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Feb
19
comment VIX-implied Volatility calculator
I added some more details in the answer.
Feb
19
revised VIX-implied Volatility calculator
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Feb
19
answered VIX-implied Volatility calculator
Feb
16
reviewed Close Discounting factor depends on
Feb
11
comment Is Geometric Brownian Model suitable for long term price forecast?
In how far does GBM help you in forecasting? As a stochastic model - yes. As a forecast: no.
Feb
10
comment Why do we usually model returns and not prices?
And @emcor. In case you ever heard of white noise and random walks it might be natural to consider returns, maybe aggregate them for longer perios and if needed multiply them by some initial price.
Feb
10
comment Why do we usually model returns and not prices?
Dear @emcor. You are right about this not very insightful comment. Of course if one reads Meucci's work one sees what is meant. So I edited the questions. Thanks for your valuable input.
Feb
10
revised Why do we usually model returns and not prices?
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Feb
10
revised Why do we usually model returns and not prices?
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Feb
10
answered Why do we usually model returns and not prices?
Feb
9
revised Getting Parameter of Translated Gamma Distribution from Monte Carlo
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Feb
9
answered Getting Parameter of Translated Gamma Distribution from Monte Carlo
Feb
9
comment Get distribution for aggregate loss using Monte Carlo
You try to fit this $x_0$ by the method of moments (as I have seen in the other question). Maybe this estimte has too much variance. Try maximum-likeliohood instead. It should work too.
Feb
9
answered Compute moments of aggregate loss using Monte Carlo
Feb
9
comment Get distribution for aggregate loss using Monte Carlo
Yes you can average $L^3$ from the sample or you look here on page 8 for the formla of the skewness in the collective risk model. If you like my answer then don't forger to accept ;)
Feb
6
comment Black-Litterman: Why should the views be independent of each other?
Thanks for your nice examples-I really like the ideas behind them. I just still wonder why B and L themselves use diagonal in the papers. Usually whenever possible one works as general as it makes sense. Non-diagonal absolutely makes sense...
Feb
6
comment Get distribution for aggregate loss using Monte Carlo
See the EDIT and the link for the moment and the Gamma distribution.
Feb
6
revised Get distribution for aggregate loss using Monte Carlo
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Feb
6
answered Get distribution for aggregate loss using Monte Carlo
Jan
28
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