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Jul
20
revised Negative adjusted strike in Levy's Asian option approximation?
edited title
Jul
20
comment Fit linear model to higher moments of CAPM
It is what I have started to write above: use the definitions.
Jul
20
comment Fit linear model to higher moments of CAPM
The coefficients are all calculated the usual way. The regressors are defined as you do ... just your formulas are not correct for an OLS regression.
Jul
20
revised Fit linear model to higher moments of CAPM
added 843 characters in body
Jul
20
comment Fit linear model to higher moments of CAPM
No, the coefficient is caclulated in the usual way. I will edit my answer.
Jul
20
answered Fit linear model to higher moments of CAPM
Jul
20
comment Computation of Expectation
Where does the condition $\beta< 1/T$ come from?
Jul
17
answered Intuitive Explanation for Volatility Smile for Equity
Jul
9
comment Solving the Bootstrapping equation when matrix is non-square
This is very similar to the Moore-Penrose pseudoinverse.
Jul
8
comment Calibration of non-mean-reverting OU process
I have edited the answer. Try it with simulated data.
Jul
8
revised Calibration of non-mean-reverting OU process
added 735 characters in body
Jul
8
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
No, no reference ... sorry
Jul
8
revised Calibration of non-mean-reverting OU process
deleted 978 characters in body
Jul
8
revised Calibration of non-mean-reverting OU process
added 726 characters in body
Jul
8
answered Calibration of non-mean-reverting OU process
Jul
7
comment Getting ETF data from google finance
This is pretty much what I was looking for. I just found the google finance page quite unsatisfactory in this regard ...
Jul
7
accepted Getting ETF data from google finance
Jul
7
revised Getting ETF data from google finance
added 169 characters in body
Jul
7
asked Getting ETF data from google finance
Jul
6
comment Beta between stock and option
I assume that you don't want to calculate the covariance of $(S_T-K)^+$ with $S_t$ but rather of $E[(S_T-K)^+|F_t]$ ...