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Theoretical physics phd student.


Oct
13
revised Proof oriented introductory text?
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Oct
13
answered Proof oriented introductory text?
Oct
12
answered What are the textbooks used to teach Quantitative Trading at universities?
Oct
9
revised Show that $E[B_t|\mathscr{F}_s] = B_s$
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Oct
8
revised Show that $E[B_t|\mathscr{F}_s] = B_s$
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Oct
8
comment Show that $E[B_t|\mathscr{F}_s] = B_s$
It's better to work on the higher power first. So first eliminate the quadratic term in $W_t$, as this will generate more linear terms in $W_t$. However, if you just want to compute the term you mentioned, then: $E[tW_t|F_s] = t E[(W_t - W_s) + W_s|F_s] = t E[(W_t - W_s)|F_s] + tE[W_s|F_s] = t W_s$. This term alone is of course not a martingale.
Oct
8
comment Show that $E[B_t|\mathscr{F}_s] = B_s$
Not sure I follow, so please correct me if I'm wrong. But I think that $E[C]$ can again be be completely rewritten in terms of $E[(W_t - W_s)^2|\mathcal{F}_s]$, $E[(W_t - W_s)|\mathcal{F}_s]$ and terms that only depend on $W_s$. And these are all known.
Oct
8
revised Show that $E[B_t|\mathscr{F}_s] = B_s$
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Oct
7
answered Show that $E[B_t|\mathscr{F}_s] = B_s$
Sep
24
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5
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May
13
comment What are the best Journals & Conferences in Quantitative Finance?
FYI vixra.org is considered a "crackpot site" when it comes to the physics and mathematics articles. It is mostly filled with articles that didn't make it onto arxiv.org. So beware..
Apr
30
answered Call vs. Put Option
Apr
24
awarded  Nice Answer
Apr
18
revised Resources for finding scholarly research on topics in quantitative finance?
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Apr
18
answered Resources for finding scholarly research on topics in quantitative finance?
Apr
9
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25
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