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seen Jun 21 at 22:14

Dec
5
comment What is Ito's lemma used for in quantitative finance?
This is a fantastic solution! My lecture slides apply Ito's to $e^{aX(t) + bt}$ to get the answer and it takes about 30 lines of working!
Dec
5
comment What advanced statistical techniques are quant researchers using?
Can you please give some more concrete examples? (curious)
Dec
5
revised Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
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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 $X_t^2$.
Dec
4
comment Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
@John What are these extra variables?
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.
Dec
4
revised Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
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Dec
4
revised Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
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Dec
4
asked Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
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")
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 $ln \frac{S(T)}{S(t)}$.
Dec
2
comment How to improve the Black-Scholes framework?
Prices, not returns, are assumed to be lognormal.
Nov
28
awarded  Teacher
Nov
27
answered Monte carlo methods for vanilla european options and Ito's lemma.
Nov
24
revised Pricing forward contract on a stock
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Nov
24
revised Pricing a Power Contract derivative security
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Nov
24
accepted Pricing forward contract on a stock
Nov
24
revised Pricing forward contract on a stock
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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.
Nov
23
revised Pricing forward contract on a stock
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