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Jun
1
revised Why is the variance of a portfolio a quadratic form?
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Jun
1
comment How to infer correlation?
@SRKX which method have you tried and which one worked best?
Jun
1
revised Math background required to understand geometric brownian motion
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May
29
comment Pricing Treasury futures
Ok, now I understand what you mean ...your question and your thoughts are mathematically rigorous. I just wonder how this is done in practice? They don't solve fixed point problems. I guess they just trade futures $F$ and if this $F$ deviates too much from its fair values (given by the forward of the CTD) then it is corrected (due to arbitrage reasons).
May
29
comment Pricing Treasury futures
But the conversion factor is deterministic. The expectation is w.r.t the martingale measure. Then $E[B_i]$ is the futures price of the bond. Then the whole story is: choose conversion factors to make the basket comaprable, find the cheapest to deliver (ctd) out of that basket, if you have it calculate the usual futures/forward price. But still in order to find the ctd we need the future price ...
May
29
comment Math background required to understand geometric brownian motion
Multivariable caculus will not suffice to understand a stochastic process. PDEs are an overkill for intuitive understanding in my mind.
May
29
answered Math background required to understand geometric brownian motion
May
28
comment Pricing Treasury futures
Thanks for this question! I have been confused by this fact already for a while. I also think that then the Treasury futures should be some kind of simple forward (with future margin calculation) with the bond as underlying. This would be an alternative formulation of your (2).
May
26
awarded  Popular Question
May
26
comment R package for portfolio
Really very clever! In short $y_i = |w_i|$ -> right?
May
22
answered Portfolio volatility
May
22
comment Need for Binomial Representation Theorem
Please write the question title without abreviations. Furthermore. I wonder if the question is clear to someone who does not know the book. I would like to help you if you could reformulate the question a bit. But maybe someone else can anyways.
May
21
comment R package for portfolio
You could have a closer look at fPortfolio but I don't know whether everything that they promised really works.
May
21
revised R package for portfolio
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May
21
comment R package for portfolio
I edited and took into account the comment of John about the package nloptr.
May
21
revised R package for portfolio
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May
20
answered R package for portfolio
May
18
revised For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?
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May
18
revised Why does the short rate in the Hull White model follow a normal distribution?
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May
18
comment Fractional Brownian motion
Why should $s$ be negative?