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seen Dec 18 '12 at 17:04

Oct
15
awarded  Yearling
Nov
24
answered Setting the r in put-call parity?
Nov
16
comment Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
"Take a dice." Maybe it's one of my pet peeves, but I almost stopped reading there. Dice are plural. Die is singular. :-(
Nov
15
comment Why is the CAPM securities market line straight?
Thank you! You've explained it very well for me. Sorry, not registered can't upvote for now.
Nov
15
awarded  Scholar
Nov
15
accepted Why is the CAPM securities market line straight?
Nov
15
awarded  Student
Nov
15
comment Why is the CAPM securities market line straight?
Fama French has more factors, but it's still a straight-line model.
Nov
15
asked Why is the CAPM securities market line straight?
Nov
14
revised Skewness and Kurtosis under aggregation
the last formula for ex. kurtosis is wrong; trivial edit, but very important.
Nov
14
suggested suggested edit on Skewness and Kurtosis under aggregation
Nov
13
comment How do you explain the volatility smile in the Black-Scholes framework?
@JoeCoderGuy You might want to check this article out: Shalom Benaim and Peter Friz. Smile Asymptotics II: Models with Known Moment Generating Functions. Journal of Applied Probability , Vol. 45, No. 1 (Mar., 2008), pp. 16-32
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
I have to disagree that down-side return volatility is much higher than up-side return volatility---historical returns are in fact negatively skewed, but only slightly. If you look at actual data, you will find many extreme upside moves to balance the downside.
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
The double-sided exponential distribution happens to be the fattest-tailed distribution that has a moment-generating function---but just barely---its mgf has vertical asymptotes which may impair one's ability to derive an equivalent martingale distribution (of the same exponential family) suitable for pricing options as in the Black-Scholes model.
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
Just did what you said --- I was curious myself --- the returns are quite leptokurtic, not normal.
Nov
10
revised How do you explain the volatility smile in the Black-Scholes framework?
response to coder guy
Nov
9
answered How do you explain the volatility smile in the Black-Scholes framework?
Nov
5
awarded  Commentator
Nov
5
comment How do I evaluate the suitability of a GARCH model?
That's for the simplest AR model. You're looking for the smallest possible q that adequately explains the data with any given model. That's all.
Nov
5
answered How do I evaluate the suitability of a GARCH model?