vonjd

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location Frankfurt, Germany
age 43
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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


84 Answers

newest activity votes
5
Malliavin Calculus
21h ago
5
Applications of Fourier theory in trading
feb 26 at 14:38
5
Option pricing before Black-Scholes
feb 1 '11 at 8:52
5
What does put-call parity imply about option premiums?
sep 12 '11 at 15:28
5
What is the ideal ratio of in-sample length to out-of-sample length?
jul 22 '11 at 13:02
5
Do binary options make any sense?
may 6 '11 at 19:17
5
Do low volatility stocks outperform high volatility stocks over the long run?
mar 13 '11 at 12:13
5
Is there any theoretical basis for pattern-recognition strategies?
feb 1 '11 at 11:18
4
What are the advantages/disadvantages of these approaches to deal with volatility surface?
jan 15 at 13:55
4
What is the Sugihara Trading System?
sep 1 '11 at 6:41
4
References for developing an automated trading system?
aug 22 '11 at 16:30
4
How does one analyze diversification if stock prices follow a Cauchy distribution?
aug 3 '11 at 6:44
4
Is Conditional Value-at-Risk (CVaR) coherent?
jun 23 '11 at 20:25
4
Why is volatility mean-reverting?
may 18 '11 at 17:57
3
Best fitting probability distribution for individual equity price changes
jun 7 at 9:16
3
Predict Market Direction, What is forecastable/unforecastable?
mar 11 at 14:13
3
Tools in R for estimating time-varying copulas?
jan 17 at 21:30
3
What are the options for a mathematician to break into QF without working for a fund?
jan 29 at 11:40
3
Markowitz mean-variance optimization as “error maximization”
sep 17 at 11:09
3
Calculating log returns using R
feb 6 '12 at 11:31
3
R code for Ornstein-Uhlenbeck process
nov 19 at 17:15
3
Tests that any system must pass to be taken seriously
apr 12 '12 at 8:04
3
What should be considered when selecting a windowing function when smoothing a time series?
oct 6 '11 at 17:04
3
Why hold options when you can dynamically replicate their payoff?
sep 7 '11 at 14:23
3
Should the average investor hold commodities as part of a broadly diversified portfolio?
aug 29 '11 at 7:59
3
Statistical properties of stochastic processes for moving average trading to work
aug 22 '11 at 7:51
3
What are the best sources for equity quantitative research?
aug 10 '11 at 14:39
3
How we can forecast stock prices using chaos theory?
jul 20 '11 at 9:42
3
Monte carlo methods for vanilla european options and Ito's lemma.
jun 17 '11 at 7:00
3
Is it possible to use a series of option prices to predict the most likely path of an asset?
feb 8 '11 at 13:45
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