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location United States
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visits member for 1 year, 11 months
seen Nov 18 at 22:44

Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


Oct
9
comment Show that $E[B_t|\mathscr{F}_s] = B_s$
Yep, totally correct.
Oct
9
comment Show that $E[B_t|\mathscr{F}_s] = B_s$
Technical point: the pde condition on f only guarantees that it will be a local martingale. Integrability has to be checked separately.
Sep
30
awarded  Explainer
Sep
24
awarded  Autobiographer
May
22
comment Existence of a hedging portfolio and martingale property
ok, so the supermartingale is the value process corresponding to an american option. if i understand your question, then at a theoretical level, the answer is yes: doob-meyer decomposition to split the supermartingale into a martingale and decreasing process, and then martingale representation to get a hedging strategy for the martingale part.
May
22
comment Existence of a hedging portfolio and martingale property
what do you mean by a super martingale price process?
May
18
comment Difference betweem martingale property and adapted filteration
Also, this is something I think about from time to time. You can definite martingality intrinsically, by taking the filtration to be the natural one generated by $X$. Does this mean that martingality is an intrinsic property?
May
18
comment Difference betweem martingale property and adapted filteration
Continuity and measurability are defined slightly differently than what you said. For a continuous function, inverse image of an open set is open, and similarly with measurable. If you unpack the $\epsilon-\delta$ definition of continuity, you'll see that this is what it's logically equivalent to.
May
18
answered Difference betweem martingale property and adapted filteration
May
3
awarded  Custodian
May
3
reviewed No Action Needed What is the hedging underlying of MBS
Apr
22
comment Distribution of Brownian Bridge
The starting point doesn't matter. You're conditioning on the Brownian Motion being $a$ at time $T_1$, so there's no variance there. Just do the calculation on $[0, T_2 - T_1]$.
Apr
9
comment unique equivalent martingale measure in incomplete markets
yeah. you apply $f(x)$ pointwise.
Apr
8
revised unique equivalent martingale measure in incomplete markets
added 9 characters in body
Apr
8
comment unique equivalent martingale measure in incomplete markets
yeah, thanks. this was a while ago, i have to try and understand what i wrote.
Apr
8
comment How can the Wiener process be nowhere differentiable but still continuous?
Continuity is a weaker property than differentiability.
Apr
8
comment How do you calibrate a poisson arrival rate process?
Don't you know $\delta$? You have to estimate $A$, where $A \leq 1$?
Apr
7
answered Simple question about expected value of brownian motion
Apr
5
reviewed Reject suggested edit on Are e-mini markets manipulated?
Mar
31
comment backward Kolmogorov equations - Markov properties
Answer below looks correct to me. Also, it doesn't make sense to say that $a$ and $b$ are ito-integrable, as they're just real-valued functions.