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visits member for 2 years, 11 months
seen Apr 17 at 13:48

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Sep
14
comment What is the connection between default probabilities calculated using the credit rating and the price of a CDS?
Do you think this would be helpful? link and this should be cool as well link.(don't take it as an advertising, but it's widely used)
Sep
13
comment Is the stock price process a martingale or a Markov process?
ok, it's far from doubtless, but it looks fair.
Sep
12
comment Is the stock price process a martingale or a Markov process?
great to see that, but are there statistical tests of significance where you could see by how much is this close to being real?
Sep
12
comment Is the stock price process a martingale or a Markov process?
"In other words, that knowledge of all past prices is not informative regarding future prices" <=> past prices don't influence future... just price now == Markov property?.... ?!?...
Sep
7
comment Why hold options when you can dynamically replicate their payoff?
Great answers, guys! Not much difference between you and the mainstream textbooks. This was just an obvious question that one may get after going through the proof and expecting some surprise. Anyway, you're right.
Sep
7
comment Why hold options when you can dynamically replicate their payoff?
In Black Scholes equations, dynamic hedging will cancel out the dZ factor. The portfolio value becomes dependant just on dt. I'm talking exactly about "coutinous time Dynamic Hedging" equations.