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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
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?