1,300 reputation
313
bio website
location United States
age
visits member for 2 years, 3 months
seen Mar 18 at 23:44

Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


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?
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 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 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.