1,281 reputation
213
bio website
location United States
age
visits member for 1 year, 10 months
seen Oct 13 at 18:08

Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


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
Mar
23
answered Definition of orthogonality and independence for a stochastic processes
Mar
18
answered Places to make quant code/tools publicly avaliable
Mar
18
comment Places to make quant code/tools publicly avaliable
you can also use bitbucket for a free private repository. at github you only get public for free.
Mar
14
comment Places to make quant code/tools publicly avaliable
is github too general?
Mar
7
comment Wiener process proof
The question could use a little rewording. You should define what "eventually equates" means. Anyway, I think the point is that the drift term decays at a faster rate than the volatility.
Feb
28
comment The concept of an incomplete market
I don't remember the exact source, but I think Duffie wrote a nice paper (maybe the original one?) on Arrow-Debreu securities and equilibria in an incomplete market.
Feb
27
comment What is the necessary level of Econometrics-Know-How for a quant
Thanks for this answer!
Feb
15
revised The distribution of jump gaps for Levy processes
edited title