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Apr
15
comment Calculating Asset Returns
What do you actually ask? How can daily returns be the same if the futures trade on A for 8 hours and on B for 16 ours? You can not annualized returns by the square-root - this holds for volatilities under some assumptions. What is the actual question? Can you make this more clear?
Apr
15
revised Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option?
added 18 characters in body; edited title
Apr
9
answered Correlated Random Number Generation using Sobol?
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
It is absolutely usual to call it log-return as far as I know ... it was simply necessary to say what $r_t$ could mean ... please formulate your question clearly in the future.
Apr
8
revised Why is rate of return on the stock normally distributed under GBM?
added 151 characters in body
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
Your comment gives additional input. One could say so many things ... I will add one more comment..
Apr
7
comment Why is rate of return on the stock normally distributed under GBM?
I edited the question a bit to make it clearer - I hope, I got it right.
Apr
7
revised Why is rate of return on the stock normally distributed under GBM?
added 25 characters in body
Apr
7
answered Why is rate of return on the stock normally distributed under GBM?
Apr
7
revised On an application of Ito's lemma
edited title
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
John you are strict ;) but right too. Whenever I use papers in an answer then I try to find links too ... to have a complete answer ... that's my standard, but I accepted pbr142's answer anyways as I think that it is very complete already.
Apr
7
accepted Please give a step-by-step explanation on how to build a factor model
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
Thanks for your great answer. I have to decide between yours and pbr142's. Somehow I think that the latter is slightly more complete. Thanks again!
Apr
6
comment Please give a step-by-step explanation on how to build a factor model
Very nice answer! Do you have a couple of links at hand too? For the most important papers that you refer to? This would make the answer 100% complete ... thanks for your efforts!
Apr
6
revised Please give a step-by-step explanation on how to build a factor model
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Apr
1
awarded  Nice Question
Apr
1
revised How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
added 310 characters in body
Apr
1
answered Simulating Brownian motion with jumps
Apr
1
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Do you have a link to what you are reading about DCC GARCH at the moment?
Apr
1
answered What is the relationship between arithmetic versus geometric averages and simple versus logarithmic prices?