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May
4
answered Why is the variance of a portfolio a quadratic form?
May
4
revised Why is the variance of a portfolio a quadratic form?
added 4 characters in body
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
looking at maxddStats it looks as if they use simple MC ...
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
Very complete answer, thank you
Apr
30
accepted Expectation of maximum draw down in the Brownian motion case
Apr
30
revised Expectation of maximum draw down in the Brownian motion case
added 1 character in body
Apr
29
asked Expectation of maximum draw down in the Brownian motion case
Apr
27
comment How to fit a SARIMA + GARCH in R?
Yes, that's one way to go: first fit an Arima model and then fit a GARCH model to the errors. The prediction of the Arima model will not depend on the GARCH error - confidence intervals however will.
Apr
24
comment Empirical distribution function of overlapping time series data
Sorry ... personal communication only.
Apr
24
revised Empirical distribution function of overlapping time series data
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Apr
23
comment computation involving independent increments
Where on math.stackexchange can we find the answer? The question as posted here must be wrong as in the first line you have an ordinary expectation (thus a real number) on the lhs and a random variable on the rhs.
Apr
22
answered Value-at-Risk of the sum of three independent lognormal random variables with different confidence level
Apr
22
comment Value-at-Risk of the sum of three independent lognormal random variables with different confidence level
The quantile is different (everything else would be a miracle) but the confidence level is the same, right?
Apr
21
answered Complete Multiperiod Binomial model
Apr
20
answered Replication of the portfolio in single step binomial model
Apr
20
comment Replication of the portfolio in single step binomial model
Do I understand correctly: there is one stock and one time step? You have $k$ price levels. How many are these? 2 ?
Apr
20
asked Empirical distribution function of overlapping time series data
Apr
16
comment Calculating Asset Returns
You don't have to explain to me. What I mean is that you question up there is unclear. The chances that someone will take the time to answer it are higher if you formulate it clearly. At the moment it is not clear what you are asking.
Apr
15
comment Calculating Asset Returns
What do you actually ask? How can daily returns be the same if the futures trade on A for 8 hours and on B for 16 ours? You can not annualized returns by the square-root - this holds for volatilities under some assumptions. What is the actual question? Can you make this more clear?
Apr
15
revised Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option?
added 18 characters in body; edited title