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 Yearling
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Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
In such a general form it fits Computational Science much more than here
Feb
23
comment Upper bound concerning Snell envelope
@Paul 1) There doesn't exist any "arbitrage of points" 2) Bounty was not initiated by Christian 3) "It seems not so ethic" to silently crosspost your question and 4) If you cannot give the bounty, the Community can (and will)
Feb
23
comment Upper bound concerning Snell envelope
Crossposted on math.stackexchange.com/questions/302466/… and mathoverflow.net/questions/121744/….
Feb
21
awarded  Custodian
Feb
21
reviewed Approve Taylor series expansion (Volatility Trading book) explanation sought
Feb
19
comment Recover full tick data from missing tick data
@Ryogi I fully agree. The only case I see this useful is testing a time series algorithm on the tick data with different "densities" and checking its stability, etc.
Feb
18
revised Recover full tick data from missing tick data
added references
Feb
17
answered Recover full tick data from missing tick data
Feb
13
comment Copula models and the distribution of the sum of random variables without Monte Carlo
@Richard Yes, there is no way to avoid numerical integration (MC or any other method).
Feb
13
revised Copula models and the distribution of the sum of random variables without Monte Carlo
typo
Feb
13
revised Copula models and the distribution of the sum of random variables without Monte Carlo
added 5 characters in body
Feb
13
answered Copula models and the distribution of the sum of random variables without Monte Carlo
Feb
12
awarded  Yearling
Feb
8
comment Why doesn't a simulated delta hedging process go to zero?
"but we don't factor in the fact that the price keeps changing". Do you mean that the hedging you get is not perfect?
Feb
8
awarded  Notable Question
Feb
4
revised Quantitative risk model for an open real estate mutual fund in Europe
spelling
Feb
4
awarded  Custodian
Feb
4
reviewed Excellent Understanding Passive Rebate Arbitrage
Feb
4
reviewed Needs Improvement Basket option pricing: step by step tutorial for beginners
Feb
4
reviewed Excellent Determining portfolio risk return in R given historical data for individual holdings?