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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
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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
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Jul
8
revised Calibration of non-mean-reverting OU process
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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
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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 $E[(S_T-K)^+|F_t]$ ...
Jul
6
comment Is there a countably infinite Sigma-Algebra? Why?
As not all of the quants here are experts in measure theory I would add from a blog: "there are no σ-algebras that are infinitely countable. This means that any σ-algebra S is either finite (and is therefore just an algebra) or very 'BIG' in cardinality, in the sense that it is uncountable." taken from here: yaronhadad.com/…
Jul
6
revised Is there a countably infinite Sigma-Algebra? Why?
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Jul
6
comment Estimating correlation using EWMA
What's the use of calculation correlation using yearly data? Will the data from 2008, 2009 as yearly data points help you to understand the dynamics of 2016? 2015? The world is changing ... a yearly frequency is too low in my opinion.
Jul
3
revised Closed form solution of PDE of Option Price
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