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Dec
3
awarded  Popular Question
Nov
19
awarded  Notable Question
Oct
27
comment Seeming arbitrage in excess reserves
Hey, did you have a chance to take a look at my question?]
Sep
24
revised Seeming arbitrage in excess reserves
edited title
Sep
23
comment Seeming arbitrage in excess reserves
Thanks a lot! Why foreign banks don't take as much as possible, since it seems to be arbitrage?
Sep
23
asked Seeming arbitrage in excess reserves
Sep
16
awarded  Popular Question
Sep
3
comment George Soros models
Thanks, it's an opinion worth reading about, I'll take a look at the references. Just one thing, in the highly automated environment things are much simpler on a short time range, yet ideas of reflexivity may well be present there as people who programmed those algorithms might have had it in mind on intuitive level at least. So understanding behavior of such algorithms should also come empowered with reflexivity. Nevertheless, after the time passed from me posting this question, I was able to find some answers in game theory.
Jul
30
comment Monte Carlo simulating Cox-Ingersoll-Ross process
That's comprehensive, thanks so much!
Jul
14
comment Which distribution do I get?
@Gordon: why do I need to do that? My point is that I have some market prices, hence I can imply distribution from the market prices. I don't know what the distribution would be in advance
Jul
14
comment Which distribution do I get?
@Gordon: was a typo
Jul
14
revised Which distribution do I get?
edited body
Jul
13
answered How free are we in risk-neutral distributions?
Jul
13
comment How free are we in risk-neutral distributions?
I assumed that we have not chosen a particular model. Of course Brownian motion would impose some additional constraints just by its special structure. To say the least, the resulting distribution is going to be lognormal. I think I found that the answer is yes. Will post it soon, thanks for the interest though.
Jul
12
asked How free are we in risk-neutral distributions?
Jul
12
revised Which distribution do I get?
added 104 characters in body; edited tags
Jul
12
asked Which distribution do I get?
May
29
answered Difference between ito process, brownian motion and random walk
May
7
answered Why is Brownian motion merely 'almost surely' continuous?
May
6
answered Is a stationary process necessarily mean-reverting?