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seen Jan 25 at 20:05

Mar
18
comment Kolmogorov-Smirnov test
@AnthonyMaster See quant.stackexchange.com/questions/341/what-is-a-martingale
Mar
18
comment Calculate the expectation of a shift CDF
+1 Good solution.
Mar
17
comment Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
@bytefire Geometric Brownian motion
Mar
16
answered Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
Mar
16
comment Doesn't a perpetual option contradict the Black-Scholes framework?
@Chan-HoSuh You can hedge because you can continuously adjust the position in underlying, i.e. do dynamic hedging. Also note that in general you don't need a hedging strategy to get a price for a contingent claim.
Mar
15
reviewed Approve suggested edit on Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Mar
15
answered Doesn't a perpetual option contradict the Black-Scholes framework?
Mar
15
answered Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
Mar
14
comment Doesn't a perpetual option contradict the Black-Scholes framework?
Please describe your arbitrage strategy properly. Are you long put, short underlying? It's not clear at all from your question.
Mar
13
comment Calculate the expectation of a shift CDF
@Richard Actually $X_1$ should be from $N(0,1)$ and $X_2$ should be from $N(0,\sigma^2)$ if I understood the problem correctly.
Mar
13
comment Calculate the expectation of a shift CDF
@Richard Actually it should be fine if you take iid copy.
Mar
13
comment Calculate the expectation of a shift CDF
@GoodGuyMike I optimized your code a bit and it seems to work. Well done!
Mar
13
revised Calculate the expectation of a shift CDF
optimized matlab code
Mar
13
answered main arbitrage & statistical arbitrage concepts
Mar
13
answered Calculate the expectation of a shift CDF
Mar
11
comment Square root of time
It doesn't hold for simple returns, i.e. $S_{t_2} - S_{t_1}$ is not normally distributed under assumption that $S$ is a Geometric Brownian Motion.
Mar
8
revised Comparing Cash Equivalent of risky portfolios
added 164 characters in body
Mar
8
comment Comparing Cash Equivalent of risky portfolios
@Omar Good question. In this particular paper the only reason I see is to make their numbers comparable with the results of other papers. Also note that CE are used for risk premia calculations. I will add this to my answer.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy Let's take a step back. The question was simple: "why one number got under unrealistic assumptions is better than another number got under the same unrealistic assumptions?" The answer is: due to the independence of measurment units. That's it.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
@Freddy I undestand your (valid) criticism of expected utility framework, i.e. one number representation. But this has nothing to do with CE specifically.