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Jan
7
answered CIR model: is the short rate really non-central $\chi^2$ distributed?
Jan
7
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.
Jan
6
awarded  Revival
Jan
5
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.
Jan
5
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.
Jan
5
revised Why can't I multiply two SDE Solutions?
added 8 characters in body; edited title
Jan
5
comment Investment: Bond vs Equity
Sorry, but this question looks a bit off-topic. As a professional you consider coupons, dividends. This should be incorporated in your $5\%$ return with certainty.
Jan
5
comment Can a null be inconclusive?
This better fits to stats.stackexchange ... mabye much more people will answer there.
Jan
2
revised Why is there onshore and offshore currency?
edited title
Jan
2
answered For the Dothan model $E^Q[B(t)]=\infty$?
Jan
2
comment For the Dothan model $E^Q[B(t)]=\infty$?
The last formula is not trivial. You need the expectaion of the exponential of the integral of geometric Brownian motion. Is the integral of GBM log-normally distributed? The product yes, the integral/sum? It is not clear.
Jan
2
comment Who holds stock overnight?
Additionally managers of mutual funds try to trade at times at which the NAV of their fund is calculated (can be during the day or in the end). Or they try to trade at the same time as the index that they are benchmarked to records the prices.
Jan
2
comment Who holds stock overnight?
I don't know of such analyses. But there do exist periodical patterns I think. E.g. Willmot has a chart in one of his books where he plots that the average VIX change is much higher on a Monday then on every other weekday (maybe this depends on the period too).
Jan
2
revised Two correlated time series - driver and follower
deleted 1 character in body
Jan
2
revised Why is there onshore and offshore currency?
edited body
Jan
2
answered Who holds stock overnight?
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
The short rate in this model is geometric Brownian motion, thus the bank account is the exponential of the integral of GBM. We have to check why this is/could be of infinite expectation ...
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
What is $B_t$? the bank account $\exp(\int_0^t r_s ds)$ ? Please add moredetais. Where do you have the claim from?
Dec
18
awarded  Revival
Dec
16
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
Could you explain a bit how you derive the solution for $r_t$ .. with the exponential (2nd formula). I don't see that this is the solution that easily ..