Alexey Kalmykov

1,741 reputation

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bio	website	quantfinance.ru
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visits	member for	2 years, 3 months
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	1,741 reputation	bio	website	quantfinance.ru	visits	member for	2 years, 3 months
417 badges		location			seen	1 hour ago

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Feb 3	comment	Maximization of CARA utility function: unique solution with an unbounded parameter? @Marco I extended my answer. If you want to run unconstrained optimization, I think you need to consider another target function for optimization (see my edits).
Feb 3	revised	Maximization of CARA utility function: unique solution with an unbounded parameter? added 689 characters in body
Feb 3	awarded	Scholar
Feb 3	accepted	What is a good topic on financial time series analysis for master thesis?
Feb 3	comment	Maximization of CARA utility function: unique solution with an unbounded parameter? This site may be also interesting for you economics.stackexchange.com
Feb 3	answered	Maximization of CARA utility function: unique solution with an unbounded parameter?
Jan 30	answered	How to run an asset replication regression?
Jan 30	revised	How to obtain true probabilities from Black-Scholes? added 25 characters in body
Jan 29	comment	How to model the daily return using intraday data? What is your model? You cannot prove anything without any additional assumptions.
Jan 28	comment	what is the best way to calculate the probability of an equity option ending in the money? Why you need "historical implied volatility"?
Jan 28	revised	How to obtain true probabilities from Black-Scholes? added 148 characters in body
Jan 28	answered	How to obtain true probabilities from Black-Scholes?
Jan 25	awarded	Commentator
Jan 25	comment	Demonstration of Ito's correction term/lemma in binomial tree You can run simulation for binomial model. And as there is no correction term in the definition of stochastic integral in discrete time, you will not need it in numerical simulation.
Jan 25	revised	Demonstration of Ito's correction term/lemma in binomial tree deleted 1 characters in body
Jan 25	awarded	Teacher
Jan 25	answered	Demonstration of Ito's correction term/lemma in binomial tree
Jan 6	awarded	Popular Question
Dec 1	comment	How to generate a random price series with a specified range and correlation with an actual price? Maybe not discard them but reflect at bounds?
Nov 14	awarded	Nice Question