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location United States
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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


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
Dec
9
comment Examples of non-increasing variance of a time homogeneous Markovian process
"variance periodically oscillates over time"...that doesn't sound time homogeneous to me
Dec
9
awarded  Critic
Nov
30
answered Problems to understand a stochastic DGL equality
Nov
15
comment Library for interactive financial charts
I use Spotfire for some exploratory analysis (it's quite intuitive, but can't do super sophisticated stuff) and also publishing interactive dashboards. Heard similar good things about Tableau. I think there are free/trial versions of these things, but not completely sure. There is an R plugin for Spotfire, but I haven't used it personally.
Nov
14
comment Portfolio risk decreased by increasing share of riskiest asset?
That riskiest asset is negatively correlated with all the other assets in your portfolio?
Nov
10
comment What is the stochastic differential of a general semimartingale?
You'll only get a PDE if your underlying process $H$ is diffusion. If you add a Poisson or Levy process, you will get a PIDE, which has an integral term in it: this results from the non-localized nature of the jumps that $H$ can take. The Levy-Khinchin formula calculates the characteristic function in terms of $H$'s characteristics, so that might be what you're looking for. But, if $H$ is a general semi-martingale like you described, I believe the characteristic function will satisfy a stochastic PDE, which is studied, but not that widely.
Sep
16
awarded  Custodian
Sep
16
reviewed Approve suggested edit on IB TWS & API, without IB account?