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 Apr29 answered Usage of Brownian Bridge? Apr7 comment Graduating Quantitative Finance (please don't move it to meta immidiately) Could you please do some spell checking of the linked question? :) Anyway I personally think it would demotivate us, I'd give it a few more months of spicy beta... Apr1 answered What are the merits of pseudo random numbers over quasi random numbers in monte-carlo simulation? Mar28 comment Effects of random-generator-choice on derivative's price There's a lot of discussion about PRNGs in finace forums or some books, but given modern generators quality the issue is now kinda solved. Roughly said one samples from AES (or any other good hash function) by feeding in successive numbers, their encrypted values are then pseudorandom; check the so called "counter mode" of AES. Mar26 comment An alternative to the Gaussian distribution to describe/fit market stock returns Of course S can be larger than all the money out there: we live in a fractional reserve system. :) Anyway that would be an ex ante fixed boundary, so that one is not really solving that integral but a variant; it's not the same as having freedom of truncation. Mar26 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal: I don't get it: if the integral explodes you can clip arbitrarily and get any desired pseudoresult, or not? What's the meaning and use? Unless of course the boundary is fixed ex ante. Anyway I'm still not convinced, need to work out that integral: t-s approximate a normal arbitrarily. Thanks for the link! Mar26 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal: right, I should have checked first... what a silly cheat! Mar26 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal: Student t pricing. Mar26 revised Effects of random-generator-choice on derivative's price added 136 characters in body Mar26 comment Effects of random-generator-choice on derivative's price For qMC you can check the book from Lemieux, it also deals with various finance examples. Or the shorter introductions also by Lemieux&L'Ecuyer or by Larcher&Leobacher, or the chapter in Glasserman. Anyway it's quite a tricky topic, don't expect to use it as a black-box without surprises. Mar26 answered Effects of random-generator-choice on derivative's price Mar13 comment Normally Distributed Returns Become Leptokurtic Due to Compounding This effect will vanish if you use log returns. Be aware of the difference between the two and when each is appropriate. See also the papers by Meucci on this. Mar7 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal: yes, SV is certainly better, also as a fit to data, but can be unpractical for certain tasks. Anyway one can circumvent the Student t aggregation "problem" quite easily in practice. PS: for most dof-s Student t log-returns shall also have finite mean, or not? Mar6 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal we all know Student t is not a perfect distribution, I was just pointing out that alpha stable ones have even more problems. And again, the fact that aggregating t returns thins down the tails is wanted, due to empirical observations, while stable ones do remain in the family but at the high cost of tail persistence. Why sacrifice accuracy of approximation for mathematical "elegance"? Moreover afaik that issue with price expectation is even more pronounced with stable distributions, please correct me. Mar6 comment An alternative to the Gaussian distribution to describe/fit market stock returns @Aksakal and why would that be a disadvantage? On the countrary, empirical distributions are well known to be far from stable, that's why one has to resort at least to hacks like tempered stable distributions. Mar5 comment Is it more accurate to analyze returns on a calendar day basis than a trading day basis? I would not expect as much as a $\sqrt{3}$ factor, since in the weekend no trading activity occurs, that's one of the volatility sources. The factor must however be higher than 1 since news still arrive during weekends. Mar5 comment An alternative to the Gaussian distribution to describe/fit market stock returns Nice references! Why are you not even mentioning Student t? Are there any major drawbacks? Do you know of comparisons with NIG and VG? Feb21 comment Fitting Student t-distributions to log-returns Feb21 answered Consensus on Cauchy distribution for stock prices Feb19 comment Estimate weekly, yearly quantities from finite samples @shnauz check the edit in response to your comment. Sorry for delay.