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Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


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
Feb
15
answered The distribution of jump gaps for Levy processes
Jan
15
comment How to choose a risk-neutral measure when the market is incomplete?
There won't be a non-degenerate complete stochastic volatility model. An informal way of thinking about it is that the space of randomness is two dimensional (two BM's driving things), and the space of attainable claims is just one-d
Jan
8
comment Under an EMM, does there necessarily exist a replicating portfolio?
Complete market is the same as replication, no?
Jan
8
revised Under an EMM, does there necessarily exist a replicating portfolio?
added 282 characters in body
Jan
8
answered Under an EMM, does there necessarily exist a replicating portfolio?
Jan
3
awarded  Citizen Patrol
Dec
16
answered unique equivalent martingale measure in incomplete markets
Dec
15
comment unique equivalent martingale measure in incomplete markets
Can you clarify your question a little? A market being incomplete is equivalent to there being multiple equivalent martingale measures. Are you asking how to show that the variance optimal EMM is unique? The answer to that question is basically strict convexity, I can elaborate if that's what you're after.
Dec
11
awarded  Yearling
Dec
10
comment Examples of non-increasing variance of a time homogeneous Markovian process
Variance is strictly increasing if the value at time zero is deterministic. It's not true if the initial value is random, i.e. the steady state. Exponential decay of the initial value /steady state contributes decreasing variance over time to balance things out.
Dec
9
comment Examples of non-increasing variance of a time homogeneous Markovian process
en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process; start it from its steady state distribution. note this has mean-reverting behavior, similar to your example. oops, doesn't start at 0 though
Dec
9
comment Examples of non-increasing variance of a time homogeneous Markovian process
gotcha, get it now