Alexey Kalmykov

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	1,741 reputation	bio	website	quantfinance.ru	visits	member for	2 years, 3 months
417 badges		location			seen	14 hours ago

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Apr 8	comment	Non-arbitrage theory and existence of a risk premium Can you please tell from which book is this question?
Mar 18	comment	Doesn't a perpetual option contradict the Black-Scholes framework? @Chan-HoSuh No, it wouldn't. You don't hold the same number of stock for arbitrary lengths of time. You continuously adjust it to make your portfolio of underlying and short option risk free.
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	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 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 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	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.
Mar 7	comment	Comparing Cash Equivalent of risky portfolios @Freddy "this only works if the portfolio is a risk free portfolio" how did you came to that conclusion from my answer? "CE can be identical for two portfolios with entirely different risk reward profiles" Sure, it can. As well as utility. CE introduces no new assumptions to utility framework (apart being able to inverse utility function).
Mar 7	comment	Comparing Cash Equivalent of risky portfolios @Freddy sure. updated the answer.
Mar 7	comment	Comparing Cash Equivalent of risky portfolios @Freddy "CE is suggesting we all set our utility equal" not really.
Mar 2	comment	Is it worth preserving orderbook structure when building it from individual orders? @DmitriNesteruk I assume you are re-cosntructing the order book from a raw message stream data coming from an exchange. Then you should also receive messages that a certain order has been executed and handle them properly.
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)