550 reputation
314
bio website
location Frankfurt
age
visits member for 2 years, 2 months
seen Apr 10 at 19:53

Jan
30
awarded  Yearling
Jan
27
comment How are the Hamilton–Jacobi–Bellman equations used to solve optimal control problems?
Bjoerk - Arbitrage Theory in Continuous Time describes this extensively in Chapter 19.
Oct
1
awarded  Custodian
Oct
1
reviewed No Action Needed Exercising an American call option early
Sep
25
comment Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?
I see no reason you shouldn't be able to apply it to any market, provided you have the data. However it is up to you to test your results; we do not provide help for developing trading strategies.
Sep
23
reviewed Reviewed Why is the Put-Call Symmetry model dependent?
Sep
22
comment Is there a contradiciton between option prices being martingales and the use of options for speculation?
possible duplicate of How does the "risk-neutral pricing framework" work?
Sep
22
reviewed No Action Needed Robust Returns-Based Style Analysis
Sep
22
reviewed Reviewed Backtesting - can you buy/sell at open and closing prices?
Sep
22
revised Backtesting - can you buy/sell at open and closing prices?
Improved formatting (escaped dollar strings)
Sep
18
answered Definition of “tenor” argument in QuantLib's Schedule class object
Sep
18
reviewed No Action Needed Are there any other standard rates term structure decomposition than PCA?
Sep
10
awarded  Custodian
Sep
10
reviewed No Action Needed Trade matching versus affirmation
Sep
10
reviewed Satisfactory Why is the mean time-dependent in the Hull-White interest rate model?
Sep
9
reviewed Satisfactory What is the significance of Relative Risk Aversion
Sep
9
reviewed Excellent How to most optimally perform currency conversions when backtesting on portfolio level?
Sep
9
reviewed Excellent Cointegrating relationships - Johansen in R
Sep
9
reviewed Satisfactory Typical risk aversion parameter value for mean-variance optimization?
Sep
9
reviewed Needs Improvement Regression of Unequally Weighted Portfolio against a Single Index