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Nov
5
asked Application of time series analysis to Bitcoin prices
Nov
5
comment VaR interpretation for positive returns
The interpretation of VaR for losses is: only in x% of the cases you lose more than VaR. The interpretation of a "VaR" for profit is: only in x% of the cases you win more than this.
Nov
5
answered VaR interpretation for positive returns
Nov
5
revised Calculating portfolio risk
added 314 characters in body
Nov
5
revised Calculating portfolio risk
added 347 characters in body
Nov
5
answered Calculating portfolio risk
Nov
5
comment Calculating portfolio risk
This is very correct. The weighting is only true for simple returns!
Nov
5
answered How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?
Nov
4
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
Oh - yes, then it looks correct to me. Clever trick to connect $r_t$ and $\ln r_t$ ... I already +1'd you ;)
Nov
4
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
but $\frac{d}{dx} exp(f(x)) = f'(x) * exp(f(x)) $ in our case where $f(x) = ln(x)$ we have $\frac{1}{x} exp( ln(x))$ which is $1$ and the second derivative is $0$ thus you get $dr_t = dr_t$ which is true but does not bring us anywhere.
Nov
4
comment Cheat/sheet summary of financial laws and regulations
@MatthewLock I would agree, I just don't know how this can be done.
Nov
3
revised Cheat/sheet summary of financial laws and regulations
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Nov
3
comment Cheat/sheet summary of financial laws and regulations
Thanks for the list and I realize that I ask too much but do you have links to summaries of these regulations too? Then it would be a great collection. Thanks!
Nov
3
asked Cheat/sheet summary of financial laws and regulations
Nov
3
reviewed Approve How to price touch options using quantlib?
Oct
30
comment How to compute the stochastic integral of log-normal process?
Yes - it is clear now, thanks
Oct
29
comment How to perform portfolio optimization with user-defined expected return and variances using R?
I edited my answer. Apparently you can enter the covariance but not the expected values.
Oct
29
comment How to compute the stochastic integral of log-normal process?
There is Ito's symmetry about the variance ... but what do you mean be it does not matter which one to consider?
Oct
29
revised How to perform portfolio optimization with user-defined expected return and variances using R?
added 449 characters in body
Oct
29
comment Define polynomials of an ARMA process
But what about the right hand side? at least the factor will influence the variance of the white noise process and you could call it another WN $\tilde{Z}$ with variance $1/16 \sigma^2$ where $\sigma^2$ is the original variance.