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Feb
18
revised Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?
added 410 characters in body
Feb
18
comment Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?
Writing down the equations I start to get a feeling that for ATM there might exist a bound ...
Feb
18
revised Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?
added 7 characters in body; edited title
Feb
18
asked Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?
Feb
17
revised Stochastic process with non-independent increments
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Feb
17
answered Stochastic process with non-independent increments
Feb
16
comment Intuition behind Fama-French factors
Sorry for the -1 ... wanted to correct it to 0 which is impossible ...
Feb
16
revised Intuition behind Fama-French factors
added 2 characters in body
Feb
16
comment Intuition behind Fama-French factors
Sorry, but PCAs are independent or at least uncorrelated .. Fama-French fractors are not uncorrelated ... this is just wrong ...
Feb
15
revised Evaluation of portfolio other than Sharpe Ratio
edited body
Feb
15
comment How to simulate stock price with support and resistance level
I'm voting to close this question as off-topic because chart analysis (support and resistance) and stochastic finance don't go together well ...
Feb
12
comment Intuition behind Fama-French factors
I will read the paper, Figure 1 looks interesting indeed ..
Feb
12
revised Intuition behind Fama-French factors
added 176 characters in body
Feb
12
comment Intuition behind Fama-French factors
Right, I understand ... I don't believe in CAPM .. I wonder whether I should believe in FF ... could you please amplify a bit more as you claim that SMB does not exist anymore (I wonder whether this is "true") .. and you cite papers pre 2008 - could you reference to something more recent (with a link)? I know I ask for a lot but as factor investing became popular I wonder about the factors ...
Feb
12
asked Intuition behind Fama-French factors
Feb
12
comment What makes IRC a market risk?
I am not that into banking regulations: could you please spell out some of the acronyms ? Thanks!
Feb
12
revised How do I calculate the skewness of a portfolio of assets?
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Feb
11
answered How do I calculate the skewness of a portfolio of assets?
Feb
11
revised Portfolio with lots of subportfolios
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Feb
10
comment demonstrate that a Square-root process is Non-central Chi-squared distributed
This is the answer from the question which I marked as a dublicate ...