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Oct
20
revised Why is GARCH more often applied in risk analysis than stochastics?
made the title more meaningful
Oct
19
answered Monte Carlo VaR assuming logistic distribution
Oct
17
comment How do I use common forecasting models to forecast FUTURE values?
Yes ..and linking to youtube videos feels a bit inefficient ...
Oct
17
answered Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?
Oct
14
comment Is the average of independent Brownian Motions still a Brownian Motion?
yes , correct ..
Oct
14
revised Is the average of independent Brownian Motions still a Brownian Motion?
added 189 characters in body
Oct
14
comment Is the average of independent Brownian Motions still a Brownian Motion?
Correct, and then it is not BM.
Oct
13
answered ARIMA Forecasting always converges?
Oct
13
comment Is the average of independent Brownian Motions still a Brownian Motion?
the variance of BM at time $t$ is $t$ not $s_1^2$.
Oct
13
answered Is the average of independent Brownian Motions still a Brownian Motion?
Oct
13
comment Difference between stochastic calculus and newton calculus
Beause the quadratic variation of $B_t$ does not vanish but the limit is $t$ - time. That's why you get integration with respect to $t$ above. You could read Oksendal's book .. googeling I found a pdf link too: imcs.dvfu.ru/lib.int/NEW/Math/MV_Probability/…
Oct
13
comment Basic question on Portfolio Theory
Ilmanen is useful reference!
Oct
12
comment Gil-Palaez Inversion Formula in Black Scholes world
Could you please use latex?
Oct
12
answered Basic question on Portfolio Theory
Oct
12
answered Difference between stochastic calculus and newton calculus
Oct
12
awarded  Popular Question
Oct
9
comment Gaussian Time-varing copula in R
What is the model for the above formulas? Do you have a refernence? What is $\Lambda$? Please provide more details.
Sep
25
revised Portfolio insurance strategy with path dependence
deleted 1 character in body
Sep
24
comment Kurtosis in asset logarithmic returns
" gaussian distribution is zero-valued in all moments beyond the second" is not true. Look here for central and non-central moments: en.wikipedia.org/wiki/Normal_distribution
Sep
24
comment Kurtosis in asset logarithmic returns
This is the first hit on wikipedia and there ii says that the sequence is iid ... right? "iid" stands for "indepdendent ...". :P