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Apr
7
answered Simple question about expected value of brownian motion
Apr
5
reviewed Reject 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?
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Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
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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
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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
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Mar
23
reviewed Approve Definition of orthogonality and independence for a stochastic processes
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
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Mar
23
reviewed Reject What are some research articles on using principle components to generate alpha?
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
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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.