vonjd

less info
meta site favicon meta user | stack exchange network profile network profile
6,309 reputation
1658
bio website
location Frankfurt, Germany
age 43
visits member for 2 years, 3 months
seen 5 hours ago
stats profile views 440

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


78 Answers

newest activity votes
1
What's the first time-integral of price called?
1
How to test the efficiency of Exponential Moving Averages as a trading startegy?
2
How to implement Maximum Diversification in R?
2
Time Varying Volatility
7
How to simulate correlated Geometric brownian motion for n assets?
2
In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
1
How do you know if if an option is priced correctly?
10
Paradoxes in quantitative finance
10
Black-Scholes and Fundamentals
0
Endogeniety of Black-Scholes
3
Predict Market Direction, What is forecastable/unforecastable?
2
Volatility pumping in practice
5
Applications of Fourier theory in trading
3
Tools in R for estimating time-varying copulas?
7
How to detect structural breaks in variance?
3
What are the options for a mathematician to break into QF without working for a fund?
0
How can I quantitatively test the validity of momentum indicators?
6
The Basis of Using Technical Indicators as Inputs
4
What are the advantages/disadvantages of these approaches to deal with volatility surface?
16
How do we use option price models (like Black-Scholes Model) to make money in practice?
1
What is the canonical reference for Minimum Variance Portfolio's uniqueness?
6
Video lectures and presentations on quantitative finance
7
Hidden Markov Model & Its Application
3
Markowitz mean-variance optimization as “error maximization”
2
Most natural generalization of covariance/correlation to model dependence of extreme events
5
Option pricing before Black-Scholes
3
Calculating log returns using R
3
R code for Ornstein-Uhlenbeck process
2
Code for Evidence Based Technical Analysis
1
Why should there be an equity risk premium?
1 2 3