Reputation
5,118
Next tag badge:
27/100 score
11/20 answers
Badges
11 36
Impact
~97k people reached

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
Apr
9
answered Correlated Random Number Generation using Sobol?
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
It is absolutely usual to call it log-return as far as I know ... it was simply necessary to say what $r_t$ could mean ... please formulate your question clearly in the future.
Apr
8
revised Why is rate of return on the stock normally distributed under GBM?
added 151 characters in body
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
Your comment gives additional input. One could say so many things ... I will add one more comment..
Apr
7
comment Why is rate of return on the stock normally distributed under GBM?
I edited the question a bit to make it clearer - I hope, I got it right.
Apr
7
revised Why is rate of return on the stock normally distributed under GBM?
added 25 characters in body
Apr
7
answered Why is rate of return on the stock normally distributed under GBM?
Apr
7
revised On an application of Ito's lemma
edited title
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
John you are strict ;) but right too. Whenever I use papers in an answer then I try to find links too ... to have a complete answer ... that's my standard, but I accepted pbr142's answer anyways as I think that it is very complete already.
Apr
7
accepted Please give a step-by-step explanation on how to build a factor model
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
Thanks for your great answer. I have to decide between yours and pbr142's. Somehow I think that the latter is slightly more complete. Thanks again!
Apr
6
comment Please give a step-by-step explanation on how to build a factor model
Very nice answer! Do you have a couple of links at hand too? For the most important papers that you refer to? This would make the answer 100% complete ... thanks for your efforts!
Apr
6
revised Please give a step-by-step explanation on how to build a factor model
added 21 characters in body
Apr
1
awarded  Nice Question