Richard
Reputation
4,331
27/100 score
 Jan19 revised How to price an European call on zero-coupon from the yield curve? added 5 characters in body Jan19 revised Parametric/Analytical VaR added 7 characters in body Jan19 answered Parametric/Analytical VaR Jan19 revised Parametric/Analytical VaR added 2 characters in body Jan19 comment Finding Expression for Optimal Markowitz Weights Would you like to accept one of the answers? Jan19 comment Finding Expression for Optimal Markowitz Weights Could you show us the derivation of this result? Thanks! Jan19 revised Finding Expression for Optimal Markowitz Weights edited tags Jan16 answered Factor immunization for bond portfolio Jan16 comment Why is Weighted Least Squares necessary in fundamental factor model? Could you give an example where "the loadings are known" and the factors not? I can imagine what you mean but is this a rigorous statement? Jan15 answered Comparing Portfolio Volatility with Index Volatility seems a wrong method? Jan14 asked Fixed Income risk attribution in the historical simulation of a sovereign bond portfolio Jan14 revised Question about the stochastic differential equation in the Merton model edited title Jan13 comment Why Markov Functional Models (Hunt 2000) are not yet so popular? Would you like to post the full title of the reference or even tex some formula as an a example? This would be helpful to me. Jan9 answered Research methodology of systematic strategies Jan7 answered CIR model: is the short rate really non-central $\chi^2$ distributed? Jan7 comment CIR model: is the short rate really non-central $\chi^2$ distributed? With $s\ge t$ are you suee that the parameters are as you describe? With $s\ge t$ I would expect the whole thing to be conditional on $r_t$ and thus having $r_t$ in the parameters. Jan6 awarded Revival Jan5 comment Why can't I multiply two SDE Solutions? Of course they can be multiplied! One just has to take care for all probabilistic aspects but $S=S_1* S_2$ always holds. one just has to carfully analyse the distribution of $S$ and/or its SDE. Jan5 comment Why can't I multiply two SDE Solutions? You say that the drift term is incorrect - what is your result of the term. It is unclear what you are asking. Please use latex and ask a clear question. Of course it is is the same whether you multiply 2 solutions or you write down a correct (!) SDE for the product and solve it afterwards. Jan5 revised Why can't I multiply two SDE Solutions? added 8 characters in body; edited title