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Jan
25
answered What's the name of this nearly-brownian stochastic process?
Jan
20
comment decompose correlation swap pnl
I can try, but please helpe me: do you mean implied correlation? as here in formula 3 ?
Jan
20
revised completeness of the binomial model - proof
added 1 character in body
Jan
19
answered completeness of the binomial model - proof
Jan
19
comment completeness of the binomial model - proof
Please explain your notation. What is $P*$? $\bar{S}$ is the discounted stock price? Where is a reference to the above notation? In the red part, where does the curly bracket end?
Jan
18
answered decompose correlation swap pnl
Jan
14
comment Interpretation of portfolio standard deviation
Yes,but this is trivial and your answer is a comment.
Jan
14
answered Interpretation of portfolio standard deviation
Jan
14
comment Augmented Dickey-Fuller Questions
This is a purely statistical question, you might get the best answers here: stackexchange.com
Jan
13
revised Is Value-at-Risk translation invariant?
added 26 characters in body
Jan
13
answered Is Value-at-Risk translation invariant?
Jan
13
comment Is Value-at-Risk translation invariant?
Still: how is $g()$ defined? What is it supposed to be. Is $g(x) =x^2$ ? $g$ just pops up in the last term, why?
Jan
13
comment Is Value-at-Risk translation invariant?
What is $g()$ above?
Jan
12
revised Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
added 84 characters in body
Jan
11
comment Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
I tried .. ;) just adding characters for the remark to be able to post.
Jan
11
revised Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
edited title
Jan
11
comment Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
I think this is a very good question but the title could be clearer ... could you find one?
Jan
11
answered Estimation of annualized volatility depending on data frequency - exceptions to the general rule?
Jan
9
comment What is the tail index for NIG and/or VG?
Please provide a definition of the tail index that you are interested in. In the NIG case, $\alpha$ is some kind of tail parameter.
Jan
8
comment Mean reversion in seasonal ARIMA model
Some remarks: 1) stats.stackexchange is best for pruely statistical questions, 2) what is "HL" in this context? 3) what about some formulas?This could improve the question ...