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Jul
26
answered How can a share price be different on its open than it was on the previous close?
May
3
revised Random walks and using the reflection principle
Fixed a typo.
May
3
suggested approved edit on Random walks and using the reflection principle
Mar
25
comment What is the fair price of this option?
qtf: let me think about your no-arb argument. I don't get why you wrote that the "Black-Scholes model with zero rates and positive volatility gives C=1/H". This is an American binary call option, not a European one.
Mar
25
comment What is the fair price of this option?
qtf: the OP wanted to find out the price of the option while using model-free arguments.
Mar
25
comment What is the fair price of this option?
I don't think your answer $C \le 1/H$ is correct. As many pointed out, the stock will hit the level $H$ when given enough time.
Mar
20
revised Does Nelson-Siegel require adjustments to yield curve input data?
fixed the typo in the title
Mar
20
suggested approved edit on Does Nelson-Siegel require adjustments to yield curve input data?
Jan
31
answered Why do we need $dS_t=r S_tdt+\sigma S_tdW_t^Q$?
Dec
10
awarded  Excavator
Dec
10
revised Girsanov theorem in CMS convexity derivation
reformat the brackets in latex.
Dec
10
suggested approved edit on Girsanov theorem in CMS convexity derivation
Dec
9
answered examples of c++ code with application to quant finance
Dec
9
revised Why is this stochastic integral a martingale?
added 4 characters in body
Dec
9
comment Why is this stochastic integral a martingale?
emcor: because of the independent increments property of $W_t$. At time $u$, $S_u$ is known but $dW^*_u \equiv W^*_{u+du}-W^*_u$ is not.
Dec
9
comment Why is this stochastic integral a martingale?
Gordon: correct. I added a section to address the issue.
Dec
9
revised Why is this stochastic integral a martingale?
added 505 characters in body
Dec
9
revised Why is this stochastic integral a martingale?
deleted 2 characters in body
Dec
9
comment Why is this stochastic integral a martingale?
While the OP answered his/her own question, I wonder if he/she just copied the answer from a book. In the OP's answer, it says that it "is possible to show" the lemma that $\int_0^t f(s) dW(s)$ is a martingale, but it "is omitted here to keep things short". What? That's exactly what we are trying to prove!
Dec
9
revised Why is this stochastic integral a martingale?
deleted 12 characters in body