why you could use risk neutral pricing for derivatives in a world that is not risk neutral. I answered that. Did you only read my first paragraph? (btw way I mention "measure" there!) Because "double counting" is vague I wrote a few paragraphs of explanation!
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
@Downvoter: Why did you downvote my answer?
Mar
22
comment Why the Black-Scholes formula can be used in the real world?
I think this answer is unclear and doesn't address the question.