236 reputation
15
bio website gandrusz.blogspot.com
location London, United Kingdom
age 34
visits member for 2 years, 11 months
seen Jan 22 at 11:48

PhD Student in financial mathematics


Jan
12
accepted What is the clean price and dirty price of a risky bond?
Jan
8
comment What is the clean price and dirty price of a risky bond?
Could you elaborate a bit? I am not sure if/how/when I should incorporate the risk factor in the calculations.
Jan
8
accepted Simulating property price index
Jan
8
accepted Simulating conditional expectations
Jan
8
asked What is the clean price and dirty price of a risky bond?
Jan
4
accepted Yield of a risky bond
Jan
4
awarded  Yearling
Jan
4
asked Yield of a risky bond
Aug
28
awarded  Scholar
Aug
28
accepted Equivalent (true) Martingale Measures and no-arbitrage conditions
Aug
17
asked Stochastic discount factor (aka deflator or pricing kernel) and class D processes
Aug
17
asked Equivalent (true) Martingale Measures and no-arbitrage conditions
Dec
30
comment Simulating property price index
Could you point me to the actual paper? I found this: econ-www.mit.edu/files/2390, but it is about the return on properties rather than their actual prices.
Dec
30
awarded  Supporter
Dec
21
comment Simulating conditional expectations
Hi, I added some pseudo-code to the question, hopefully this will clarify things.
Dec
21
revised Simulating conditional expectations
added some code
Dec
21
awarded  Editor
Dec
21
comment Simulating conditional expectations
Hi, I think I wasn't clear enough with the question - see edit.
Dec
21
revised Simulating conditional expectations
added 621 characters in body
Dec
20
asked Simulating conditional expectations