139 reputation
317
bio website
location Singapore
age 37
visits member for 2 years, 5 months
seen 2 days ago

C'est par la logique qu'on démontre, c'est par l'intuition qu'on invente.


2d
accepted Is stock price priced in the uncertainty?
Aug
14
comment Black-Scholes Equation - Riskless portfolio derivation
it's the same...
Aug
14
comment Black-Scholes Equation - Riskless portfolio derivation
quant.stackexchange.com/questions/12788/…
Aug
14
comment Starting mathematics reading for quants
@madilyn ah got it. Hi to Mike :)
Aug
13
comment Starting mathematics reading for quants
Mike? @1234 -- your acquaintance?
Aug
13
accepted question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
Aug
13
comment question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
notess for Q1 and Cholesky decomposition: math.stackexchange.com/questions/163470/…
Aug
13
comment question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
Thanks for Q2! I thought I understand Girsanov but not. It actually says, in $Q$, $W_t$ Brownian, $X_t$ adapted, $Y_t$ martingale, define $Z_t := \mathcal E (X_t)$, $\tilde Q: d \tilde P / dP = Z_t$, then $\tilde Y_t = Y_t - [Y,X]_t$ is martingale. Normally we use $X_t = \int_0^t u(s) ds$ and $Y_t = W_t$ but that's not necessary. Here we can use $Y_t = Z_t$ the other Brownian motion independent to $W_t$.
Aug
13
revised question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
deleted 1 character in body
Aug
12
comment How popular is the Linear Gauss Markov (LGM) model?
Since it's from Hagan, I suppose one is Bloomberg :p
Aug
12
comment How popular is the Linear Gauss Markov (LGM) model?
I haven't read that yet ... But sounds Andersen thinks the merits of LGM is parameterization? Would you pls say a bit more on that?
Aug
12
accepted How popular is the Linear Gauss Markov (LGM) model?
Aug
11
comment what is General IB2 Restriction in Basel II credit risk model
thanks for the comments, if Islamic Banking is IB, then what does IB2 mean?
Aug
10
comment question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
@emcor yes, it's the quadratic variation
Aug
7
asked question on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”
Aug
6
comment Starting mathematics reading for quants
how about credit trading?
Jul
31
accepted Brownian Bridge's first passage time distribution
Jul
28
comment Brownian Bridge's first passage time distribution
It's just a Brownian motion with boundary condition that $Y(T)=b$
Jul
27
asked Brownian Bridge's first passage time distribution
Jul
25
comment Is an economy where money yields interest able to be sustainable and healthy? If yes, how?
this question i guess is more on macroeconomics than microeconomics. Actually the m* names are misleading. I prefer the old name for microeconomics - price theory. this forum, for quants, are more on pricing part, other than the "macro" side. macroeconomics is actually quite complex, for example, there's one interesting topic related to your question, and i never really understand it -- en.wikipedia.org/wiki/Capitol_Hill_Babysitting_Co-op and the comments web.mit.edu/krugman/www/MINIMAC.html