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revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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awarded  Commentator
2d
comment What are the properties of the Expected Shortall measure when split in multiple time periods?
Lets make it simpler. What if I assume that that $L_1, L_2\sim\mathcal{N}(\mu,\sigma^2)$ and $L\sim$ Bivariate Normal Mixture
2d
revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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Oct
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revised What are the properties of the Expected Shortall measure when split in multiple time periods?
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asked What are the properties of the Expected Shortall measure when split in multiple time periods?
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Jul
15
reviewed Approve suggested edit on Understanding the conditioning in a GARCH process
Jul
15
answered Interpretation of equation derived from the delta of a call European call option
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
That answer has nothing to do with mean square convergence of random variables. That oversimplification I believe is tangent to understanding the first equation.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
How else who u intuitively explain mean square convergence of Brownian motion increments ?
Jul
2
answered Intuition behind interest rate models
Jul
2
answered Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Jul
2
answered Platform for Quantitative equity portfolio
Jul
2
answered Solving the Jamshidian Zhu (1997) PCA short rate model
Jul
2
answered Understanding the conditioning in a GARCH process