1,226 reputation
29
bio website
location United States
age
visits member for 1 year, 4 months
seen 19 mins ago

Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


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.
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
added 30 characters in body
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
deleted 597 characters in body
Mar
26
answered Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
Mar
24
comment Definition of orthogonality and independence for a stochastic processes
I've spent quality time with all of these. Williams: Probability w/ Martingales, Oksendahl, Karatzas/Shreve, Protter: Stochastic Integration, Revuz/Yor: Continuous Martingales and BM, Kallenberg: Foundations of Modern Probability
Mar
24
comment Definition of orthogonality and independence for a stochastic processes
I'm not sure where I learned them, that's just how I remember them. I think they're both pretty standard.
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 79 characters in body
Mar
23
comment Definition of orthogonality and independence for a stochastic processes
Yeah if you had the filtration defined already you would do that.
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 995 characters in body
Mar
23
reviewed Approve suggested edit on Definition of orthogonality and independence for a stochastic processes
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 11 characters in body
Mar
23
reviewed Reject suggested edit on What are some research articles on using principle components to generate alpha?
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 96 characters in body