1,938 reputation
520
bio website quantfinance.ru
location
age
visits member for 3 years, 8 months
seen Sep 1 at 10:17

Feb
3
comment Maximization of CARA utility function: unique solution with an unbounded parameter?
By the way, my previous comment was not intended to encourage cross posting.
Feb
3
revised Maximization of CARA utility function: unique solution with an unbounded parameter?
added 689 characters in body
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