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Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


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 suggested edit on 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 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
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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.
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?
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