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wiki created stochastic-control description
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wiki created stochastic-control excerpt
Jun
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revised Application of Control Theory in Quantitative Finance
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May
31
comment Calibration Merton Jump-Diffusion
Generically, you can fit any model numerically. No need a closed form. Usually when a model is widely used, there are known good practices. And in this case I do not know them. In your case (in dimension one), it seems tractable numerically.
May
31
comment Calibration Merton Jump-Diffusion
Ok, it means you try to fit a Leland-like model, adding a jump component. And the jump part prevent you from having closed form results. Why not considering numerical solutions?
May
31
answered bootstrap asset allocation
May
31
comment Calibration Merton Jump-Diffusion
Just to be sure I understand your question: what is V?
May
31
comment Calibration Merton Jump-Diffusion
Could you please develop the last part of your question: "The problem of course is there doesn't exist an analytical formula for the survival probability function". It will help people to answer, and may be yourself to better understand your problem.
May
31
reviewed No Action Needed Calibration Merton Jump-Diffusion
May
22
reviewed Looks OK Zero coupon bonds
May
22
reviewed No Action Needed Derivation of HJB equation
May
21
reviewed No Action Needed How does Yahoo finance calculate Beta?
May
21
reviewed No Action Needed Can the J language be used as an effective alternative to Q/Kdb+?
May
21
reviewed No Action Needed Calculating VaR with Monte Carlo simulation
May
20
reviewed No Action Needed Technical Analysis - OBV indicator calculation in R
May
20
reviewed No Action Needed Leverage on ETF the same effect as on portfolio?
May
19
reviewed No Action Needed Order Book vs Wallet Updates
May
19
reviewed No Action Needed How to fully replicate ADX + DI Indicators in Excel?
May
19
reviewed No Action Needed Show that the equation solves the Black-Scholes PDE
May
19
reviewed No Action Needed Negative time value european options