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| bio | website | |
|---|---|---|
| location | ||
| age | 23 | |
| visits | member for | 6 months |
| seen | 4 hours ago | |
| stats | profile views | 55 |
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Dec 5 |
comment |
What advanced statistical techniques are quant researchers using? Can you please give some more concrete examples? (curious) |
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Dec 5 |
revised |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? deleted 54 characters in body |
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Dec 5 |
comment |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? @pat I'm talking about strictly positive regressors. For example, the $Age$ variable in actuarial studies. Also, even if the regressor (call it $X_t$) can assume negative values we could just do something like $|X_t|^{1.95}$ to construct a regressor that's almost the same thing as $X_t^2$. |
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Dec 4 |
comment |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? @John What are these extra variables? |
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Dec 4 |
comment |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? @John I don't understand. Do you mean that it's like this because $2$ looks prettier than $x\in[1.5,2.5]$? Surely parsimonious should be defined statistically instead of based on how pretty something looks from a qualitative perspective. |
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Dec 4 |
revised |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? added 46 characters in body |
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Dec 4 |
revised |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? added 6 characters in body |
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Dec 4 |
asked | Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? |
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Dec 3 |
comment |
How to improve the Black-Scholes framework? Do you have a source for this definition of returns? (where they actually use to word "returns") |
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Dec 2 |
comment |
How to improve the Black-Scholes framework? I agree that $\frac{S(T)}{S(t)} = e^{(r-\sigma^2)(T-t)+\sigma(W(T)-W(t))}$ is lognormal, but I thought that the most common meaning of "stock returns" in finance is $ln \frac{S(T)}{S(t)}$. |
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Dec 2 |
comment |
How to improve the Black-Scholes framework? Prices, not returns, are assumed to be lognormal. |
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Nov 28 |
awarded | Teacher |
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Nov 27 |
answered | Monte carlo methods for vanilla european options and Ito's lemma. |
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Nov 24 |
revised |
Pricing forward contract on a stock added 26 characters in body |
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Nov 24 |
revised |
Pricing a Power Contract derivative security added 48 characters in body |
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Nov 24 |
accepted | Pricing forward contract on a stock |
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Nov 24 |
revised |
Pricing forward contract on a stock deleted 15 characters in body |
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Nov 23 |
comment |
Pricing forward contract on a stock I am increasing in confidence that this is correct because I get the same answer when I work with measure $P^*$ associated with taking the growth optimal portfolio as the numeraire. |
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Nov 23 |
revised |
Pricing forward contract on a stock added 34 characters in body |
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Nov 23 |
asked | Pricing forward contract on a stock |
