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Feb
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Dec
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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?
Apr
14
comment How can the Wiener process be nowhere differentiable but still continuous?
@Probilitator The gif actually looks like some old-school flight simulator in the mountain area :)
Apr
11
comment Convolution copula?
There is no need or requirement for the two copulas above to be the same. Do you mean here that $$ \mathbb{P}(X\leq x,y_{1}\leq Y\leq y_{2})=C_1(F_{X}(x),F_{Y}(y_{2}))-C_2(F_{X}(x),F_{Y}(y_{1})) $$ with $C_1\neq C_2$ in general?
Apr
10
comment How can the Wiener process be nowhere differentiable but still continuous?
@Probilitator: thanks. 3d - is some quant joke I fail to understand?
Apr
10
answered How can the Wiener process be nowhere differentiable but still continuous?
Apr
9
comment unique equivalent martingale measure in incomplete markets
Sure :) also, what does these square mean? That you take an expectation/integral of squared R-N derivative?
Apr
8
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Apr
8
revised market-making wiki excerpt
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Apr
8
wiki created market-making excerpt
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8
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Apr
8
accepted Particular kind of market game
Apr
8
comment unique equivalent martingale measure in incomplete markets
Are you missing come expectations in the right-hand side?