1,963 reputation
520
bio website quantfinance.ru
location
age
visits member for 3 years, 9 months
seen Sep 1 at 10:17

Nov
28
answered Treasury Bond Yield Curves in R
Nov
27
revised Which brokers offer a .NET stock trading API?
edited body
Nov
27
answered Which brokers offer a .NET stock trading API?
Nov
27
comment Does entropy pooling apply to distributions with time-varying drift?
@Bytesize Yes, I agree with you. If your drift is known in your investment horizon, then you are fine. But you still need to adapt the method to account for the time dimension.
Nov
26
answered Does entropy pooling apply to distributions with time-varying drift?
Nov
24
comment Changes to option valuation for dollar-pegged underlying
Why "if the dollar rises, the index drops by that amount"? Each point of RTS is valued as 2 USD. Do you mean value in RUB?
Nov
20
answered portfolio optimization from empirical return distributions
Nov
19
answered R code for Ornstein-Uhlenbeck process
Nov
4
answered Why is delta-hedging of ATM options near expiry difficult to do?
Nov
3
answered Show that convexity of call price as a function of the strike is violated
Nov
3
comment How do you synthesize a probability density function (pdf) from equally weighted price data?
@montyhall This is Q&A site, not a discussion forum. In general you shouldn't need to reply to answers.
Oct
31
comment Coin Toss System
Is the coin fair or you don't know?
Oct
27
comment Creating a doubling and halving position
Can you borrow at the risk free rate? Is your market free of arbitrage? If yes, then you can have doubling halving position irrespective of that physical probability $\pi$ value.
Oct
27
awarded  Organizer
Oct
27
revised Volatility models using Rugarch
retag
Oct
23
answered Connections between random walk and heat equation (Material for ~)
Oct
23
comment Equity option portfolio greeks with underlying
Hint: en.wikipedia.org/wiki/Sum_rule_in_differentiation
Oct
22
awarded  Citizen Patrol
Oct
19
comment Risk neutral probability in binomial short rate model assumed to be 0.5?
@ezbentley Can you give me a reference? I'll take a look.
Oct
18
revised Risk neutral probability in binomial short rate model assumed to be 0.5?
added 13 characters in body