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Jun
15
comment Monthly Return Net of Fees
$20\%$ fee? annual? Guess you mean $20\%$ of profits above a high water mark?
Jun
15
comment Monthly Return Net of Fees
This is either very basic or unclear. What fee? The return of what?
Jun
11
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
To the comment witth $D$ -> yes .. then your expected return is the risk free rate. For the expected value you should use the theoretical one because the sample estimate bears the sampling error. Concerning the compensator: it addresses the jumps .. for the Brownian motion part (if it is there) you simply set the drift to zero ...Fourier is the thing to do if you want to price an option.
Jun
10
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
I edited the question. for the risk neutral pricing you need to find the compensator of the Levy process.
Jun
10
revised Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
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Jun
10
revised Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
added 700 characters in body
Jun
10
answered Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
Jun
9
answered Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
Jun
9
comment Cointegration Test: Residual is stationary but not random?
Hi Jack, I applied some tex to the question. But to the content: why do you say that your residual is not random? Is it deterministic? If not then it is random. Or do you mean that it looks a bit periodic? The notion of stationarity is interesting in the context of random processes only. So how can it be stationary but not random?
Jun
9
revised Cointegration Test: Residual is stationary but not random?
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Jun
9
revised How do I calculate the PPP adjusted exchange rate between two countries?
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Jun
9
comment How do I calculate the PPP adjusted exchange rate between two countries?
Which page? which formula? can you write it into the answer?
Jun
8
comment Analyst vs firm claims on beta and return
This is just an exam question. In the first part you are asked to calculate the beta. And in ii) you are asked to calculate alpha. Everything else is just a story.
Jun
8
comment EGARCH formulation
Could you post a link to a reference?
Jun
8
answered Measure difference between estimations and historic returns
Jun
8
comment Return volatility or Price Volatility
looks like a duplicate ... quite basic anyways.
Jun
8
answered EGARCH formulation
Jun
8
comment EGARCH formulation
You need a $\log$ on the lhs of the equation.
Jun
8
comment EGARCH formulation
Good point, I will answer
Jun
8
comment EGARCH formulation
If you use latex then it works better if you add the $$ signs ;)