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visits member for 2 years, 1 month
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Apr
15
comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$?
@athos: I guess what you will end up with in the end will something like the "market price of risk" (the linear relationship you mentioned) and the notion of a risk-neutral measure. Please do not mix up correlation and simply a functional relationship. The correlation of deterministic quantities is always $0$. If you really want to pour time into this: This seems like a dead end to me.
Apr
10
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
Apr
10
reviewed No Action Needed SEC XBRL Context Dates
Apr
10
reviewed No Action Needed Pricing forward contract on a stock
Apr
10
reviewed Reviewed How do i test the significance of Sharpe ratio of a strategy using bootstrap
Apr
10
reviewed Reviewed Are there Python algorithmic trading libraries supporting forex?
Apr
1
reviewed Reject suggested edit on Are e-mini markets manipulated?
Mar
31
comment Understanding the derivation of a ML-estimator
Could you clarify the first equation in (1)? There are some brackets missing I suppose? And why the notation $(\mathbb{1}^\prime \mathbb{1})^{-1}$? Isn't that just $1/T$?
Mar
24
accepted Scaling of a transition matrix
Mar
21
comment Scaling of a transition matrix
@BrianB Nice!! Now that I read it, the Schur decomposition looks like the natural approach for this...
Mar
21
comment Scaling of a transition matrix
@Gerard Torrent OK I think I am missing something: Why should the eigenvalues of $D$ be nonnegative or even real? Why should all fractional powers exist (like 1/12 for example)?
Mar
20
asked Scaling of a transition matrix
Mar
19
comment What are the equation that gives hurst exponent of value >0.7 and <0.3?
I edited my answer.
Mar
19
revised What are the equation that gives hurst exponent of value >0.7 and <0.3?
added 311 characters in body
Mar
19
answered What are the equation that gives hurst exponent of value >0.7 and <0.3?
Mar
3
reviewed Approve suggested edit on Linear-Boundary Crossing Problem for Brownian Motion
Feb
19
comment What R-packages for SOCP problems are there?
@WilmerEHenaoH Why not? My problems are neither time-critical nor large scale...
Jan
21
comment Book on market microstructure
OK. Now you made me curious. Will check out your book...
Jan
21
awarded  Custodian
Jan
21
reviewed Reopen a good book on option pricing from theoretical and practical aspect