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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?
Feb
21
awarded  Yearling
Dec
30
comment FTAP a-la Harrison, Kreps and Pliska
@user8: I meant this one
Nov
9
comment Stochastic Differential
Like any other differential, this differential is defined in terms of its integral - that's a bit of an overstatement. It certainly is the case for most of stochastic differentials, but in real analysis the basic differential on a real line is often defined formally way before integrals.
Nov
9
comment What is a canonical book or article to learn pair trading?
The book "Pairs trading" by Vidyamurthy is a standard reference
Sep
24
awarded  Autobiographer
Jul
2
awarded  Curious
Jun
19
awarded  Notable Question
Apr
15
awarded  Tumbleweed
Apr
14
comment How can the Wiener process be nowhere differentiable but still continuous?
I would be careful with such explanation, though. For example, a straight line is extremely self-similar on various scales, however it is perfectly smooth. Also, one can say that smoothness is exactly local similarity to straight lines, isn't it?